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Testing for the equality of integration orders of multiple series

Wang, Man; Chan, Ngai Hang - In: Econometrics : open access journal 4 (2016) 4, pp. 1-10

essential step in testing for (fractional) cointegration in the bivariate case. For the multivariate case, there are several … versions of cointegration, and the version given in Robinson and Yajima (2002) has received much attention. In this definition … integration order. Furthermore, this time series vector is said to be cointegrated if there exists a cointegration in any of the …

Persistent link: https://www.econbiz.de/10011650498

A parameterization of models for unit root processes : structure theory and hypothesis testing

Bauer, Dietmar; Matuschek, Lukas; Ribeiro, Patrick de Matos - In: Econometrics : open access journal 8 (2020) 4/42, pp. 1-54

and (co)integration orders. The detailed analysis of the topological properties of the parameterization - based on the …

Persistent link: https://www.econbiz.de/10012312162

A jackknife correction to a test for cointegration rank

Chambers, Marcus J. - In: Econometrics : open access journal 3 (2015) 2, pp. 355-375

This paper investigates the performance of a jackknife correction to a test for cointegration rank in a vector …

Persistent link: https://www.econbiz.de/10011297630

On the validity of tests for asymmetry in residual-based threshold cointegration models

Schild, Karl-Heinz; Schweikert, Karsten - In: Econometrics : open access journal 7 (2019) 1/12, pp. 1-13

finding sufficient evidence for cointegration in a first step. The extent of oversizing the test for long-run asymmetry … depends inversely on the power of the primary cointegration test. Hence, tests for long-run asymmetry become invalid in cases …

Persistent link: https://www.econbiz.de/10012025641

Testing for a set of linear restrictions in VARMA models using autoregressive metric : an application to Granger causality test

Di Iorio, Francesca; Triacca, Umberto - In: Econometrics : open access journal 2 (2014) 4, pp. 203-216

In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by Piccolo in 1990. In particular, we show...

Persistent link: https://www.econbiz.de/10010479050

Detecting location shifts during model selection by step-indicator saturation

Castle, Jennifer; Doornik, Jurgen A.; Hendry, David F.; … - In: Econometrics : open access journal 3 (2015) 2, pp. 240-264

To capture location shifts in the context of model selection, we propose selecting significant step indicators from a saturating set added to the union of all of the candidate variables. The null retention frequency and approximate non-centrality of a selection test are derived using a...

Persistent link: https://www.econbiz.de/10011297656

Fractional unit root tests allowing for a structural change in trend under both the null and alternative hypotheses

Chang, Seong Yeon; Perron, Pierre - In: Econometrics : open access journal 5 (2017) 1, pp. 1-26

This paper considers testing procedures for the null hypothesis of a unit root process against the alternative of a fractional process, called a fractional unit root test. We extend the Lagrange Multiplier (LM) tests of Robinson (1994) and Tanaka (1999), which are locally best invariant and...

Persistent link: https://www.econbiz.de/10011654059

Goodness-of-fit tests for copulas of multivariate time series

Rémillard, Bruno - In: Econometrics : open access journal 5 (2017) 1, pp. 1-23

In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structural changes and specification tests of the...

Persistent link: https://www.econbiz.de/10011654178

Frequency-domain evidence for climate change

Mangat, Manveer Kaur; Reschenhofer, Erhard - In: Econometrics : open access journal 8 (2020) 3/28, pp. 1-15

The goal of this paper is to search for conclusive evidence against the stationarity of the global air surface temperature, which is one of the most important indicators of climate change. For this purpose, possible long-range dependencies are investigated in the frequency-domain. Since...

Persistent link: https://www.econbiz.de/10012265709

Har testing for spurious regression in trend

Phillips, Peter C. B.; Wang, XiaoHu; Zhang, Yonghui - In: Econometrics : open access journal 7 (2019) 4/50, 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/10012160687