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Maximum Likelihood in the Frequency Domain: a Time to Build Example.

Christiano, L.J.; Vigfusson, R.J. - London School of Economics (LSE) - 1999

A well known result is that the Gaussian log-likelihood can be expressed as the sum over different frequency components. This implies that the likelihood ratio statistic has a similar linear decomposition. We exploit these observations to devise diagnostic methods that are useful for...

Persistent link: https://www.econbiz.de/10005207535

Nonparametric test for causality with long-range dependence

Hidalgo, Javier - London School of Economics (LSE) - 2000

This paper introduces a nonparametric Granger-causality test for covariance stationary linear processes under, possibly, the presence of long-range dependence. We show that the test is consistent and has power against contiguous alternatives converging to the parametric rate T-½. Since the test...

Persistent link: https://www.econbiz.de/10011071140

Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates

Chen, Xiaohong; Fan, Yanqin; Patton, Andrew J. - London School of Economics (LSE) - 2004

Evidence that asset returns are more highly correlated during volatile markets and during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some researchers to propose alternative models of dependence. In this paper we develop two simple goodness-of-fit tests for...

Persistent link: https://www.econbiz.de/10010746302

Consistent testing for stochastic dominance under general sampling schemes

Linton, Oliver; Maasoumi, Esfandiar; Whang, Yoon-Jae - London School of Economics (LSE) - 2003

Persistent link: https://www.econbiz.de/10010928652

Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap

Seo, Myung Hwan - London School of Economics (LSE) - 2005

There is a growing literature on unit root testing in threshold autoregressive models. This paper makes two contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold autoregression, in which the errors are allowed to be dependent and...

Persistent link: https://www.econbiz.de/10010928673

A quantilogram approach to evaluating directional predictability

Linton, Oliver; Whang, Yoon-Jae - London School of Economics (LSE) - 2003

In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a given time series has no directional predictability. The test is based on the correlogram of quantile hits. We provide the distribution theory needed to conduct inference,...

Persistent link: https://www.econbiz.de/10010928727

Semiparametric regression analysis under imputation for missing response data

Hardle, Wolfgang; Linton, Oliver; Wang, Qihua - London School of Economics (LSE) - 2003

We develop inference tools in a semiparametric regression model with missing response data. A semiparametric regression imputation estimator, a marginal average estimator and a (marginal) propensity score weighted estimator are defined. All the estimators are proved to be asymptotically normal,...

Persistent link: https://www.econbiz.de/10010928736

Inference about realized volatility using infill subsampling

Kalnina, Ilze; Linton, Oliver - London School of Economics (LSE) - 2007

not have this correlation problem; however, it has a vanishing bias only under smoothness assumptions on the volatility …. This is due to a high correlation between estimators on different subsamples. We discuss an alternative approach that does … volatility path. This is a general method and can be potentially applied to conduct inference for quadratic variation in the …

Persistent link: https://www.econbiz.de/10010928783

Refinements in maximum likelihood inference on spatial autocorrelation in panel data

Robinson, Peter; Rossi, Francesca - London School of Economics (LSE) - 2015

autoregressive setting. An Edgeworth expansion is developed for the maximum likelihood estimate of the spatial correlation …

Persistent link: https://www.econbiz.de/10011268329

Non-nested testing of spatial correlation

Delgado, Miguel A.; Robinson, Peter - London School of Economics (LSE) - 2015

; both isotropic models and non-isotropic models can be considered, and a wide variety of correlation structures. In the …

Persistent link: https://www.econbiz.de/10011234813