Showing 1 - 10 of 284
We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develop asymptotic distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but of course the asymptotic results apply more generally....
Persistent link: https://www.econbiz.de/10011257175
This discussion paper resulted in a publication in the 'Journal of Economic Dynamics and Control' (forthcoming).<P> This paper develops a testing framework for comparing the predictive accuracy of copula-based multivariate density forecasts, focusing on a specific part of the joint distribution....</p>
Persistent link: https://www.econbiz.de/10011257469
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...
Persistent link: https://www.econbiz.de/10005144392
Accepted for publication in the <I>Journal of Business & Economic Statistics</I>.<P> We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a new two-step procedure which allows testing for further long-run equilibrium relations with possibly...</p></i>
Persistent link: https://www.econbiz.de/10011255793
This discussion paper resulted in a publication in the <I>Journal of Economic Dynamics & Control</I>, 34(9), 1596-1609.<P> We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information...</p></i>
Persistent link: https://www.econbiz.de/10011256012
This discussion paper resulted in a publication IN the <a HREF="http://people.few.eur.nl/hkvandijk/PDF/Koop_and_Van_Dijk_2000_JoE_testing_for_integration.pdf">'Journal of Econometrics'</a>, 2000, 97(2), 261-291.<p> In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the...</p>
Persistent link: https://www.econbiz.de/10011256048
In this article we introduce a new class of test statistics designed to detect the occurrence of abnormal observations. It derives from the joint distribution of moment- and quantile-based estimators of power variation sigma^r, under the assumption of a normal distribution for the underlying...
Persistent link: https://www.econbiz.de/10011255782
for Value-at-Risk. Applications to simple AR and ARCH time series models show that its power in detecting certain …
Persistent link: https://www.econbiz.de/10011256590
By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...
Persistent link: https://www.econbiz.de/10011256602
We derive the exact finite sample distribution of the <I>L<SUB>1</SUB></I>-version ofthe Fisz-Cramér-von Mises test statistic (<I>L<SUB>1</SUB></I>-FCvM). We first characterizethe set of all distinct sample p-p plots for two balanced sampleof size <I>n</I> absent ties. Next, we order this set according to the correspondingvalue of...</i></i></sub></i></sub></i>
Persistent link: https://www.econbiz.de/10011256710