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A new bootstrap test for the validity of a set of marginal models for multiple dependent time series : an application to risk analysis
Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart F. - 2014
A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where the dependence structure between the time series is taken "directly" from the observed data. The procedure is useful when one wants to summarize the test results for several time...
Persistent link: https://www.econbiz.de/10010250513
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An Introduction to Bootstrap Theory in Time Series Econometrics
Cavaliere, Giuseppe - 2020
is discussed in terms of the leading example of bootstrap-based hypothesis testing in the well-known first order auto … conditions and their implications for possible improvements in terms of (empirical) size and power for bootstrap-based testing …, when compared to asymptotic testing, are illustrated by simulations. Following this, an overview of selected recent …
Persistent link: https://www.econbiz.de/10012835479
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Means-Tested Benefits, Incentives and Earnings Distributions.
Creedy, J.; Scutella, R. - Department of Economics, Faculty of Business and Economics - 2000
This paper considers the question whether it is possible, using information about only the distribution of earnings, to identify some of the labour supply incentive effects of a tax and transfer system.
Persistent link: https://www.econbiz.de/10005750848
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Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Brännäs, Kurt; Gooijer, Jan G. de - 2000
The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...
Persistent link: https://www.econbiz.de/10011303289
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Modelling seasonalities in nonlinear inflation rates using SEASETARs
Gooijer, Jan G. de; Vidiella-i-Anguera, Antoni - 2000
In this paper, we present a new time series model, whichdescribes self-exciting threshold autoregressive (SETAR) nonlinearityand seasonality simultaneously. The model is termed multiplicativeseasonal SETAR (SEASETAR). It can be viewed as a special case of ageneral non-multiplicativeSETAR model...
Persistent link: https://www.econbiz.de/10011304390
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Are linear models really unuseful to describe business cycle data?
Lopes, Artur C. B. da Silva; Zsurkis, Gabriel Florin - 2017
on testing only. The authors aim to maximize power to detect non-linearities and, simultaneously, they purport avoiding …
Persistent link: https://www.econbiz.de/10011596878
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Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test
Demetrescu, Matei; Leppin, Julian Sebastian; Reitz, Stefan - 2017
(Panel) Smooth Transition Regressions substantially gained in popularity due to their flexibility in modeling regression coefficients as homogeneous or heterogeneous functions of transition variables. In the estimation process, however, researchers typically face a trade-off in the sense that a...
Persistent link: https://www.econbiz.de/10011750362
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Homogenous vs. heterogenous transition functions in smooth transition regressions : a LM-type test
Demetrescu, Matei; Leppin, Julian Sebastian; Reitz, Stefan - 2017
(Panel) Smooth Transition Regressions substantially gained in popularity due to their flexibility in modeling regression coefficients as homogeneous or heterogeneous functions of transition variables. In the estimation process, however, researchers typically face a trade-off in the sense that a...
Persistent link: https://www.econbiz.de/10011749886
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Nonparametric retrospection and monitoring of predictability of financial returns
Anatolyev, Stanislav - Center for Economic and Financial Research (CEFIR), New … - 2006
We develop and evaluate sequential testing tools for a class of nonparametric tests for predictability of financial … where a researcher conducts testing as new observations arrive. Throughout, we elaborate on both two-sided and one …-sided testing, focusing on linear monitoring boundaries that are continuations of horizontal lines corresponding to retrospective …
Persistent link: https://www.econbiz.de/10005086555
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Adaptive Testing in ARCH Models
Linton, Oliver; Steigerwald, Douglas G. - Cowles Foundation for Research in Economics, Yale University - 1995
Existing specification tests for conditional heteroskedasticity are derived under the assumption that the density of the innovation, or standardized error, is Gaussian, despite the fact that many recent empirical studies provide evidence that this density is not Gaussian. We obtain specification...
Persistent link: https://www.econbiz.de/10005087404