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Potential Pitfalls in Determining Multiple Structural Changes with an Application to Purchasing Power Parity
Prodan, Ruxandra - Econometric Society - 2004
power on data that includes breaks of opposite sign. We extend this test in two directions. First, we propose a new … mean or trend reversion. The simulation results show good power and satisfactory size of the new procedures. Using long … 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
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Testing for Dependence in Non-Gaussian Time Series Data
Freeland, Keith; McCabe, Brendan; Martin, Gael - Econometric Society - 2004
This paper provides a general methodology for testing for dependence in time series data, with particular emphasis given to non-Gaussian data. A dynamic model is postulated for a continuous latent variable and the dynamic structure transferred to the non-Gaussian, possibly discrete,...
Persistent link: https://www.econbiz.de/10005342169
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Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap
Seo, Myunghwan - Econometric Society - 2004
considerable power gains over the ADF test that neglects threshold effects. The law of one price hypothesis is investigated among …
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
procedures work well from the viewpoints of size and power. The powers gains provided by the point optimal procedures are in many …
Persistent link: https://www.econbiz.de/10005342251
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Structural changes, common stochastic trends and unit roots in panel data
Bai, Jushan; Carrion-i-Silvestre, Josep Lluís - Econometric Society - 2004
In this paper we propose a new test statistic that considers multiple structural breaks to analyse the non-stationarity of a panel data set. The methodology is based on the common factor analysis in an attempt to allow for some sort of dependence across the individuals. Thus allowing for...
Persistent link: https://www.econbiz.de/10005342256
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Fixed Bandwidth Asymptotics in Single Equation Models of Cointegration with an Application to Money Demand
Bunzel, Helle - Econometric Society - 2004
bandwidth or kernel used, even if the regressors in the cointegration relationship are endogenous. Using asymptotic power and … bandwidth choices are made. Finite sample simulations comparing the size and power of the tests using the fixed-b asymptotics to … standard tests can be greatly reduced. Alternatively, one can obtain greater power with much the same level of size distortion …
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 heterogeneous panels based on the means of the individuals HEGY test statistics. The standardised t-bar and F-bar statistics are simply averages of the HEGY tests across groups. These...
Persistent link: https://www.econbiz.de/10005129780
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Bootstrapping the HEGY Seasonal Unit Root Tests
Taylor, Robert; Burridge, Peter - Econometric Society - 2004
bootstrapped tests have comparable power to (infeasible) exactly significance-level-corrected lag-augmented HEGY tests, and their …
Persistent link: https://www.econbiz.de/10005130173
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Using turning point information to study economic dynamics
Harding, Don - Econometric Society - 2004
Procedures are developed to compute the proportion of turning points located in the sample path of time series data. It is shown that the proportion of turning points can be directly related to the data generating process. Methods for estimating model parameters are developed using counts of...
Persistent link: https://www.econbiz.de/10005063634
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LM-Type tests for a Unit Root Allowing for a Break in Trend
Nunes, Luis C. - Econometric Society - 2004
the superiority in terms of size, power and break date estimation of the proposed method …
Persistent link: https://www.econbiz.de/10005063667