Similar Search Results

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

Modified Tests for a Change in Persistence

Taylor, Robert; Leybourne, Stephen; Harvey, David - Econometric Society - 2004

displaying only very modest losses in power, relative to unmodified tests, against persistence change process …

Persistent link: https://www.econbiz.de/10005702530

Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity

Hurn, Stan - Econometric Society - 2004

This paper considers an important practical problem in testing time-series data for nonlinearity in mean. Most popular tests reject the null hypothesis of linearity too frequently if the the data are heteroskedastic. Two approaches to redressing this size distortion are considered, both of which...

Persistent link: https://www.econbiz.de/10005702543

Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average

Distaso, Walter; Awartani, Basel; Corradi, Valentina - Econometric Society - 2004

It is a well accepted fact that stock returns data are often contaminated by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover, and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model...

Persistent link: https://www.econbiz.de/10005702555

Some Bootstrap Tests for Non-linearity and Long Memory in Financial Time Series

Wolff, Rodney C; Barnett, Adrian G - Econometric Society - 2004

present. Recent developments in tests for non-linearity very commonly display low power, most likely because of over …

Persistent link: https://www.econbiz.de/10005702559

Admissible and Nonadmissible Test in Unit-Root-like Situations

Ploberger, Werner - Econometric Society - 2004

In this paper I investigate the asymptotic behavior of tests for problems with locally asymptotically quadratic likelihood. I present necessary and sufficient conditions for a test to be admissible. Even without these restrictive parametric assumptions, I can show that certain common procedures...

Persistent link: https://www.econbiz.de/10005702610

Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average

Awartani, Basel; Corradi, Valentina - Econometric Society - 2004

It is a well accepted fact that stock returns data are often characterized by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model...

Persistent link: https://www.econbiz.de/10005702617

Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power

Taylor, Robert; Busetti, Fabio - Econometric Society - 2004

standard stationarity test in the discrete-time local level model. Here we also show that the asymptotic local power of the LBI … values for the LBI tests for both stock and flow variables, together with a finite sample power study. Our results suggest …

Persistent link: https://www.econbiz.de/10005702691

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

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