Showing 1 - 10 of 11
This paper establishes stochastic equicontinuity for classes of mixingales. Attention is restricted to Lipschitz-continuous parametric functions. Unlike some other empirical process theory for dependent data, our results do not require bounded functions, stationary processes, or restrictive...
Persistent link: https://www.econbiz.de/10004968854
In the past decade, we have seen the development of a new set of tests for structural change of unknown timing in regression models, most notably the SupF statistic of Andrews (1993), the ExpF and AveF statistics of Andrews-Ploberger (1994), and the L statistic of Nyblom (1989). The distribution...
Persistent link: https://www.econbiz.de/10005074097
Threshold regression methods are developed for non-dynamic panels with individual-specific fixed effects. Least squares estimation of the threshold and regression slopes is proposed using fixed-effects transformations. A non-standard asymptotic theory of inference is developed which allows...
Persistent link: https://www.econbiz.de/10005074123
Numerical approximations to the asymptotic distributions of recently proposed tests for structural change are presented. This enables easy yet accurate calculation of asymptotic p-values. Keywords: parameter stability, changepoint models
Persistent link: https://www.econbiz.de/10005074199
This paper develops an asymptotic theory of inference for a two-regime threshold autoregressive (TAR) model with an autoregressive root which is local-to-unity. We find that the asymptotic null distribution of the Wald test for a threshold is non-standard and mildly dependent on the...
Persistent link: https://www.econbiz.de/10005102662
A distribution theory is developed for least squares estimates of the threshold in threshold autoregressive (TAR) models. We find that if we let the threshold effect (the difference in slopes between the two regimes) get small as the sample size increases, then the asymptotic distribution of the...
Persistent link: https://www.econbiz.de/10005102688
This note corrects an error in Hansen, Journal of Applied Econometrics (1992)
Persistent link: https://www.econbiz.de/10005102701
In recent years there has been rapidly growing interest in the implications of altruistic preferences for economic behavior. Undoubtedly most of this interest is fueled by altruism's often pivotal role in economic models and policy issues. Yet there is also an emerging consensus that empirical...
Persistent link: https://www.econbiz.de/10005102713
Threshold models have a wide variety of applications in economics. Direct applications include models of separating and multiple equilibria. Other applications include empirical sample splitting when the sample split is based on a continuously-distributed variable such as firm size. In addition,...
Persistent link: https://www.econbiz.de/10005102723
In the context of testing for a unit root in a univariate time series, the convention is to ignore information in related time series. This paper shows that this convention is quite costly, as large power gains can be achieved by including correlated stationary covariates in the regression...
Persistent link: https://www.econbiz.de/10005027820