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Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegration Regression

Wang, Qiying - 2006

We provide a new asymptotic theory for local time density estimation for a general class of functionals of integrated … time series. This result provides a convenient basis for developing an asymptotic theory for nonparametric cointegrating … avoids Fourier integral representations and Markov process theory which have been used in earlier research on this type of …

Persistent link: https://www.econbiz.de/10012778972

Log Periodogram Regression : The Nonstationary Case

Kim, Chang Sik - 2006

Estimation of the memory parameter (d) is considered for models of nonstationary fractionally integrated time series with d gt; (1/2). It is shown that the log periodogram regression estimator of d is inconsistent when 1 lt; d lt; 2 and is consistent when (1/2) lt; d = 1. For d gt; 1, the...

Persistent link: https://www.econbiz.de/10012779219

Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing

Sun, Yixiao - 2006

-parametric tests. Small-b asymptotics involve standard limit theory such as standard normal or chi-squared limits, whereas fixed …

Persistent link: https://www.econbiz.de/10012783449

A Simple Adjustment for Bandwidth Snooping

Armstrong, Timothy - 2017

Kernel-based estimators such as local polynomial estimators in regression discontinuity designs are often evaluated at multiple bandwidths as a form of sensitivity analysis. However, if in the reported results, a researcher selects the bandwidth based on this analysis, the associated confidence...

Persistent link: https://www.econbiz.de/10012952734

Unit Root Model Selection

Phillips, Peter C. B. - 2008

Some limit properties for information based model selection criteria are given in the context of unit root evaluation and various assumptions about initial conditions. Allowing for a nonparametric short memory component, standard information criteria are shown to be weakly consistent for a unit...

Persistent link: https://www.econbiz.de/10012771858

A Simple Adjustment for Bandwidth Snooping

Armstrong, Timothy - 2015

Kernel-based estimators are often evaluated at multiple bandwidths as a form of sensitivity analysis. However, if in the reported results, a researcher selects the bandwidth based on this analysis, the associated confidence intervals may not have correct coverage, even if the estimator is...

Persistent link: https://www.econbiz.de/10013018507

Testing Mean Stability of Heteroskedastic Time Series

Dalla, Violetta - 2015

Time series models are often fitted to the data without preliminary checks for stability of the mean and variance, conditions that may not hold in much economic and financial data, particularly over long periods. Ignoring such shifts may result in fitting models with spurious dynamics that lead...

Persistent link: https://www.econbiz.de/10013020466

A Simple Adjustment for Bandwidth Snooping

Armstrong, Timothy - 2014

Persistent link: https://www.econbiz.de/10013043191

Hybrid Stochastic Local Unit Roots

Lieberman, Offer - 2018

theory and asymptotic expansions for the process and document how inference in LUR and STUR autoregressions is affected …

Persistent link: https://www.econbiz.de/10012931700

Uniform Asymptotic Normality in Stationary and Unit Root Autoregression

Han, Chirok - 2010

While differencing transformations can eliminate nonstationarity, they typically reduce signal strength and correspondingly reduce rates of convergence in unit root autoregressions. The present paper shows that aggregating moment conditions that are formulated in differences provides an orderly...

Persistent link: https://www.econbiz.de/10013148982