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Nonparametric Detection and Estimation of Structural Change
Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2011
We propose a nonparametric approach to the estimation and testing of structural change in time series regression models …
Persistent link: https://www.econbiz.de/10009003125
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Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models
Kristensen, Dennis; Rahbek, Anders - School of Economics and Management, University of Aarhus - 2010
hypothesis testing is considered, where testing for linearity is of particular interest as parameters of non-linear components … vanish under the null. To solve the latter type of testing, we use the so-called sup tests, which here requires development … to the impact of the estimated cointegration relations. With respect to testing, this makes implementation of testing …
Persistent link: https://www.econbiz.de/10008677954
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Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics
Hansen, Peter Reinhard; Timmermann, Allan - School of Economics and Management, University of Aarhus - 2012
We establish the equivalence between a commonly used out-of-sample test of equal predictive accuracy and the difference between two Wald statistics. This equivalence greatly simpli?es the computational burden of calculating recursive out-of-sample tests and evaluating their critical values. Our...
Persistent link: https://www.econbiz.de/10010851239
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Generalizing smooth transition autoregressions
Chini, Emilio Zanetti - School of Economics and Management, University of Aarhus - 2013
We introduce a variant of the smooth transition autoregression - the GSTAR model - capable to parametrize the asymmetry in the tails of the transition equation by using a particular generalization of the logistic function. A General-to-Specific modelling strategy is discussed in detail, with...
Persistent link: https://www.econbiz.de/10010929616
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Testing Conditional Factor Models
Kristensen, Dennis; Ang, Andrew - School of Economics and Management, University of Aarhus - 2009
We develop a new methodology for estimating time-varying factor loadings and conditional alphas based on nonparametric techniques. We test whether long-run alphas, or averages of conditional alphas over the sample, are equal to zero and derive test statistics for the constancy of factor...
Persistent link: https://www.econbiz.de/10005198853