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Taking a new contour: A novel approach to panel unit root tests

Chang, Yoosoon - In: Journal of Econometrics 169 (2012) 1, pp. 15-28

to invent tools and methodologies for effective inferences in panel unit root models. Simulations show that our approach …

Persistent link: https://www.econbiz.de/10010574097

A Bootstrap Cointegration Rank Test for Panels of VAR Models

Callot, Laurent A.F. - School of Economics and Management, University of Aarhus - 2010

. It shows how a panel of cointegrated VARs can be transformed in a set of independent individual models. The likelihood … function of the transformed panel is the sum of the likelihood functions of the individual Cointegrated VARs (CVAR) models. A …. From these empirical distributions two panel trace test statistics are constructed. The satisfying small sample properties …

Persistent link: https://www.econbiz.de/10008752898

Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - School of Economics and Management, University of Aarhus - 2014

Empirical evidence from time series methods which assume the usual I(0)/I(1) paradigm suggests that the efficient market hypothesis, stating that spot and futures prices of a commodity should cointegrate with a unit slope on futures prices, does not hold. However, these statistical methods are...

Persistent link: https://www.econbiz.de/10010886799

Testing a DSGE model of the EU using indirect inference

Meenagh, David; Minford, Patrick; Wickensy, Michael - Centre for Dynamic Macroeconomic Analysis, University … - 2007

We use the method of indirect inference, using the bootstrap, to test the Smets and Wouters model of the EU against a VAR auxiliary equation describing their data; the test is based on the Wald statistic. We find that their model generates excessive variance compared with the data. If the errors...

Persistent link: https://www.econbiz.de/10005220912

A consistent nonparametric test of parametric regression functional form in fixed effects panel data models

Lin, Zhongjian; Li, Qi; Sun, Yiguo - In: Journal of Econometrics 178 (2014) P1, pp. 167-179

We propose a consistent test for a linear functional form against a nonparametric alternative in a fixed effects panel … well for panel data with a large number of cross-sectional units and a finite number of observations across time. …

Persistent link: https://www.econbiz.de/10010730130

A fast resample method for parametric and semiparametric models

Armstrong, Timothy B.; Bertanha, Marinho; Hong, Han - In: Journal of Econometrics 179 (2014) 2, pp. 128-133

We propose a fast resample method for two step nonlinear parametric and semiparametric models, which does not require recomputation of the second stage estimator during each resample iteration. The fast resample method directly exploits the score function representations computed on each...

Persistent link: https://www.econbiz.de/10010753478

The ‘Puzzles’ Methodology: En Route to Indirect Inference?

Le, Vo Phuong Mai; Minford, Patrick; Wickens, Michael - Centre for Dynamic Macroeconomic Analysis, University … - 2009

We review the methods used in many papers to evaluate DSGE models by comparing their simulated moments with data moments. We compare these with the method of Indirect Inference to which they are closely related. We illustrate the comparison with contrasting assessments of a two-country model in...

Persistent link: https://www.econbiz.de/10008527081

Robustifying multivariate trend tests to nonstationary volatility

Xu, Ke-Li - In: Journal of Econometrics 169 (2012) 2, pp. 147-154

This article studies inference of multivariate trend model when the volatility process is nonstationary. Within a quite general framework we analyze four classes of tests based on least squares estimation, one of which is robust to both weak serial correlation and nonstationary volatility. The...

Persistent link: https://www.econbiz.de/10010664693

Robust subsampling

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - In: Journal of Econometrics 167 (2012) 1, pp. 197-210

We characterize the robustness of subsampling procedures by deriving a formula for the breakdown point of subsampling quantiles. This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of subsampling procedures, even when they are applied to robust...

Persistent link: https://www.econbiz.de/10010574079

A simple test for regression specification with non-nested alternatives

Hagemann, Andreas - In: Journal of Econometrics 166 (2012) 2, pp. 247-254

In this paper, I introduce a simple test for the presence of the data-generating process among several non-nested alternatives. The test is an extension of the classical J test for non-nested regression models. I also provide a bootstrap version of the test that avoids possible size distortions...

Persistent link: https://www.econbiz.de/10010574095