Showing 1 - 10 of 19
related to relatively infrequent changes in regime. U sing the theory of Markov chains we provide sufficient conditions for …
Persistent link: https://www.econbiz.de/10009621424
recent parametric tests this is caused by estimation errors which result when the autoregressive parameters used to describe …
Persistent link: https://www.econbiz.de/10009582386
This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...
Persistent link: https://www.econbiz.de/10009612025
A new kind of mixture autoregressive model with GARCH errors is introduced and applied to the U.S. short-term interest rate. According to the diagnostic tests developed in the paper and further informal checks the model is capable of capturing both of the typical characteristics of the...
Persistent link: https://www.econbiz.de/10009612047
stability theory developed for Markov chains. Stationarity, existence of second moments of the stationary distribution, and …
Persistent link: https://www.econbiz.de/10009616775
Likelihood ratio (LR) tests for the cointegrating rank of a vector autoregressive (VAR) process have been developed under different assumptions regarding deterministic terms. For instance, nonzero mean terms and linear trends have been accounted for in some of the tests. In this paper we provide...
Persistent link: https://www.econbiz.de/10009659070
Two types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests have the same asymptotic distribution as the corresponding tests under...
Persistent link: https://www.econbiz.de/10009613596
A systems cointegration rank test is proposed which is applicable for vector autoregressive (VAR) processes with a structural shift at unknown time. The structural shift is modeled as a simple shift in the mean of the process. It is proposed to estimate the break date first on the basis of a...
Persistent link: https://www.econbiz.de/10009614873
account estimation errors in the nuisance parameters. An important result is that estimation under the null hypothesis is … preferable to estimation under local alternatives. This contrasts with results obtained by other authors for time series without …
Persistent link: https://www.econbiz.de/10009616785
Testing the cointegrating rank of a vector autoregressive process which may have a deterministic linear trend is considered. Previous proposals for dealing with such a situation are either to allow for a deterministic trend term in computing a suitable test statistic or else remove the linear...
Persistent link: https://www.econbiz.de/10009659627