Narrow search
Showing 1 - 10 of 246
Cover Image
Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping
Davidson, Russel; Monticini, Andrea - 2014
disturbances,where the heteroskedasticity and autocorrelation are of unknown form. A particular version of the wild bootstrap can … dependent wild bootstrap. Here, we extend this new method, and link it to the well-known HAC covariance estimator, in much the … same way as one can link the wild bootstrap to the HCCME. It works very well even with sample sizes smaller than 50, and …
Persistent link: https://www.econbiz.de/10011739586
Cover Image
Interest Rate Smoothing versus Serially Correlated Errors in Taylor Rules: Testing the Tests
Welz, Peter; Österholm, Pär - 2005
This paper contributes to the recent debate about the estimated high partial adjustment coefficient in dynamic Taylor rules, commonly interpreted as deliberate interest rate smoothing on the part of the monetary authority. We argue that a high coefficient on the lagged interest rate term may be...
Persistent link: https://www.econbiz.de/10010321535
Cover Image
Testing for Cointegration in Misspecified Systems - A Monte Carlo Study of Size Distortions
Österholm, Pär - 2003
When dealing with time series that are integrated of order one, the concept of cointegration becomes crucial for the specification of a model. Using the best available tests, one can reduce the probability of estimating econometric models that are misspecified. This paper investigates the small...
Persistent link: https://www.econbiz.de/10010321641
Cover Image
Power Properties of the Sargan Test in the Presence of Measurement Errors in Dynamic Panels
Dahlberg, Matz; Johansson, Eva; Tovmo, Per - 2002
This paper investigates the power properties of the Sargan test in the presence of measurement errors in dynamic panel data models. The general conclusion from the Monte Carlo simulations is that the Sargan test, in many cases, leads the econometrician to accept misspecified models with...
Persistent link: https://www.econbiz.de/10010321705
Cover Image
Bootstrap-based improvements for inference with clustered errors
Cameron, A. Colin; Miller, Douglas L.; Gelbach, Jonah B. - 2006
-reject considerably. We investigate more accurate inference using cluster bootstrap-t procedures that provide asymptotic refinement. These … tests of nominal size 0.05, our methods can reduce this to five percent. In principle a pairs cluster bootstrap should work … well, but in practice a Wild cluster bootstrap performs better. …
Persistent link: https://www.econbiz.de/10010275875
Cover Image
Testing Structural Hypotheses on Cointegration Vectors: A Monte Carlo Study
Eriksson, Åsa - 2004
In this paper, two tests for structural hypotheses on cointegration vectors are evaluated in a Monte Carlo study. The tests are the likelihood ratio test proposed by Johansen (1991) and the test for stationarity proposed by Kwiatkowski et al (1992). The analysis of the likelihood ratio test is...
Persistent link: https://www.econbiz.de/10013208469
Cover Image
Finite-Sample Stability of the KPSS Test
Jönsson, Kristian - 2006
In the current paper, the finite-sample stability of various implementations of the KPSS test is studied. The implementations considered differ in how the so-called long-run variance is estimated under the null hypothesis. More specifically, the effects that the choice of kernel, the value of...
Persistent link: https://www.econbiz.de/10013208507
Cover Image
Testing for Structural Breaks in the Presence of Data Perturbations: Impacts and Wavelet Based Improvements
Reese, Simon; Li, Yushu - 2013
This paper investigates how classical measurement error and additive outliers influence tests for structural change based on F-statistics. We derive theoretically the impact of general additive disturbances in the regressors on the asymptotic distribution of these tests for structural change ....
Persistent link: https://www.econbiz.de/10013208663
Cover Image
A Simple Wavelet-Based Test for Serial Correlation in Panel Data Models
Li, Yushu; Andersson, Fredrik N. G. - 2013
Hong and Kao (2004) proposed a panel data test for serial correlation of unknown form. However, their test is computationally difficult to implement, and simulation studies show the test to have bad small-sample properties. We extend Gencay's (2011) time series test for serial correlation to the...
Persistent link: https://www.econbiz.de/10013208666
Cover Image
Robust critical values for unit root tests for series with conditional heteroscedasticity errors: An application of the simple NoVaS transformation
Mantalos, Panagiotis - 2012
In this paper, we introduce a set of critical values for unit root tests that are robust in the presence of conditional heteroscedasticity errors using the normalizing and variance-stabilizing transformation (NoVaS) in Politis (2007) and examine their properties using Monte Carlo methods. In...
Persistent link: https://www.econbiz.de/10012654372