Showing 1 - 10 of 15
In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models.
Persistent link: https://www.econbiz.de/10005729533
This paper prouves a new representation theorem for domains with both discrete and continuous variables.
Persistent link: https://www.econbiz.de/10005729607
This note investigates the adequacy of the finite-sample approximation provided by the Functional Central Limit Theorem (FCLT) when the errors are allowed to be dependent. We compare the distribution of the scaled partial sums of some data with the distribution of the Wiener process to which it...
Persistent link: https://www.econbiz.de/10005729728
In the context of multivariate regression (MLR) and seemingly unrelated regressions (SURE) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. in this paper, we propose finite-and large-sample likelihood-based test procedures for...
Persistent link: https://www.econbiz.de/10005729768
Recent work suggests that the conditional variance of financial returns may exhibit sudden jumps. This paper extends a non-parametric procedure to detect discontinuities in otherwise continuous functions of a random variable developed by Delgado and Hidalgo (1996) to higher conditional moments,...
Persistent link: https://www.econbiz.de/10005729794
In a recent paper, Bai and Perron (1998) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple structural changes. In this companion paper, we consider practical issues for the empirical applications of the...
Persistent link: https://www.econbiz.de/10005133141
Dans ce texte, nous analysons les developpements recents de l'econometrie a la lumiere de la theorie des tests statistiques.
Persistent link: https://www.econbiz.de/10005345992
This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not.
Persistent link: https://www.econbiz.de/10005353030
In the context of multivariate linear regression (MLR) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. In this paper, we propose a general method for constructing exact tests of possibly nonlinear hypotheses on the coefficients...
Persistent link: https://www.econbiz.de/10005353092
Dans ce texte, nous analysons les développements récents de l’économétrie à la lumière de la théorie des tests statistiques. Nous revoyons d’abord quelques principes fondamentaux de philosophie des sciences et de théorie statistique, en mettant l’accent sur la parcimonie et la...
Persistent link: https://www.econbiz.de/10005353148