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Modelling conditional and unconditional heteroskedasticity with smoothly time-varying structure
Amado, Cristina; Teräsvirta, Timo - 2008
In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance … describe both nonlinearity and structural change in the conditional and unconditional variances where the transition between … regimes over time is smooth. A modelling strategy for these new time-varying parameter GARCH models is developed. It relies on …
Persistent link: https://www.econbiz.de/10010281252
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Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure
Amado, Cristina; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2008
In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance … describe both nonlinearity and structural change in the conditional and unconditional variances where the transition between … regimes over time is smooth. A modelling strategy for these new time-varying parameter GARCH models is developed. It relies on …
Persistent link: https://www.econbiz.de/10005423887
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Why not use standard panel unit root test for testing PPP
Lyhagen, Johan - 2000
In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity relationship. The distribution of the tests investigated, including the IPS test of Im et al (1997), are influenced by a common stochastic trend which is usually not accounted...
Persistent link: https://www.econbiz.de/10010281460
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Why not use standard panel unit root test for testing PPP
Lyhagen, Johan - Economics Institute for Research (SIR), … - 2000
In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity relationship. The distribution of the tests investigated, including the IPS test of Im et al (1997), are influenced by a common stochastic trend which is usually not accounted...
Persistent link: https://www.econbiz.de/10005423880
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Robust Testing for Fractional Integration Using the Bootstrap
Andersson, Michael K.; Gredenhoff, Mikael P. - Economics Institute for Research (SIR), … - 1998
Asymptotic tests for fractional integration are usually badly sized in small samples, even for normally distributed processes. Furthermore, tests that are well-sized under normality may be severely distorted by non-normalities and ARCH errors. This paper demonstrates how the bootstrap can be...
Persistent link: https://www.econbiz.de/10005423891
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On the power and interpretation of panel unit root tests
Karlsson, Sune; Löthgren, Mickael - Economics Institute for Research (SIR), … - 1999
We demonstrate that panel unit root tests can have high power when a small fraction of the series are stationary and may lack power when a large fraction is stationary. The acceptance or rejection of the null is thus not sufficient evidence to conclude that all series have a unit root or that...
Persistent link: https://www.econbiz.de/10005651508
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A general framework for testing the Granger noncausality hypothesis
Péguin-Feissolle, Anne; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1999
In this paper, new noncausality tests relying on a general nonlinear framework are proposed and their performance studied by a Monte Carlo experiment and a variety of nonlinear artificial series. Two of the tests are based on a Taylor expansion of the nonlinear model around a given point in the...
Persistent link: https://www.econbiz.de/10005207201
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A simple efficient GMM estimator of GARCH models
Skoglund, Jimmy - 2001
This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the … estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In … addition efficiency results are obtained in the general framework of the GARCH(1,1)-M regression model. …
Persistent link: https://www.econbiz.de/10010281314
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Specification Tests for Asymmetric GARCH
Hagerud, Gustaf E. - Economics Institute for Research (SIR), … - 1997
In this paper I present two new Lagrange multiplier test statistics designed for testing the null of GARCH (1 …,1), against the alternative of asymmetric GARCH. For one test the alternative is the generalized QARCH (1,1) model of Sentana … [1995], and for the other the alternative is the logistic smooth transition GARCH (1,1) model of Hagerud [1996], and …
Persistent link: https://www.econbiz.de/10005771173
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A simple efficient GMM estimator of GARCH models
Skoglund, Jimmy - Economics Institute for Research (SIR), … - 2001
This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the … estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In … addition efficiency results are obtained in the general framework of the GARCH(1,1)-M regression model. …
Persistent link: https://www.econbiz.de/10005423831