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Cointegration and Forward and Spot Exchange Rate Regressions

Zivot, Eric - EconWPA - 1998

In this paper we investigate in detail the relationship between models of cointegration between the current spot … exchange rate, st, and the current forward rate, ft, and models of cointegration between the future spot rate, st+1, and ft and … models of cointegration between st and ft more easily capture the stylized facts of typical exchange rate data than simple …

Persistent link: https://www.econbiz.de/10005119154

Inference on a Structural Parameter in Instrumental Variables Regression with Weak Instruments

Wang, Jiahui; Zivot, Eric - EconWPA - 1996

if the standard asymptotic distribution theory is used. In contrast, the likelihood type test statistics are pivotal when … the distributions of the likelihood type test statistics are bounded above by a Chi-Square distribution with degrees of … freedom given by the number of instruments. Hence, we can always invert the likelihood type test statistics to obtain valid …

Persistent link: https://www.econbiz.de/10005556384

Firm Level Investment in France and the United States: An Exploration of What We Have Learned in Twenty Years

Hall, Bronwyn H.; Mairesse, Jacques; Mulkay, Benoit; … - EconWPA - 1999

correction, traditional between- and within-firm estimation versus GMM estimation, the investment behavior of French firms versus …

Persistent link: https://www.econbiz.de/10005408002

A GMM-based test for normal disturbances of the Heckman sample selection model

Pfaffermayr, Michael - In: Econometrics 2 (2014) 4, pp. 151-168

this assumption. Following Meijer and Wansbeek (2007), the present contribution derives a GMM-based pseudo-score LM test on …

Persistent link: https://www.econbiz.de/10010421301

Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application

Hill, Jonathan B. - EconWPA - 2004

We develop asymptotically chi-squared tests of tail specific extremal serial dependence for possibly heavy-tailed time series, including infinite variance and infinite mean processes. Our test statistics have a chi-squared limit distribution under the null of "extremal white-noise" for processes...

Persistent link: https://www.econbiz.de/10005119202

Testing in a random effects panel data model with spatially correlated error components and spatially lagged dependent variables

He, Ming; Lin, Kuan-Pin - In: Econometrics 3 (2015) 4, pp. 761-796

We propose a random effects panel data model with both spatially correlated error components and spatially lagged dependent variables. We focus on diagnostic testing procedures and derive Lagrange multiplier (LM) test statistics for a variety of hypotheses within this model. We first construct...

Persistent link: https://www.econbiz.de/10011755310

Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models

Kiviet, Jan; Pleus, Milan; Poldermans, Rutger - In: Econometrics 5 (2017) 1, pp. 1-54

Studies employing Arellano-Bond and Blundell-Bond generalized method of moments (GMM) estimation for linear dynamic … modification of GMM is found to have some potential when the cross-sectional heteroskedasticity is pronounced and the time …

Persistent link: https://www.econbiz.de/10011755367

Har testing for spurious regression in trend

Phillips, Peter C. B.; Wang, XiaoHu; Zhang, Yonghui - In: Econometrics 7 (2019) 4, pp. 1-28

The usual t test, the t test based on heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators, and the heteroskedasticity and autocorrelation robust (HAR) test are three statistics that are widely used in applied econometric work. The use of these significance tests...

Persistent link: https://www.econbiz.de/10012696265

Quantile regression with generated regressors

Chen, Liqiong; Galvão Júnior, Antônio Fialho; Song, … - In: Econometrics 9 (2021) 2, pp. 1-35

This paper studies estimation and inference for linear quantile regression models with generated regressors. We suggest a practical two-step estimation procedure, where the generated regressors are computed in the first step. The asymptotic properties of the two-step estimator, namely,...

Persistent link: https://www.econbiz.de/10012696321

An Alternative to the BDS Test: Integration Across The Correlation Integral

Kocenda, Evzen - EconWPA - 2003

This paper extends and generalizes the BDS test presented by Brock, Dechert, Scheinkman, and LeBaron (1996). In doing so it aims to remove the limitation of having to arbitrarily select a proximity parameter by integrating across the correlation integral. The Monte Carlo simulation is used to...

Persistent link: https://www.econbiz.de/10005119218

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