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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

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

Learning the CAPM through Bubbles

Kedar-Levy, Haim - Econometric Society - 2004

Bubbles are generally considered the outcome of investor irrationality or informational asymmetry, both objectionable … prices make a lognormal price process that nests the classic CAPM with a potential for endogenous bubbles through learning … might burst to bubbles or decline to near-zero, â€œpink-sheetâ€ valuations. When the technology shifts phase to generate …

Persistent link: https://www.econbiz.de/10005702759

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

LM-Type tests for a Unit Root Allowing for a Break in Trend

Nunes, Luis C. - Econometric Society - 2004

We consider LM-type tests for a unit root allowing for a break in trend at an unknown date. In addition to the minimum LM test statistic, we propose new LM-type tests based on the least squares estimator of the break date under the null. We examine asymptotic behavior under the null hypothesis...

Persistent link: https://www.econbiz.de/10005063667

Testing for a unit-root with a nonlinear Fourier function

Lee, Junsoo; Enders, Walter - Econometric Society - 2004

The paper develops a unit-root test that allows for an unknown number of structural breaks with unknown functional forms. The test is based on the fact that the behavior of such series can often be captured using a single frequency component of a Fourier approximation. Hence, instead of...

Persistent link: https://www.econbiz.de/10005063755

Modified Tests for a Change in Persistence

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

Being able to correctly characterise an observed time series into its separate difference stationary and trend stationary regimes, should they exist, has important implications for effective model building and forecasting in economics and finance. Existing ratio-based statistics test the null...

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

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

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

Understanding and forecasting financial time series depend crucially on identifying any non-linearity which may be present. Recent developments in tests for non-linearity very commonly display low power, most likely because of over-smoothing and discarding pertinent information. In this...

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