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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
bootstrap. Finally, we provide an empirical illustration. …
Persistent link: https://www.econbiz.de/10005198863
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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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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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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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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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Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich; Goncalves, Sílvia; Meddahi, Nour - School of Economics and Management, University of Aarhus - 2013
The main contribution of this paper is to propose a bootstrap method for inference on integrated volatility based on … slowly with the sample size n. This motivates the application of a blockwise bootstrap method. We show that the "blocks of … blocks" bootstrap method suggested by Politis and Romano (1992) (and further studied by Bühlmann and Künsch (1995)) is valid …
Persistent link: https://www.econbiz.de/10010851203
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Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich - School of Economics and Management, University of Aarhus - 2014
We propose a bootstrap method for estimating the distribution (and functionals of it such as the variance) of various … integrated covariance matrix estimators. In particular, we first adapt the wild blocks of blocks bootstrap method suggested for … results justify using the bootstrap to estimate the covariance matrix of a broad class of covolatility estimators. The …
Persistent link: https://www.econbiz.de/10010937808
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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
new tests are wild bootstrap implementations of score-based tests for the order of integration of a fractionally … in the presence of heteroskedasticity, but that the corresponding tests based on the wild bootstrap principle do. A Monte … bootstrap vis-à-vis the corresponding asymptotic tests in both heteroskedastic and homoskedastic environments. …
Persistent link: https://www.econbiz.de/10010886799
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A Bootstrap Cointegration Rank Test for Panels of VAR Models
Callot, Laurent A.F. - School of Economics and Management, University of Aarhus - 2010
bootstrap based procedure is used to compute empirical distributions of the trace test statistics for these individual models …
Persistent link: https://www.econbiz.de/10008752898