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Das Theorem der Kaufkraftparität : eine empirische Betrachtung unter dem Aspekt neuerer Verfahren der Zeitreihenanalyse
Holzer, Stefan - 1994
Persistent link: https://www.econbiz.de/10004191853
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The power of bootstrap tests of cointegration rank
Ahlgren, Niklas; Antell, Jan - In: Computational Statistics 28 (2013) 6, pp. 2719-2748
Bootstrap likelihood ratio tests of cointegration rank are commonly used because they tend to have rejection … estimation of the power function of the bootstrap test of cointegration rank. The bootstrap test is found to have a power … function close to that of the level-adjusted asymptotic test. The bootstrap test therefore estimates the level-adjusted power …
Persistent link: https://www.econbiz.de/10010847660
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The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series
Ahlgren, Niklas; Antell, Jan - Hanken Svenska Handelshögskolan - 2009
Bootstrap likelihood ratio tests of cointegration rank are commonly used because they tend to have rejection … be applied to the estimation of the power function of the bootstrap test of cointegration rank. The bootstrap test is … found to have a power function close to that of the level-adjusted asymp- totic test. The bootstrap test estimates the level …
Persistent link: https://www.econbiz.de/10005669093
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Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series
Ahlgren, Niklas; Antell, Jan - Hanken Svenska Handelshögskolan - 2006
series. It is found that the asymptotic test tends to overestimate the cointegration rank, while the bootstrap and FDB tests …The likelihood ratio test of cointegration rank is the most widely used test for cointegration. Many studies have shown … evaluates by Monte Carlo simulation experiments bootstrap and fast double bootstrap (FDB) algorithms for the likelihood ratio …
Persistent link: https://www.econbiz.de/10005055591
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Nonlinear Exchange Rate Models; A Selective Overview
Sarno, Lucio - International Monetary Fund (IMF) - 2003
This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange...
Persistent link: https://www.econbiz.de/10005825647
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Medium-Term Exchange Rate Forecasting; What Can We Expect?
Meredith, Guy - International Monetary Fund (IMF) - 2003
The medium-term predictability of exchange rate movements is examined using three models of fundamentals: purchasing power parity, the monetary model, and uncovered interest parity. While the first two approaches yield favorable in-sample results, these largely reflect finite-sample estimation...
Persistent link: https://www.econbiz.de/10005826261
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Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates
Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003
This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the adjustment toward PPP is symmetric from above and below. Using alternative nonlinear models, our results support mean reversion and asymmetric adjustment dynamics. We find differences...
Persistent link: https://www.econbiz.de/10005769039
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The Real Exchange Rate and Growth Revisited; The Washington Consensus Strikes Back?
Berg, Andrew; Miao, Yanliang - International Monetary Fund (IMF) - 2010
There is good reason and much evidence to suggest that the real exchange rate matters for economic growth, but why? The "Washington Consensus" (WC) view holds that real exchange rate misalignment implies macroeconomic imbalances that are themselves bad for growth. In contrast, Rodrik (2008)...
Persistent link: https://www.econbiz.de/10008519476
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Time-Varying Thresholds; An Application to Purchasing Power Parity
Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003
This paper introduces a time-varying threshold autoregressive model (TVTAR), which is used to examine the persistence of deviations from PPP. We find support for the stationary TVTAR against the unit root hypothesis; however, for some developing countries, we do not reject the TVTAR with a unit...
Persistent link: https://www.econbiz.de/10005604859
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Alternatives to the usual likelihood ratio test in mixed linear models
Stein, Markus Chagas; Silva, Michel Ferreira da; … - In: Computational Statistics & Data Analysis 69 (2014) C, pp. 184-197
. Specifically, the following tests for fixed effects are considered: (i) a bootstrap-based test, (ii) the Bartlett-corrected usual … profile likelihood proposed by Barndorff-Nielsen, based on the work of Severini. Bootstrap resampling is performed to …
Persistent link: https://www.econbiz.de/10010709952