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End-of-Sample Cointegration Breakdown Tests
Andrews, Donald W.K.; Kim, Jae-Young - Cowles Foundation for Research in Economics, Yale University - 2003
This paper introduces tests for cointegration breakdown that may occur over a relatively short time period, such as at …
Persistent link: https://www.econbiz.de/10005593528
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Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency
Chang, Yoosoon - Cowles Foundation for Research in Economics, Yale University - 2000
observations. More specifically, we let each panel be driven by a general linear process which may be different across cross … then apply the bootstrap method to the approximated autoregressions to obtain the critical values for the panel unit root … tests, and establish the asymptotic validity of such bootstrap panel unit root tests under general conditions. The proposed …
Persistent link: https://www.econbiz.de/10005593302
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Specification Tests for Nonlinear Dynamic Models
Kheifets, Igor - Cowles Foundation for Research in Economics, Yale University - 2014
We propose a new adequacy test and a graphical evaluation tool for nonlinear dynamic models. The proposed techniques can be applied in any setup where parametric conditional distribution of the data is specified, in particular to models involving conditional volatility, conditional higher...
Persistent link: https://www.econbiz.de/10010937901
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Testing Additivity in Generalized Nonparametric Regression Models
Linton, Oliver; Gozalo, Pedro - Cowles Foundation for Research in Economics, Yale University - 1995
We propose a nonparametric test of conditional independence based on the empirical distribution function. The asymptotic null distribution is a mixture of chi-squares. A bootstrap procedure is proposed for calculating the critical values. Our test has power against alternatives at distance...
Persistent link: https://www.econbiz.de/10005762468
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Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1997
This paper considers a generalized method of moments (GMM) estimation problem in which one has a vector of moment conditions, some of which are correct and some incorrect. The paper introduces several procedures for consistently selecting the correct moment conditions. The procedures also can...
Persistent link: https://www.econbiz.de/10005762615
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An Improved Bootstrap Test of Stochastic Dominance
Linton, Oliver; Song, Kyungchul; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2009
We propose a new method of testing stochastic dominance that improves on existing tests based on the standard bootstrap or subsampling. The method admits prospects involving infinite as well as finite dimensional unknown parameters, so that the variables are allowed to be residuals from...
Persistent link: https://www.econbiz.de/10005011842
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Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit
Marmer, Vadim; Otsu, Taisuke - Cowles Foundation for Research in Economics, Yale University - 2009
Suppose that the econometrician is interested in comparing two misspecified moment restriction models, where the comparison is performed in terms of some chosen measure of fit. This paper is concerned with describing an optimal test of the Vuong (1989) and Rivers and Vuong (2002) type null...
Persistent link: https://www.econbiz.de/10005068261
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Vector Autoregression and Causality
Toda, Hiro Y.; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1991
This paper develops a complete limit theory for Wald tests of Granger causality in levels vector autoregression (VAR …'s) and Johansen-type error correction models (ECM's) allowing for the presence of stochastic trends and cointegration …
Persistent link: https://www.econbiz.de/10005464026
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Conditional Independence Restrictions: Testing and Estimation
Linton, Oliver; Gozalo, Pedro - Cowles Foundation for Research in Economics, Yale University - 1996
We propose a nonparametric empirical distribution function based test of an hypothesis of conditional independence between variables of interest. This hypothesis is of interest both for model specification purposes, parametric and semiparametric, and for non-model based testing of economic...
Persistent link: https://www.econbiz.de/10005464056
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End-of-Sample Instability Tests
Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 2002
This paper considers tests for structural instability of short duration, such as at the end of the sample. The key feature of the testing problem is that the number, m, of observations in the period of potential change is relatively small -- possibly as small as one. The well-known F test of...
Persistent link: https://www.econbiz.de/10005593368