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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

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

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

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

Testing Equality of Covariance Matrices via Pythagorean Means

Cho, Jin Seo; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University

We provide a new test for equality of covariance matrices that leads to a convenient mechanism for testing specification using the information matrix equality. The test relies on a new characterization of equality between two k dimensional positive-definite matrices A and B: the traces of...

Persistent link: https://www.econbiz.de/10011107240

New Goodness-of-fit Diagnostics for Conditional Discrete Response Models

Kheifets, Igor; Velasco, Carlos - Cowles Foundation for Research in Economics, Yale University - 2013

This paper proposes new specification tests for conditional models with discrete responses. In particular, we can test the static and dynamic ordered choice model specifications, which is key to apply efficient maximum likelihood methods, to obtain consistent estimates of partial effects and to...

Persistent link: https://www.econbiz.de/10010817232

Testing Linearity Using Power Transforms of Regressors

Baek, Yae In; Cho, Jin Seo; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2013

to produce a composite approximation that embodies the linear model hypothesis. The limit theory for the QLR test …

Persistent link: https://www.econbiz.de/10010895656

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

Consistent Model and Moment Selection Criteria for GMM Estimation with Applications to Dynamic Panel Data Models

Andrews, Donald W.K.; Lu, Biao - Cowles Foundation for Research in Economics, Yale University - 1999

model and moment selection criteria to dynamic panel data models with unobserved individual effects. The paper shows how to … parameter estimation, the paper reports the results of a Monte Carlo experiment on a dynamic panel data model. …

Persistent link: https://www.econbiz.de/10004990691

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