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Testing for unit roots in time series with level shifts

Saikkonen, Pentti; Lütkepohl, Helmut - 1999

Tests for unit roots in univariate time series with level shifts are proposed and investigated. The level shift is assumed to occur at a known time. It may be a simple one-time shift which can be captured by a dummy variable or it may have a more general form which can be modeled by some general...

Persistent link: https://www.econbiz.de/10009580487

Rank tests for unit roots

Breitung, Jörg; Gouriéroux, Christian - 1996

In order to obtain exact distributional results without imposing restrictive parametric assumptions, several rank counterparts of the Dickey-Fuller statistic are considered. In particular, a rank counterpart of the score statistic is suggested which appears to have attractive theoretical...

Persistent link: https://www.econbiz.de/10009630543

Estimation and testing for varying coefficients in additive models with marginal integration

Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …

Persistent link: https://www.econbiz.de/10009627286

Modeling panels of intercorrelated autoregressive time series

Hjellvik, Vidar; Tjostheim, Dag - 1998

We propose a method of modeling panel time series data with both inter- and intra-individual correlation, and of fitting an autoregressive model to such data. Estimates are obtained by a conditional likelihood argument. If there are few observations in each series, the estimates can be...

Persistent link: https://www.econbiz.de/10009578021

Benkwitz, Alexander; Lütkepohl, Helmut; Neumann, Michael H. - 1997

Bootstrap confidence intervals for impulse responses computed from autoregressive processes are considered. A detailed analysis of the methods in current use shows that they are not very reliable in some cases. In particular, there are theoretical reasons for them to have actual coverage...

Persistent link: https://www.econbiz.de/10009660382

Nonparametric kernel estimation of evolutionary autoregressive processes

Kim, Woocheol - 2001

This paper develops a new econometric tool for evolutionary autoregressive models where the AR coefficients change smoothly over time. To estimate the unknown functional form of time-varying coefficients, we propose a mdified local linear smoother. The asymptotic normality and variance of the...

Persistent link: https://www.econbiz.de/10009618358

Kernel estimation of functional coefficients in nonparametric ARX time series models

Kim, Woocheol - 2001

variable and can cover a wide range of nonlinear dynamic processes. The estimation procedure consists of two steps; local …

Persistent link: https://www.econbiz.de/10009618359

A model specification test

Bartels, Knut - 1998

A general model specification test of a parametric model against a nonparametric or semiparametric alternative is studied. The test statistic employs a fixed kernel, not varying by a bandwidth. This test is proved to be consistent, the asymptotic distribution is derived and shown to be...

Persistent link: https://www.econbiz.de/10009578557

Canonical correlation statistics for testing the cointegration rank in a reversed order

Breitung, Jörg - 1998

In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r r0. Such a test flips the null and alternative hypotheses of Johansen's LR test and can be used jointly with the LR test to construct a confidence set for the cointegration rank....

Persistent link: https://www.econbiz.de/10009578561

Parametric versus nonparametric goodness of fit : another view

Läuter, Henning; Nikulin, Michail S. - 1999

We consider chi-squared type tests for testing the hypothesis H 0 that a density f of observations X1,..., Xn lies in a parametric class of densities F. We consider a version of chi-squared type test using kernel estimates for the density. The main result is, following Liero, Läuter and Konakov...

Persistent link: https://www.econbiz.de/10009579178