Showing 1 - 10 of 13
We propose to extend the cointegration rank determination procedure of Robinson and Yajima (2002) to accommodate both (asymptotically) stationary and nonstationary fractionally integrated processes as the common stochastic trends and cointegrating errors by applying the exact local Whittle...
Persistent link: https://www.econbiz.de/10011940651
Recently, Shimotsu and Phillips (2005) developed a new semiparametric estimator, the exact local Whittle (ELW) estimator, of the memory parameter (d) in fractionally integrated processes. The ELW estimator has been shown to be consistent and have the same N(0,1/4) limit distribution for all...
Persistent link: https://www.econbiz.de/10011940679
This paper analyzes the semiparametric estimation of multivariate long-range dependent processes. The class of spectral densities considered is motivated by and includes those of multivariate fractionally integrated processes. The paper establishes the consistency of the multivariate Gaussian...
Persistent link: https://www.econbiz.de/10011940680
This paper analyzes the higher-order properties of nested pseudo-likelihood (NPL) estimators and their practical implementation for parametric discrete Markov decision models in which the probability distribution is defined as a fixed point. We propose a new NPL estimator that can achieve...
Persistent link: https://www.econbiz.de/10011940681
In dynamic discrete choice analysis, controlling for unobserved heterogeneity is an important issue, and finite mixture models provide flexible ways to account for unobserved heterogeneity. This paper studies nonparametric identifiability of type probabilities and type-specific component...
Persistent link: https://www.econbiz.de/10011940706
This paper proposes two simple tests that are based on certain time domain properties of I(d) processes. First, if a time series follows an I(d) process, then each subsample of the time series also follows an I(d) process with the same value of d. Second, if a time series follows an I(d)...
Persistent link: https://www.econbiz.de/10011940715
As Canada increasingly structures itself towards a "knowledge based economy", the supply of high-skilled professionals such as engineers and other science graduates acquires more importance. Following the theoretical framework developed by Ryoo and Rosen(2004), we develop and estimate a dynamic...
Persistent link: https://www.econbiz.de/10011940719
This paper develops a new test of orthogonality based on a zero restriction on the covariance between the dependent variable and the predictor. The test provides a useful alternative to regression-based tests when conditioning variables have roots close or equal to unity. In this case standard...
Persistent link: https://www.econbiz.de/10011940736
Jagannathan and Wang (1996) derive the asymptotic distribution of the Hansen-Jagannathan distance (HJ-distance) proposed by Hansen and Jagannathan (1997), and develop a specification test of asset pricing models based on the HJ-distance. While the HJ-distance has several desirable properties,...
Persistent link: https://www.econbiz.de/10011940740
Purchasing power parity (PPP) is one of the most important, but empirically controversial theories in international macroeconomics. Although many researchers believe that some variant of PPP holds in the long run, there are diverse empirical results regarding the PPP hypothesis. We examine the...
Persistent link: https://www.econbiz.de/10011940752