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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cavalierea, Giuseppe; Ørregard Nielsen, Morten; … - 2013 - 12-2013

We propose bootstrap implementations of the asymptotic Wald, likelihood ratio and Lagrange multiplier tests for the order of integration of a fractionally integrated time series. Our main purpose in doing so is to develop tests which are robust to both conditional and unconditional...

Persistent link: https://www.econbiz.de/10009743847

An unbiased test for a change in persistence

Leybourne, Stephen James; Taylor, Robert; Kim, Tae-hwan - 2004

Persistent link: https://www.econbiz.de/10002379251

Fluctuation tests for a change in persistence

Taylor, Robert - 2004

Persistent link: https://www.econbiz.de/10002141954

Semiparametric tests for the order of integration in the possible presence of level breaks

Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - 2020

Lobato and Robinson (1998) develop semiparametric tests for the null hypothesis that a series is weakly autocorrelated, or I(0), about a constant level, against fractionally integrated alternatives. These tests have the advantage that the user is not required to specify a parametric model for...

Persistent link: https://www.econbiz.de/10012243070

Semiparametric tests for the order of integration in the possible presence of level breaks

Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - 2021

Persistent link: https://www.econbiz.de/10012434016

An optimal test against a Random walk component in a non-orthogonal unobserved components model

Bailey, Ralph W. - 2000

Persistent link: https://www.econbiz.de/10013442514

Forecasting with panel data

Baltagi, Badi H. (contributor) - 2006

This paper gives a brief survey of forecasting with panel data. Starting with a simple error component regression and … applications, running horse races between heterogeneous and homogeneous panel data models using out of sample forecasts. …

Persistent link: https://www.econbiz.de/10003363840

Nonstationary panels, cointegration in panels and dynamic panels : a survey

Baltagi, Badi H.; Kao, Chihwa - In: Nonstationary panels, panel cointegration, and dynamic …, (pp. 7-51). 2000

Persistent link: https://www.econbiz.de/10001583110

Identification and estimation of a large factor model with structural instability

Baltagi, Badi H.; Kao, Chihwa; Wang, Fa - 2016

Persistent link: https://www.econbiz.de/10011687505