Showing 1 - 10 of 161
We study the empirical behaviour of semi-parametric estimation for long-memory models when the true data generating process exhibits a change in persistence. Evidence for long memory is likely to be found. Procedures for discrimination between different models are proposed.
Persistent link: https://www.econbiz.de/10010572134
Hausman (1978) developed a widely-used model specification test that has passed the test of time. In this paper, we show that the asymptotic variance of the difference of the two estimators can be a singular matrix. Three illustrative examples are used, namely an exogeneity test for the linear...
Persistent link: https://www.econbiz.de/10010776626
Using an empirical likelihood approach, we show that generalized linear models can still be consistently estimated even if dependent variables are not missing at random, and derive a Hausman test by comparing this estimator to the standard one.
Persistent link: https://www.econbiz.de/10011041844
A novel procedure is applied to test for switches between hysteresis and the natural rate theory over more than a century of UK and USA unemployment data. For both the countries we see a period conforming to hysteresis starting in the early 1920s for the UK and 1930 for USA.
Persistent link: https://www.econbiz.de/10011263414
The asymptotic distributions of the maximum likelihood estimator of the persistence parameter are developed in a linear diffusion model under three sampling schemes, long-span, in-fill and double. Simulations suggest that the in-fill asymptotic distribution gives a more accurate approximation to...
Persistent link: https://www.econbiz.de/10011208455
Wald/LM-type tests for a shift in mean often exhibit nonmonotonic power, due to incorrect estimation of long-run variance. In this paper, we propose a robust estimator of long-run variance that is built on nonparametric regression residuals and always converges to the true long-run variance...
Persistent link: https://www.econbiz.de/10011189494
Large sample properties are studied for a first-order autoregression (AR(1)) with a root greater than unity. It is shown that, contrary to the AR coefficient, the least-squares (LS) estimator of the intercept and its t-statistic are asymptotically normal without requiring the Gaussian error...
Persistent link: https://www.econbiz.de/10011189545
We compare the asymptotic local power of upper-tail unit root tests against an explosive alternative based on ordinary least squares (OLS) and quasi-differenced (QD) demeaning/detrending. We find that under an asymptotically negligible initialisation, the QD-based tests are near asymptotically...
Persistent link: https://www.econbiz.de/10010729462
In this paper we extend the FMLS-based CUSUM cointegration test (Xiao and Phillips, 2002) for testing the smooth time-varying cointegration null hypothesis. For this purpose we use Chebyshev time polynomials to specify time-varying coefficients under the null. We derive the limiting distribution...
Persistent link: https://www.econbiz.de/10011076529
IVX estimation is used increasingly often in predictive regressions with regressors of unknown persistence. While not exhibiting the second-order bias the OLS estimator has in this setup, IVX estimators have reduced rates of convergence when the regressors are highly persistent. The reduced...
Persistent link: https://www.econbiz.de/10010933300