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Breitung, Jörg - 1998

A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is … is no cointegration between the time series, the sequences of ranks tend to diverge, whereas under cointegration the … perform better than their parametric competitors. To test for nonlinear cointegration a variable addition test based on ranks …

Persistent link: https://www.econbiz.de/10009578004

Canonical correlation statistics for testing the cointegration rank in a reversed order

Breitung, Jörg - 1998

to construct a confidence set for the cointegration rank. As the latter test, our tests are based on the eigenvalues of a … to Johansen's LR tests for determining the cointegration rank. …

Persistent link: https://www.econbiz.de/10009578561

Local power of likelihood ratio tests for the cointegrating rank of a VAR process

Saikkonen, Pentti; Lütkepohl, Helmut - 1997

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

Trend adjustment prior to testing for the cointegrating rank of a VAR process

Saikkonen, Pentti; Lütkepohl, Helmut - 1997

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

Order selection in testing for the cointegrating rank of a VAR process

Lütkepohl, Helmut; Saikkonen, Pentti - 1997

The impact of the choice of the lag length on tests for the number of cointegration relations in a vector … simulation study we find that small sample power and size of LR cointegration tests strongly depend on the choice of the lag …

Persistent link: https://www.econbiz.de/10009660377

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - 2000

The properties of a range of maximum eigenvalue and trace tests for the cointegrating rank of a vector autoregressive process are compared. The tests are alilikelihood ratio type tests and operate under different assumptions regarding the deterministic part of the data generation process. The...

Persistent link: https://www.econbiz.de/10009612040

Volatility estimates of the short term interest rate with an application to German data

Dankenbring, Henning - 1998

This paper proposes a procedure for testing alternative specifications of the short term interest rate's dynamics which takes into account that according to some restrictions the interest rate is nonstationary, i.e. the traditional test statistic has a non-standard distribution. Moreover, we do...

Persistent link: https://www.econbiz.de/10009578570

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

Parametric versus nonparametric goodness of fit : another view

Läuter, Henning; Nikulin, Michail S. - 1999

We consider chi-squared type tests for testing the hypothesis H 0 that a density f of observations X1,..., Xn lies in a parametric class of densities F. We consider a version of chi-squared type test using kernel estimates for the density. The main result is, following Liero, Läuter and Konakov...

Persistent link: https://www.econbiz.de/10009579178

An adaptive, rate-optimal test of a parametric model against a nonparametric alternative

Horowitz, Joel; Spokojnyj, Vladimir G. - 1999

We develop a new test of a parametric model of a conditional mean function against a nonparametric alternative. The test adapts to the unknown smoothness of the alternative model and is uniformly consistent against alternatives whose distance from the parametric model converges to zero at the...

Persistent link: https://www.econbiz.de/10009579179