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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

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

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

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

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

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

Potential Pitfalls in Determining Multiple Structural Changes with an Application to Purchasing Power Parity

Prodan, Ruxandra - Econometric Society - 2004

Tests for structural change play an important role in macroeconomics and international finance. We investigate the … empirical performance of the Bai and Perron (1998) multiple structural change tests and show that the use of their critical … purchasing power parity from the application of unit root and structural change tests. We argue that the Bai and Perron test is …

Persistent link: https://www.econbiz.de/10005702663

Further results on weak-exogeneity in vector error correction models

Rault, Christophe - Econometric Society - 2004

This paper provides a necessary and sufficient condition for weak exogeneity in vector error correction models. An interesting property is that the statistics involved in the sequential procedure for testing this condition are distributed as ?ariables and can therefore easily be calculated with...

Persistent link: https://www.econbiz.de/10005702765

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

Seasonality, Cycles and Unit Roots

Salabasis, Mickael; Karlsson, Sune - Econometric Society - 2004

Inference on ordinary unit roots, seasonal unit roots, seasonality and business cycles are fundamental issues in time series econometrics. This paper proposes a novel approach to inference on these features by focusing directly on the roots of the autoregressive polynomial rather than taking the...

Persistent link: https://www.econbiz.de/10005130150