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Goodness of Fit: an axiomatic approach
Cowell, Frank A.; Davidson, Russell; Flachaire, Emmanuel - HAL - 2011
An axiomatic approach is used to develop a one-parameter family of measures of divergence between distributions. These measures can be used to perform goodness-of-fit tests with good statistical properties. Asymptotic theory shows that the test statistics have well-defined limiting distributions...
Persistent link: https://www.econbiz.de/10009371843
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Asymptotic refinements of bootstrap tests in a linear regression model ; A CHM bootstrap using the first four moments of the residuals
Treyens, Pierre-Eric - HAL - 2008
We consider linear regression models and we suppose that disturbances are either Gaussian or non Gaussian. Then, by using Edgeworth expansions, we compute the exact errors in the rejection probability (ERPs) for all one-restriction tests (asymptotic and bootstrap) which can occur in these linear...
Persistent link: https://www.econbiz.de/10008793622
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Further evidence on the impact of economic news on interest rates
Guegan, Dominique; Ielpo, Florian - HAL - 2007
interpretation and classification of these different shapes. Fourth, we find that the existence of some outliers in the one …
Persistent link: https://www.econbiz.de/10010750499
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Volatility Persistence in Crude Oil Markets
Charles, Amélie; Darné, Olivier - HAL - 2012
volatility over time. This study assesses the impact of structural changes and outliers on volatility persistence of three crude … volatility model. Secondly, we identify outliers using intervention analysis and conditional heteroscedasticity model. These … announcements on crude inventories. We show that outliers can bias the estimation of the persistence of the volatility. Taking into …
Persistent link: https://www.econbiz.de/10010558719
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Realised quantile-based estimation of the integrated variance
Christensen, Kim; Oomen, Roel; Podolskij, Mark - HAL - 2010
. Asymptotically, the quantile-based realised variance is immune to finite activity jumps and outliers in the price series, while in …
Persistent link: https://www.econbiz.de/10010570523
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Realised quantile-based estimation of the integrated variance
Christensen, Kim; Oomen, Roel; Podolskij, Mark - HAL - 2010
. Asymptotically, the quantile-based realised variance is immune to finite activity jumps and outliers in the price series, while in …
Persistent link: https://www.econbiz.de/10010898908