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Panel Unit Root Tests under Cross- sectional Dependence
Das, Samarjit; Breitung, Joerg - Econometric Society - 2004
In this paper alternative approaches for testing the unit root hypothesis in panel data are considered. First, a robust …
Persistent link: https://www.econbiz.de/10005063717
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Bootstrapping the HEGY Seasonal Unit Root Tests
Taylor, Robert; Burridge, Peter - Econometric Society - 2004
This paper proposes bootstrap versions of the seasonal unit root tests of, inter alia, Hylleberg, Engle, Granger and Yoo (1990,Journal of Econometrics 55, 305-328)[HEGY]. We report a simulation study of the properties of both the conventional and bootstrapped seasonal unit root tests when...
Persistent link: https://www.econbiz.de/10005130173
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SMOOTH TEST OF DENSITY FORECAST EVALUATION WITH INDEPENDENT AND SERIALLY DEPENDENT DATA
Ghosh, Aurobindo; Bera, Anil K. - Econometric Society - 2004
Recently financial econometricians have shifted their attention from point and interval forecasts to density forecasts mainly to address the issue of the huge loss of information that results from depicting portfolio risk by a measure of dispersion alone. One of the major problems in this area...
Persistent link: https://www.econbiz.de/10005342281
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End-of-Sample Conintegratio Breakdown Tests
Andrews, Donald; Kim, Jae-Young - Econometric Society - 2004
this paper introduces ests for conintegration breakdown that may occur over a relatively short time period, such as at the end of the sample. The breakdown may be due to a shift in the cointegrating vector or due to a shift in the errors from beging I(0) to being I(1). Tests are introduced based...
Persistent link: https://www.econbiz.de/10005342314
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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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A Smooth Test for Density Forecast Evaluation
Ghosh, Aurobindo; Bera, Anil K. - Econometric Society - 2004
Recently financial econometricians have shifted their attention from point and interval forecasts to density forecasts mainly to address the issue of the huge loss of information that results from depicting portfolio risk by a measure of dispersion alone. One of the major problems in this area...
Persistent link: https://www.econbiz.de/10005063641
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Consistent LM-Tests for Linearity Against Compound Smooth Transition Alternatives
Hill, Jonathan B. - Econometric Society - 2004
-of-sample predictive accuracy. Of particular note, we improve on Bierens's (1990) test theory by considering vector conditional moments …
Persistent link: https://www.econbiz.de/10005063692
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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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Fixed Bandwidth Asymptotics in Single Equation Models of Cointegration with an Application to Money Demand
Bunzel, Helle - Econometric Society - 2004
errors using fixed bandwidth (fixed-b) asymptotic theory and adapting it to the cointegration environment. It is shown that …This paper provides a new approach to testing cointegration parameters in a single-equation cointegration environment … bandwidth or kernel used, even if the regressors in the cointegration relationship are endogenous. Using asymptotic power and …
Persistent link: https://www.econbiz.de/10005342277
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Testing Weak Exogeneity in Cointegrated System
Chiying, Hsiao; Pu, Chen - Econometric Society - 2004
This paper develops a limiting theory for Wald tests of weak exogeneity in error correction models (ECMs). It is well …
Persistent link: https://www.econbiz.de/10005086413