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An Approximate Wavelet MLE of Short- and Long-Memory Parameters
Jensen, Mark J. - In: Studies in Nonlinear Dynamics & Econometrics 3 (1999) 4
when transformed by wavelets.In this paper we generalize the long-memory parameter estimator of McCoy and Walden (1996) to … approximate an ARFIMA model's likelihood function with the series' wavelet coefficientsand their variances. Maximization of this … likelihood estimates of the ARFIMA model.By simultaneously maximizing the likelihood function over both the short and long …
Persistent link: https://www.econbiz.de/10014620822
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An Approximate Wavelet MLE of Short- and Long-Memory Parameters
Jensen, Mark - In: Studies in Nonlinear Dynamics & Econometrics 3 (2007) 4, pp. 239-253
when transformed by wavelets.In this paper we generalize the long-memory parameter estimator of McCoy and Walden (1996) to … approximate an ARFIMA model's likelihood function with the series' wavelet coefficientsand their variances. Maximization of this … likelihood estimates of the ARFIMA model.By simultaneously maximizing the likelihood function over both the short and long …
Persistent link: https://www.econbiz.de/10005007688
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An Approximate Wavelet MLE of Short- and Long-Memory Parameters
Jensen, Mark - In: Studies in Nonlinear Dynamics & Econometrics 3 (1999) 4, pp. 239-253
when transformed by wavelets.In this paper we generalize the long-memory parameter estimator of McCoy and Walden (1996) to … approximate an ARFIMA model's likelihood function with the series' wavelet coefficientsand their variances. Maximization of this … likelihood estimates of the ARFIMA model.By simultaneously maximizing the likelihood function over both the short and long …
Persistent link: https://www.econbiz.de/10005046475
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Testing linear regression model with AR(1) errors against a first-order dynamic linear regression model with white noise errors: A point optimal testing approach
Sriananthakumar, Sivagowry - In: Economic Modelling 33 (2013) C, pp. 126-136
We know very little about the performance of point optimal (PO) and approximate point optimal (APO) tests in the presence of unavoidable nuisance parameters. Because marginal likelihood based tests are said to perform well in the presence of unavoidable nuisance parameters, this paper compares...
Persistent link: https://www.econbiz.de/10010737998
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The Role of Beliefs in Inference for Rational Expectations Models
Lehmann, Bruce N. - National Bureau of Economic Research (NBER) - 2005
This paper discusses inference for rational expectations models estimated via minimum distance methods by characterizing the probability beliefs regarding the data generating process (DGP) that are compatible with given moment conditions. The null hypothesis is taken to be rational expectations...
Persistent link: https://www.econbiz.de/10005014919
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Usage of an estimated coefficient as a dependent variable
Hornstein, Abigail S.; Greene, William H. - In: Economics Letters 116 (2012) 3, pp. 316-318
Two-step estimation with large panel data sets generally involves estimating vectors of individual-specific coefficients in a first-stage. In a second-stage estimation a vector of estimated coefficients is used as the dependent variable. Potential problems of heteroskedasticity in the second...
Persistent link: https://www.econbiz.de/10010594058
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Model selection in the presence of nonstationarity
Kim, Jae-Young - In: Journal of Econometrics 169 (2012) 2, pp. 247-257
This paper studies model selection methods in the presence of nonstationarity. We focus on the Bayesian model selection rule and compare it with other criteria that are frequently used in econometric practice. First, we derive each of these criteria in the presence of nonstationarity. In...
Persistent link: https://www.econbiz.de/10011052288
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Multi-scale tests for serial correlation
Gençay, Ramazan; Signori, Daniele - In: Journal of Econometrics 184 (2015) 1, pp. 62-80
This paper introduces a new family of portmanteau tests for serial correlation. Using the wavelet transform, we decompose the variance of the underlying process into the variance of its low frequency and of its high frequency components and we design a variance ratio test of no serial...
Persistent link: https://www.econbiz.de/10011077599
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Detecting structural changes using wavelets
Yazgan, M. Ege; Özkan, Harun - In: Finance Research Letters 12 (2015) C, pp. 23-37
variances of the wavelet and scaling coefficients. We use this feature of wavelets to design a statistical test for changes in …
Persistent link: https://www.econbiz.de/10011191194
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Aggregation of the generalized fractional processes
Sun, Jingwei; Shi, Wendong - In: Economics Letters 124 (2014) 2, pp. 258-262
The paper studies the interaction between aggregation and persistence pertaining to skip sampling of stock variables as well as temporal aggregation of flow variables for the generalized fractional processes. We show that, for skip sampling, the long memory feature at the zero frequency can...
Persistent link: https://www.econbiz.de/10010933290