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Long-run and Cyclical Dynamics in the US Stock Market
Gil-Alana, L.A.; caporale, G.M. - Econometric Society - 2004
integration techniques. We implement a version of the tests of Robinson (1994a), which enables one to consider unit (or fractional …
Persistent link: https://www.econbiz.de/10005063571
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JACKSTRAPPING DEA SCORES FOR ROBUST EFFICIENCY MEASUREMENT
Ribeiro, Darcy; Sousa, Maria da Conceição Sampaio de - Econometric Society - 2004
A new approach for Robust DEA technical efficiency measurements is presented, based on a combination of Jackknife and Bootstrap resampling schemes. First, an algorithm implementing jackknife is used to extract leverage for all data points, that is, the impact of the removal of the observed point...
Persistent link: https://www.econbiz.de/10005129766
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The Cusum Test for Parameter Change in Regression with ARCH Errors
Maekawa, Koichi; Sangyeol; Lee - Econometric Society - 2004
In this paper, we concentrate ourselves on Inclán and Tiao (1994)'s cusum test in regression models with ARCH errors. The ARCH and GARCH models have long been popular in financial time series analysis. For a general review, see Gouriéroux (1997).Inclán and Tiao (1994)'s cusum test was...
Persistent link: https://www.econbiz.de/10005130233
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Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC
Hyndman, Rob L.; Zhang, Xibin; King, Maxwell L. - Econometric Society - 2004
Kernel density estimation for multivariate data is an important technique that has a wide range of applications in econometrics and finance. However, it has received significantly less attention than its univariate counterpart. The lower level of interest in multivariate kernel density...
Persistent link: https://www.econbiz.de/10005702571
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SMOOTH TEST FOR TESTING EQUALITY OF TWO DENSITIES
Xiao, Zhijie; Bera, Anil K.; Ghosh, Aurobindo - Econometric Society - 2004
-Smirnov, Cramér-von Mises and Anderson-Darling tests fail to have good power particularly against very specific alternatives. We show …
Persistent link: https://www.econbiz.de/10005702690
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Estimating and forecasting instantaneous volatility through a duration model : An assessment based on VaR
Morimoto, Takayuki - Econometric Society - 2004
In order to forecast one-step ahead volatility, we calculated jump intensity by using estimated parameters of a duration model of price change. In this procedure, we do not assume any distribution on log-return. Although we do not make any distributional assumption, we may practically choose a...
Persistent link: https://www.econbiz.de/10005702699
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Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap
Seo, Myunghwan - Econometric Society - 2004
There is a growing literature on unit root testing in threshold autoregressive models. This paper makes two contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold autoregression, in which the errors are allowed to be dependent and...
Persistent link: https://www.econbiz.de/10005342185
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Finite Sample and Optimal Inference in Possibly Nonstationary ARCH Models with Gaussian and Heavy-Tailed Errors
Iglesias, Emma; Dufour, Jean Marie - Econometric Society - 2004
-type and point-optimal tests are studied. Special problems considered include the hypothesis of no-ARCH effects and IARCH … structure. We propose exact inference based on pivotal Monte Carlo tests [as in Dufour and Kiviet (1996, 1998) and Dufour …, Khalaf, Bernard and Genest (2004)] and maximised Monte Carlo tests [Dufour (2004))], depending on whether nuisance parameters …
Persistent link: https://www.econbiz.de/10005342251
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Fixed Bandwidth Asymptotics in Single Equation Models of Cointegration with an Application to Money Demand
Bunzel, Helle - Econometric Society - 2004
the standard tests still have asymptotic distributions free of serial correlation nuisance parameters regardless of the … bandwidth choices are made. Finite sample simulations comparing the size and power of the tests using the fixed-b asymptotics to … some of the currently popular tests are performed. These simulations confirm that the well-known size distortion of the …
Persistent link: https://www.econbiz.de/10005342277
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Testing for seasonal unit roots in heterogeneous panels
Otero, Jesus; Smith, Jeremy - Econometric Society - 2004
This paper uses the approach of Im, Pesaran and Shin (2003) to propose seasonal unit root tests for dynamic … simply averages of the HEGY tests across groups. These statistics converge to standard normal variate …
Persistent link: https://www.econbiz.de/10005129780