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GLS Detrending for Nonlinear Unit Root Tests
Kapetanios, George; Shin, Yongcheol - School of Economics and Finance, Queen Mary - 2002
This paper investigates GLS detrending procedures for unit root tests against nonlinear stationary alternative hypotheses where deterministic components are assumed present in the series under investigation. It is found that the proposed procedures have considerable power gains in a majority of...
Persistent link: https://www.econbiz.de/10005106352
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Testing for ARCH in the Presence of Nonlinearity of Unknown Form in the Conditional Mean
Blake, Andrew P.; Kapetanios, George - School of Economics and Finance, Queen Mary - 2003
misspecification of the conditional mean may lead to spurious rejections of the null hypothesis of no ARCH. Nonlinearity is a prime … example of this phenomenon. There is little work on the extent of the effect of neglected nonlinearity on the properties of … neglected nonlinearity. Monte Carlo evidence shows that the problem is serious and that the new methods alleviate this problem …
Persistent link: https://www.econbiz.de/10005106375
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Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations
Kapetanios, George - School of Economics and Finance, Queen Mary - 2002
specifications for the dynamic model underlying them. It is clear that in the presence of nonlinearity standard tests of structural …
Persistent link: https://www.econbiz.de/10005106377
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Testing for Neglected Nonlinearity in Long Memory Models
Kapetanios, George - School of Economics and Finance, Queen Mary - 2002
Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. The … both long memory and nonlinearity. We test against the possibility that the process <i>u<sub>t</sub></i> in the model <i>(1 …
Persistent link: https://www.econbiz.de/10005106415
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Testing for Nonstationary Long Memory against Nonlinear Ergodic Models
Kapetanios, George; Shin, Yongcheol - School of Economics and Finance, Queen Mary - 2003
Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. This …
Persistent link: https://www.econbiz.de/10005106422
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Boosting Estimation of RBF Neural Networks for Dependent Data
Kapetanios, George; Blake, Andrew P. - School of Economics and Finance, Queen Mary - 2007
This paper develops theoretical results for the estimation of radial basis function neural network specifications, for dependent data, that do not require iterative estimation techniques. Use of the properties of regression based boosting algorithms is made. Both consistency and rate results are...
Persistent link: https://www.econbiz.de/10005106288
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Testing for Exogeneity in Nonlinear Threshold Models
Kapetanios, George - School of Economics and Finance, Queen Mary - 2004
Most work in the area of nonlinear econometric modelling is based on a single equation and assumes exogeneity of the explanatory variables. Recently, work by Caner and Hansen (2003) and Psaradakis, Sola, and Spagnolo (2004) has considered the possibility of estimating nonlinear models by methods...
Persistent link: https://www.econbiz.de/10005106400
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Testing for Neglected Nonlinearity in Long Memory Models
Baillie, Richard T.; Kapetanios, George - School of Economics and Finance, Queen Mary - 2005
This paper constructs tests for the presence of nonlinearity of unknown form in addition to a fractionally integrated … restrict the parametric form of the nonlinearity. The tests only require a consistent estimate of the long memory parameter …
Persistent link: https://www.econbiz.de/10005106408
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Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates
Baillie, Richard T.; Kapetanios, George - School of Economics and Finance, Queen Mary - 2006
This paper considers estimation and inference in some general non linear time series models which are embedded in a strongly dependent, long memory process. Some new results are provided on the properties of a time domain <i>MLE</i> for these models. The paper also includes a detailed simulation study...
Persistent link: https://www.econbiz.de/10005106456
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Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence
Kapetanios, George; Psaradakis, Zacharias - School of Economics and Finance, Queen Mary - 2007
This paper considers the problem of statistical inference in linear regression models whose stochastic regressors and errors may exhibit long-range dependence. A time-domain sieve-type generalized least squares (GLS) procedure is proposed based on an autoregressive approximation to the...
Persistent link: https://www.econbiz.de/10005106458