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On the existence of the moments of the asymptotic trace statistic

Örsal, Deniz Dilan Karaman; Droge, Bernd - 2009

whose moments may be used to develop panel cointegration tests. Moreover, we justify the common practice to approximate …

Persistent link: https://www.econbiz.de/10003814491

Panel cointegration testing in the presence of a time trend

Droge, Bernd; Örsal, Deniz Dilan Karaman - 2009

The purpose of this paper is to propose a new likelihood-based panel cointegration test in the presence of a linear … & Lütkepohl (2000) for trend-adjusted data to the panel data framework, and is called the panel SL test. The idea is first to take … power in small samples. -- Panel cointegration Test ; likelihood ratio ; time trend ; Monte Carlo study …

Persistent link: https://www.econbiz.de/10003796158

Conditional complexity of compression for authorship attribution

Malyutov,, Mikhail B. (contributor); … - 2007

We introduce new stylometry tools based on the sliced conditional compression complexity of literary texts which are inspired by the nearly optimal application of the incomputable Kolmogorov conditional complexity (and presumably approximates it). Whereas other stylometry tools can occasionally...

Persistent link: https://www.econbiz.de/10003634789

Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms

Trenkler, Carsten (contributor) - 2006

In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lütkepohl (2000b) and Saikkonen, Lütkepohl & Trenkler (2006). The asymptotic properties of the bootstrap test procedures are derived and their...

Persistent link: https://www.econbiz.de/10003324256

Testing multiplicative error models using conditional moment tests

Hautsch, Nikolaus - 2008

We suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification....

Persistent link: https://www.econbiz.de/10003796125

Simultaneous test procedures in terms of p-value copulae

Dickhaus, Thorsten-Ingo; Gierl, Jakob - 2012

At least since [1], a broad class of multiple comparison procedures, so-called simultaneous test procedures (STPs), is established in the statistical literature. Elements of an STP are a testing family, consisting of a set of null hypotheses and corresponding test statistics, and a common...

Persistent link: https://www.econbiz.de/10009578226

Multiple point hypothesis test problems and effective numbers of tests

Dickhaus, Thorsten-Ingo; Stange, Jens - 2012

We consider a special class of multiple testing problems, consisting of M simultaneous point hypothesis tests in local statistical experiments. Under certain structural assumptions the global hypothesis contains exactly one element v* (say), and v* is least favourable parameter configuration...

Persistent link: https://www.econbiz.de/10009551901

Simultaneous statistical inference in dynamic factor models

Dickhaus, Thorsten-Ingo - 2012

Based on the theory of multiple statistical hypothesis testing, we elaborate simultaneous statistical inference methods in dynamic factor models. In particular, we employ structural properties of multivariate chi-squared distributions in order to construct critical regions for vectors of...

Persistent link: https://www.econbiz.de/10009531431

Goodness-of-fit test for specification of semiparametric copula dependence models

Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - 2013

This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first propose a new test constructed via the comparison between "in-sample" and "out-of-sample" pseudolikelihoods, which avoids the use of any probability integral transformations. Under...

Persistent link: https://www.econbiz.de/10009789426

Nonparametric change-point analysis of volatility

Bibinger, Markus; Jirak, Moritz; Vetter, Mathias - 2015

This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of an Itô semi-martingale, which is discretely observed over a fixed time horizon. We construct a minimax-optimal test to discriminate different smoothness classes of the...

Persistent link: https://www.econbiz.de/10010477582