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Specification Tests for Nonlinear Dynamic Models

Kheifets, Igor - Cowles Foundation for Research in Economics, Yale University - 2014

that the test has good finite-sample size and power properties. Using the new test and graphical tools we check the …

Persistent link: https://www.econbiz.de/10010937901

Chen, Xiaohong; Hansen, Lars P.; Carrasco, Marine - Cowles Foundation for Research in Economics, Yale University - 2008

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in scalar diffusion models. We study this link using two notions of temporal dependence: beta-mixing and rho-mixing. We show that beta-mixing and rho-mixing with exponential decay are essentially equivalent...

Persistent link: https://www.econbiz.de/10005087377

Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood

Otsu, Taisuke; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2005

infinite number of unconditional moment restrictions. We derive the null distributions and power properties of the proposed …

Persistent link: https://www.econbiz.de/10005087379

Adaptive Testing in ARCH Models

Linton, Oliver; Steigerwald, Douglas G. - Cowles Foundation for Research in Economics, Yale University - 1995

power and weighted average power criteria for the general family of densities. We establish both first order and second … order theory for our procedures. Monte Carlo simulations indicate that asymptotic power gains are achievable in finite …

Persistent link: https://www.econbiz.de/10005087404

Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests

Andrews, Donald W.K.; Cheng, Xu; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2011

This paper provides a set of results that can be used to establish the asymptotic size and/or similarity in a uniform sense of confidence sets and tests. The results are generic in that they can be applied to a broad range of problems. They are most useful in scenarios where the pointwise...

Persistent link: https://www.econbiz.de/10009209701

A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter

Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2011

This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of general form and AR parameters that are less than or equal to unity. The CI is a modification of Mikusheva's (2007a) modification of...

Persistent link: https://www.econbiz.de/10009209704

Partially Linear Models with Unit Roots

Juhl, Ted; Xiao, Zhijie - Cowles Foundation for Research in Economics, Yale University - 2002

This paper studies the asymptotic properties of a nonstationary partially linear regression model. In particular, we allow for covariates to enter the unit root (or near unit root) model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed in...

Persistent link: https://www.econbiz.de/10005762744

Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity

Hong, Seung Hyun; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2005

central chi^2 limit distribution under linearity. The modified test has power not only against nonlinear cointegration but … and reasonable power against many nonlinear models as well as models with no cointegration, confirming the analytic … results. In an empirical illustration, the linear purchasing power parity (PPP) specification is tested using US, Japan, and …

Persistent link: https://www.econbiz.de/10005762803

Nonlinearity and Temporal Dependence

Chen, Xiaohong; Hansen, Lars P.; Carrasco, Marine - Cowles Foundation for Research in Economics, Yale University - 2009

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in diffusion models. We study this link using three measures of temporal dependence: rho-mixing, beta-mixing and alpha-mixing. Stationary diffusions that are rho-mixing have mixing coefficients that decay...

Persistent link: https://www.econbiz.de/10008533975

Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood

Otsu, Taisuke; Seo, Myung Hwan; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2008

derive the null distributions, validity of a bootstrap procedure, and local and global power properties of our tests. The … simulation results show that our tests have reasonable size and power performance in finite samples. …

Persistent link: https://www.econbiz.de/10005464018

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