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Real Exchange Rate Misalignments
Valladares, Frederico; Terra, Cristina - Econometric Society - 2004
This paper characterizes episodes of real appreciations and depreciations for a sample of 85 countries, approximately from 1960 to 1998. First, the equilibrium real exchange rate series are constructed for each country using Goldfajn and Valdes (1999) methodology (cointegration with...
Persistent link: https://www.econbiz.de/10005063555
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A conditional distribution model for limited stock index returns
Sanddorf-Koehle, Walter G.; Friedmann, Ralph - Econometric Society - 2004
When a price limit regime exists for all of the stocks involved in an index, the index return is an aggregate of limited variables and thereby it is restricted to the same limits. We argue that neither a censored nor a truncated distribution model is appropriate for the aggregate return. The...
Persistent link: https://www.econbiz.de/10005342370
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Stopping Tests in the Sequential Estimation for Multiple Structural Breaks
Urga, Giovanni; Peretti, Christian de - Econometric Society - 2004
breaks is then estimated. The estimation of the break dates is sequential. Break dates are estimated via two alternative …
Persistent link: https://www.econbiz.de/10005328868
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Testing Distributional Assumptions: A GMM Approach
MEDDAHI, N.; BONTEMPS, C. - Econometric Society - 2004
In this paper, we consider testing marginal distributional assumptions. Special cases that we consider are the Pearson's family like the Gaussian, Student, Gamma, Beta and uniform distributions. The test statistics we consider are based on the first moment conditions derived by Hansen and...
Persistent link: https://www.econbiz.de/10005328955
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On the inadmissibility of classical tests in unit-root-type situations
Ploberger, Werner - Econometric Society - 2004
In this paper it is shown that "classical" tests can become asymptotically inadmissible (i.e. we show that there exist uniformly better tests) if the information matrix becomes stochastic: A typical example is the augmented Dickey-Fuller test for unit roots (in case of no deterministic trend. We...
Persistent link: https://www.econbiz.de/10005328960
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Asymptotic Distribution of the Cointegrating Vector Estimator in Error Correction Models with Conditional Heteroskedasticity
Seo, Byeongseon - Econometric Society - 2004
useful and required because the existing estimation methods do not consider conditional heteroskedasticity in the data. This … the error correction model and the multivariate GARCH process jointly. The existing estimation methods, including the … distribution theory for the cointegrating vector in the error correction model with conditional heteroskedasticity has not been …
Persistent link: https://www.econbiz.de/10005328963
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A Specification Test for Time Series Models by a Normality
Duan, Jin-Chuan - Econometric Society - 2004
A correctly specified time series model can be used to transform the data set to obtain an i.i.d. sequence of random variables, assuming that the true parameter values are known. In reality, however, one only has an estimated model and must therefore address the sampling error associated with...
Persistent link: https://www.econbiz.de/10005328968
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Martingale Tests of Value-at-Risk
Christoffersen, Peter; Berkowitz, Jeremy - Econometric Society - 2004
We present a general framework for testing the accuracy of Value-at-Risk (VaR) forecasts. The approach is based on the observation that violations – the days on which portfolio losses exceed the VaR – should be unpredictable. Specifically, these violations form a martingale difference...
Persistent link: https://www.econbiz.de/10005328970
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Testing Asset Pricing Model with Coskweness
Urga, Giovanni; Adesi, Giovanni Barone; Gagliardini, Patrick - Econometric Society - 2004
In this paper we investigate portfolio coskewness using a quadratic market model as return generating process. It is shown that portfolios of small (large) firms have negative (positive) coskewness with market. An asset pricing model including coskewness is tested through the restrictions it...
Persistent link: https://www.econbiz.de/10005328981
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Small sample confidence intervals for multivariate impulse response functions at long horizons
Rossi, Barbara; Pesavento, Elena - Econometric Society - 2004
presence of highly persistent processes. We do so by using alternative approximations based on local-to-unity asymptotic theory …
Persistent link: https://www.econbiz.de/10005329012