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Nowcasting causality in mixed frequency vector autoregressive models

Götz, Thomas B.; Hecq, Alain - In: Economics Letters 122 (2014) 1, pp. 74-78

This paper introduces nowcasting causality as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in a mixed-frequency VAR and illustrate its impact on the significance of high-frequency variables in mixed-frequency...

Persistent link: https://www.econbiz.de/10011041595

A simple test for linearity against exponential smooth transition models with endogenous variables

Massacci, Daniele - In: Economics Letters 117 (2012) 3, pp. 851-856

This paper proposes a test for linearity against exponential smooth transition models with endogenous right-hand-side variables: to the very best of our knowledge, this class of models is new to the literature. By Monte Carlo analysis the test is shown to have good finite sample properties.

Persistent link: https://www.econbiz.de/10010594168

Testing the functional constraints on parameters in regressions with variables of different frequency

Kvedaras, Virmantas; Zemlys, Vaidotas - In: Economics Letters 116 (2012) 2, pp. 250-254

We propose a test for the evaluation of statistical acceptability of a functional constraint which is imposed on parameters in the mixed data sampling regressions. The asymptotic behavior of the test statistic is characterized and a few other extensions are discussed.

Persistent link: https://www.econbiz.de/10010597199

Power monotonicity in detecting volatility levels change

Xu, Ke-Li - In: Economics Letters 121 (2013) 1, pp. 64-69

We show that the CUSUM and LM tests for structural change in the volatility process enjoy monotonic power. The …-known issue of non-monotonic power for the CUSUM-based tests for changing mean. Simulations and an empirical example provide …

Persistent link: https://www.econbiz.de/10010702780

Long memory and changing persistence

Kruse, Robinson; Sibbertsen, Philipp - In: Economics Letters 114 (2012) 3, pp. 268-272

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

On tests for linearity against STAR models with deterministic trends

Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp - In: Economics Letters 117 (2012) 1, pp. 268-271

Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this work. Our findings show, in contrast to results recently reported in Zhang (2012), that linearity tests against STAR models lead to useful...

Persistent link: https://www.econbiz.de/10010580492

Performance of nonlinear instrumental variable unit root tests using recursive detrending methods

Lee, Hyejin; Meng, Ming; Lee, Junsoo - In: Economics Letters 117 (2012) 1, pp. 214-216

We examine the performance of nonlinear instrumental variable (NIV) unit root tests using various recursive detrending methods. We find that the NIV unit root tests using the recursive detrending method of Chang (2002) are the most powerful. They are more powerful than OLS based DF tests.

Persistent link: https://www.econbiz.de/10010580544

Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures

Meng, Ming; Lee, Hyejin; Cho, Myeong Hyeon; Lee, Junsoo - In: Economics Letters 120 (2013) 2, pp. 195-199

they lead to more precise estimation of the persistence parameter and greater power in unit root tests. However, we find … that unit root tests using these recursive procedures tend to lose power significantly when the initial value is very large. …

Persistent link: https://www.econbiz.de/10010678814

A variable addition test for exogeneity in structural threshold models

Massacci, Daniele - In: Economics Letters 120 (2013) 1, pp. 5-9

This paper proposes a variable addition test for exogeneity in threshold regression models with potentially endogenous right-hand-side variables. An accurate Monte Carlo study is undertaken and the results show the good finite sample properties of the suggested test.

Persistent link: https://www.econbiz.de/10010665679

Asymptotic behaviour of tests for a unit root against an explosive alternative

Harvey, David I.; Leybourne, Stephen J. - In: Economics Letters 122 (2014) 1, pp. 64-68

We compare the asymptotic local power of upper-tail unit root tests against an explosive alternative based on ordinary … initialisation, the QD-based tests are near asymptotically efficient and generally offer superior power to OLS-based approaches …; however, the power gains are much more modest than in the lower-tail testing context. We also find that asymptotically non …

Persistent link: https://www.econbiz.de/10010729462