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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 autoregressive system. The limiting distributions of the jackknife-corrected statistics are derived and the critical values of these distributions are tabulated. Based on these critical...

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

Asymptotic theory for cointegration analysis when the cointegration rank is deficient

Bernstein, David H.; Nielsen, Bent - In: Econometrics : open access journal 7 (2019) 1/6, pp. 1-24

We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of interest in finite sample analysis and in relation to recent work on identification robust cointegration inference. We derive asymptotic theory for tests for cointegration rank and...

Persistent link: https://www.econbiz.de/10012025653

Manfred Deistler and the general-dynamic-factor-model approach to the statistical analysis of high-dimensional time series

Hallin, Marc - In: Econometrics : open access journal 10 (2022) 4, pp. 1-9

For more than half a century, Manfred Deistler has been contributing to the construction of the rigorous theoretical foundations of the statistical analysis of time series and more general stochastic processes. Half a century of unremitting activity is not easily summarized in a few pages. In...

Persistent link: https://www.econbiz.de/10013533262

A multivariate Kernel approach to forecasting the variance covariance of stock market returns

Becker, Ralf; Clements, Adam; O'Neill, Robert - In: Econometrics : open access journal 6 (2018) 1, pp. 1-27

This paper introduces a multivariate kernel based forecasting tool for the prediction of variance-covariance matrices of stock returns. The method introduced allows for the incorporation of macroeconomic variables into the forecasting process of the matrix without resorting to a decomposition of...

Persistent link: https://www.econbiz.de/10011823257

Testing cross-sectional correlation in large panel data models with serial correlation

Baltagi, Badi H.; Kao, Chihwa; Bin, Peng - In: Econometrics : open access journal 4 (2016) 4, pp. 1-24

This paper considers the problem of testing cross-sectional correlation in large panel data models with serially …-correlated errors. It finds that existing tests for cross-sectional correlation encounter size distortions with serial correlation in … account for serial correlation of an unknown form in the error term. We derive the limiting distribution of this test as (N …

Persistent link: https://www.econbiz.de/10011650378

A fast algorithm for the computation of HAC covariance matrix estimators

Heberle, Jochen; Sattarhoff, Cristina - In: Econometrics : open access journal 5 (2017) 1, pp. 1-16

This paper considers the algorithmic implementation of the heteroskedasticity and autocorrelation consistent (HAC) estimation problem for covariance matrices of parameter estimators. We introduce a new algorithm, mainly based on the fast Fourier transform, and show via computer simulation that...

Persistent link: https://www.econbiz.de/10011653828

Mahalanobis distances on factor model based estimation

Dai, Deliang - In: Econometrics : open access journal 8 (2020) 1/10, pp. 1-11

A factor model based covariance matrix is used to build a new form of Mahalanobis distance. The distribution and relative properties of the new Mahalanobis distances are derived. A new type of Mahalanobis distance based on the separated part of the factor model is defined. Contamination effects...

Persistent link: https://www.econbiz.de/10012265396

Multivariate analysis of cryptocurrencies

Candila, Vincenzo - In: Econometrics : open access journal 9 (2021) 3, pp. 1-17

Correlation (DCC) model. In particular, we introduced the Double Asymmetric GARCH–MIDAS model in the DCC framework. …

Persistent link: https://www.econbiz.de/10012594128

An exponential endogenous switching regression with correlated random coefficients

Keay, Myoung-Jin - In: Econometrics : open access journal 10 (2022) 1, pp. 1-16

This paper presents a method for estimating the average treatment effects (ATE) of an exponential endogenous switching model where the coefficients of covariates in the structural equation are random and correlated with the binary treatment variable. The estimating equations are derived under...

Persistent link: https://www.econbiz.de/10012804937

Panel data estimation for correlated random coefficients models

Hsiao, Cheng; Li, Qi; Liang, Zhongwen; Xie, Wei - In: Econometrics : open access journal 7 (2019) 1/7, pp. 1-18

estimator, we show that when T is large, a generalized least squares estimator that ignores the correlation between the … the known correlation pattern, we derive the asymptotic properties of panel least squares estimators. Simulations are used …

Persistent link: https://www.econbiz.de/10012025649