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Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach

Haldrup, Niels; Jansson, Michael - Tinbergen Institute - 1999

on this representation, a notion of near cointegration is proposed and three separate applications of the model of near … cointegration are provided. As a first application, we give analytical corroboration of the conjecture that the finite sample … coefficient. Hence, the notion of near cointegration helps to bridge the gap between the polar cases of spurious regression and …

Persistent link: https://www.econbiz.de/10005137044

Why Frequency Matters for Unit Root Testing

Boswijk, H. Peter; Klaassen, Franc - Tinbergen Institute - 2005

recent work on unit root and cointegration testing based non-Gaussian likelihood functions. The essential idea is that such …

Persistent link: https://www.econbiz.de/10005137272

Generalized Reduced Rank Tests using the Singular Value Decomposition

Kleibergen, Frank; Paap, Richard - Tinbergen Institute - 2003

.F.R. Science Economique, University de Franche-Comté]. In the non-stationary cointegration case, the limiting distribution of the …

Persistent link: https://www.econbiz.de/10005137340

How to Implement the Bootstrap in Static or Stable Dynamic Regression Models

Giersbergen, Noud P.A. van; Kiviet, Jan F. - Tinbergen Institute - 2001

By combining two alternative formulations of a test statistic with two alternative resampling schemes we obtain four different bootstrap tests. In the context of static linear regression models two of these are shown to have serious size and power problems, whereas the remaining two are adequate...

Persistent link: https://www.econbiz.de/10005137131

Spot Variance Path Estimation and its Application to High Frequency Jump Testing

Bos, Charles S.; Janus, Pawel; Koopman, Siem Jan - Tinbergen Institute - 2009

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

Persistent link: https://www.econbiz.de/10008513245

How Large is Average Economic Growth? Evidence from a Robust Method

Boswijk, H. Peter; Franses, Philip Hans - Tinbergen Institute - 2002

This paper puts forward a method to estimate average economic growth, and its associated confidence bounds, which does not require a formal decision on potential unit root properties. The method is based on the analysis of either difference-stationary or trend-stationary time series models,...

Persistent link: https://www.econbiz.de/10005136924

The Impact of Effect Size Heterogeneity on Meta-Analysis: A Monte Carlo Experiment

Koetse, Mark J.; Florax, Raymond J.G.M.; Groot, Henri … - Tinbergen Institute - 2007

In this paper we use Monte Carlo simulation to investigate the impact of effect size heterogeneity on the results of a meta-analysis. Specifically, we address the small sample behaviour of the OLS, the fixed effects regression and the mixed effects meta-estimators under three alternative...

Persistent link: https://www.econbiz.de/10005136866

Detecting Serial Dependence in Tail Events

Diks, Cees - Tinbergen Institute - 2002

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Persistent link: https://www.econbiz.de/10005137063

Correcting for Primary Study Misspecifications in Meta-Analysis

Koetse, Mark J.; Florax, Raymond J.G.M.; Groot, Henri … - Tinbergen Institute - 2005

Misspecifications and differences in operational definitions of elasticities in primary studies carry over to meta-analysis results. We show that the current practice of accounting for such primary study aber-rations in a meta-analysis by means of dummy variables goes a long way in mitigating...

Persistent link: https://www.econbiz.de/10005036250

Some Exact Tests for Manifest Properties of Latent Trait Models

Gooijer, Jan G. de; Yuan, Ao - Tinbergen Institute - 2010

Item response theory is one of the modern test theories with applications in educational and psychological testing. Recent developments made it possible to characterize some desired properties in terms of a collection of manifest ones, so that hypothesis tests on these traits can, in principle,...

Persistent link: https://www.econbiz.de/10008838530

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