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Nonparametric estimation and testing of interaction in additive models

Sperlich, Stefan; Tjostheim, Dag; Yang, Lijian - 1998

Estimation …

Persistent link: https://www.econbiz.de/10009574875

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a...

Persistent link: https://www.econbiz.de/10009578026

Functional coefficient autoregressive models : estimation and tests of hypotheses

Chen, Rong - 1998

In this paper we study nonparametric estimation and hypothesis testing procedures for the functional coefficient AR … many others. We propose a local linear estimation procedure for estimating the coefficient functions and study its …. -- Continuity test ; Linearity test ; Local linear estimation ; Nonparametric estimation ; One sided kernel ; Threshold Model …

Persistent link: https://www.econbiz.de/10009574879

A consistent nonparametric test of the convexity of regression based on least squares splines

Diack, Cheikh A. T. - 1998

This paper provides a test of convexity of a regression function. This test is based on the least squares splines. The test statistic is shown to be asymptotically of size equal to the nominal level, while diverging to infinity if the convexity is misspecified. Therefore, the test is consistent...

Persistent link: https://www.econbiz.de/10009578019

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

Nonparametric significance testing

Lavergne, Pascal; Vuong, Quang H. - 1998 - Rev.

and Li (1996). -- Hypothesis testing ; Kernel estimation ; Nested models …

Persistent link: https://www.econbiz.de/10009578578

Nonparametric factor analysis of time series

Rodríguez Poo, Juan Manuel; Linton, Oliver - 1998

macromodel. -- Factor Analysis ; Time Series ; Kernel estimation ; Nonparametric …

Persistent link: https://www.econbiz.de/10009578000

A nonparametric test for the stationary density

Neumann, Michael H.; Paparoditis, Efstathios - 1998

We propose a nonparametric test for checking parametric hypotheses about the stationary density of weakly dependent observations. The test statistic is based on the L2-distance between a nonparametric and a smoothed version of a parametric estimate of the stationary density. It can be shown that...

Persistent link: https://www.econbiz.de/10009578009

A minimality property of the minimal martingale measure

Schweizer, Martin - 1998

Let X be a continuous adapted process for which there exists an equivalent local martingale measure (ELMM). The minimal martingale measure P is the unique ELMM for X with the property that local P-martingales strongly orthogonal to the P-martingale part of X are also local P-martingales. We...

Persistent link: https://www.econbiz.de/10009578560