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A unified framework for testing in the linear regression model under unknown order of fractional integration
Christensen, Bent Jesper; Kruse, Robinson; Sibbertsen, … - School of Economics and Management, University of Aarhus - 2013
We consider hypothesis testing in a general linear time series regression framework when the possibly fractional order of integration of the error term is unknown. We show that the approach suggested by Vogelsang (1998a) for the case of integer integration does not apply to the case of...
Persistent link: https://www.econbiz.de/10010851190
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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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On tests for linearity against STAR models with deterministic trends
Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp - School of Economics and Management, University of Aarhus - 2012
Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this paper. As opposed to recently reported results in Zhang (2012), we show that linearity tests against STAR models lead to useful results in...
Persistent link: https://www.econbiz.de/10010851237
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Changes in persistence, spurious regressions and the Fisher hypothesis
Kruse, Robinson; Ventosa-Santaulària, Daniel; Noriega, … - School of Economics and Management, University of Aarhus - 2013
Declining inflation persistence has been documented in numerous studies. When such series are analyzed in a regression framework in conjunction with other persistent time series, spurious regressions are likely to occur. We propose to use the coefficient of determination R2 as a test statistic...
Persistent link: https://www.econbiz.de/10010851252
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Discriminating between fractional integration and spurious long memory
Haldrup, Niels; Kruse, Robinson - School of Economics and Management, University of Aarhus - 2014
(spurious) long memory. In particular, the test is shown to have excellent power against a class of stationary and non …
Persistent link: https://www.econbiz.de/10010851300
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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
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Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
Jansson, Michael; Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2009
hypothesis, i.e. tests whose local asymptotic power functions are indistinguishable from the Gaussian power envelope, is a test …
Persistent link: https://www.econbiz.de/10005082522
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Modelling Changes in the Unconditional Variance of Long Stock Return Series
Amado, Cristina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2012
In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very long return series. For the purpose, we assume that volatility is multiplicatively decomposed into a conditional and an unconditional component as in Amado and Teräsvirta...
Persistent link: https://www.econbiz.de/10009652370
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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
. This paper will first present a power controlled turning point detection method based on the theory of the likelihood ratio …
Persistent link: https://www.econbiz.de/10009293966
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The Power of Unit Root Tests Against Nonlinear Local Alternatives
Demetrescu, Matei; Kruse, Robinson - School of Economics and Management, University of Aarhus - 2012
This article extends the analysis of local power of unit root tests in a nonlinear direction by considering local … has better power against local alternatives. We illustrate this in an asymptotic framework of what we call persistent …, GLS, or recursive adjustment) has a much higher impact on the power of unit root tests than accounting for nonlinearity …
Persistent link: https://www.econbiz.de/10009391783