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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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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
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Testing for a unit-root with a nonlinear Fourier function
Lee, Junsoo; Enders, Walter - Econometric Society - 2004
estimating equation. Our proposed test does not exhibit any serious size distortions, and shows decent power. The appropriate use …
Persistent link: https://www.econbiz.de/10005063755
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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
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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
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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
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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
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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
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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