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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

Two-part models for fractional responses defined as ratios of integers

Oberhofer, Harald; Pfaffermayr, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 123-144

This paper discusses two alternative two-part models for fractional response variables that are defined as ratios of integers. The first two-part model assumes a Binomial distribution and known group size. It nests the one-part fractional response model proposed by Papke and Wooldridge (1996)...

Persistent link: https://www.econbiz.de/10010417183

A joint specification test for response probabilities in unordered multinomial choice models

Iwasawa, Masamune - In: Econometrics : open access journal 3 (2015) 3, pp. 667-697

Estimation results obtained by parametric models may be seriously misleading when the model is misspecified or poorly approximates the true model. This study proposes a test that jointly tests the specifications of multiple response probabilities in unordered multinomial choice models. The test...

Persistent link: https://www.econbiz.de/10011410669

Bootstrap tests for overidentification in linear regression models

Davidson, Russell; MacKinnon, James G. - In: Econometrics : open access journal 3 (2015) 4, pp. 825-863

We study the finite-sample properties of tests for overidentifying restrictions in linear regression models with a single endogenous regressor and weak instruments. Under the assumption of Gaussian disturbances, we derive expressions for a variety of test statistics as functions of eight...

Persistent link: https://www.econbiz.de/10011411381

Generalized information matrix tests for detecting model misspecification

Golden, Richard M.; Henley, Steven S.; White, Halbert; … - In: Econometrics : open access journal 4 (2016) 4, pp. 1-24

Generalized Information Matrix Tests (GIMTs) have recently been used for detecting the presence of misspecification in regression models in both randomized controlled trials and observational studies. In this paper, a unified GIMT framework is developed for the purpose of identifying,...

Persistent link: https://www.econbiz.de/10011650480

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

Bayesian analysis of coefficient instability in dynamic regressions

Ciapanna, Emanuela; Taboga, Marco - In: Econometrics : open access journal 7 (2019) 3/29, pp. 1-32

This paper deals with instability in regression coefficients. We propose a Bayesian regression model with time-varying coefficients (TVC) that allows to jointly estimate the degree of instability and the time-path of the coefficients. Thanks to the computational tractability of the model and to...

Persistent link: https://www.econbiz.de/10012161539

Fixed and long time span jump tests : new Monte Carlo and empirical evidence

Cheng, Mingmian; Swanson, Norman R. - In: Econometrics : open access journal 7 (2019) 1/13, pp. 1-32

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the magnitude of the jump intensity parameter in the data...

Persistent link: https://www.econbiz.de/10012025640

Asymptotic distribution and finite sample bias correction of QML estimators for spatial error dependence model

Liu, Shew Fan; Yang, Zhenlin - In: Econometrics : open access journal 3 (2015) 2, pp. 376-411

In studying the asymptotic and finite sample properties of quasi-maximum likelihood (QML) estimators for the spatial linear regression models, much attention has been paid to the spatial lag dependence (SLD) model; little has been given to its companion, the spatial error dependence (SED) model....

Persistent link: https://www.econbiz.de/10011297624

Estimation of dynamic panel data models with stochastic volatility using particle filters

Xu, Wen - In: Econometrics : open access journal 4 (2016) 4, pp. 1-13

Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across countries or regions. This paper estimates dynamic panel...

Persistent link: https://www.econbiz.de/10011650493