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A Simple Test for Spurious Regressions
Noriega, Antonio E.; Ventosa-Santaularia, Daniel - School of Economics and Management, University of Aarhus - 2011
The literature on spurious regressions has found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes for the dependent and explanatory variables. This paper...
Persistent link: https://www.econbiz.de/10009147394
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Wavelet Based Outlier Correction for Power Controlled Turning Point Detection in Surveillance Systems
Li, Yushu - School of Economics and Management, University of Aarhus - 2011
Detection turning points in unimodel has various applications to time series which have cyclic periods. Related techniques are widely explored in the field of statistical surveillance, that is, on-line turning point detection procedures. This paper will first present a power controlled turning...
Persistent link: https://www.econbiz.de/10009293966
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Fractional cointegration rank estimation
Lasak, Katarzyna; Velasco, Carlos - School of Economics and Management, University of Aarhus - 2013
We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a new two-step procedure which allows testing for further long-run equilibrium relations with possibly different persistence levels. The fi?rst step consists in estimating the...
Persistent link: https://www.econbiz.de/10010851231
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Polynomial Regressions and Nonsense Inference
Ventosa-Santaulària, Daniel; Rodríguez-Caballero, … - School of Economics and Management, University of Aarhus - 2013
Polynomial specifications are widely used, not only in applied economics, but also in epidemiology, physics, political analysis, and psychology, just to mention a few examples. In many cases, the data employed to estimate such estimations are time series that may exhibit stochastic nonstationary...
Persistent link: https://www.econbiz.de/10010851232
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Simulated Classical Tests in the Multiperiod Multinomial Probit Model
Ziegler, Andreas - 2002
This paper compares different versions of the simulated counterparts of the Wald test, the score test, and the likelihood ratio test in the multiperiod multinomial probit model. Monte Carlo experiments show that the simple form of the simulated likelihood ratio test delivers the most favorable...
Persistent link: https://www.econbiz.de/10010298084
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Likelihood based testing for no fractional cointegration
Lasak, Katarzyna - School of Economics and Management, University of Aarhus - 2008
We consider two likelihood ratio tests, so-called maximum eigenvalue and trace tests, for the null of no cointegration when fractional cointegration is allowed under the alternative, which is a first step to generalize the so-called Johansen's procedure to the fractional cointegration case. The...
Persistent link: https://www.econbiz.de/10005440048
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The limiting properties of the QMLE in a general class of asymmetric volatility models
Dahl, Christian M.; Iglesias, Emma M. - School of Economics and Management, University of Aarhus - 2008
In this paper we analyze the limiting properties of the estimated parameters in a general class of asymmetric volatility models which are closely related to the traditional exponential GARCH model. The new representation has three main advantages over the traditional EGARCH: (1) It allows a much...
Persistent link: https://www.econbiz.de/10005198863
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Simulated Classical Tests in the Multiperiod Multinomial Probit Model
Ziegler, Andreas - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2002
This paper compares different versions of the simulated counterparts of the Wald test, the score test, and the likelihood ratio test in the multiperiod multinomial probit model. Monte Carlo experiments show that the simple form of the simulated likelihood ratio test delivers the most favorable...
Persistent link: https://www.econbiz.de/10005097911
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Microdata Disclosure by Resampling: Empirical Findings for Business Survey Data
Gottschalk, Sandra - 2003
), and compare resampling with a common method of disclosure control, i.e. disturbance with multiplicative error, concerning … results show that univariate distributions can be better reproduced by unweighted resampling. Parameter estimates can be … reproduced quite well if (a) the resampling procedure implements the correlation structure of the original data as a scale and (b …
Persistent link: https://www.econbiz.de/10010297305
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Microdata Disclosure by Resampling: Empirical Findings for Business Survey Data
Gottschalk, Sandra - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2003
), and compare resampling with a common method of disclosure control, i.e. disturbance with multiplicative error, concerning … results show that univariate distributions can be better reproduced by unweighted resampling. Parameter estimates can be … reproduced quite well if (a) the resampling procedure implements the correlation structure of the original data as a scale and (b …
Persistent link: https://www.econbiz.de/10005098378