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Non-Nested Models and the Likelihood Ratio Statistic : A Comparison of Simulation and Bootstrap Based Tests

Kapetanios, George; Weeks, Melvyn - 2003

We consider an alternative use of simulation in the context of using the Likelihood-Ratio statistic to test non …-nested models. To date simulation has been used to estimate the Kullback-Leibler measure of closeness between two densities, which … study represents the first comparison of the properties of bootstrap and simulation-based tests applied to non-nested tests …

Persistent link: https://www.econbiz.de/10014086921

Testing the rank of the Hankel matrix: a statistical approach

Camba-Méndez, Gonzalo; Kapetanios, George - 2001

The rank of the Hankel matrix, corresponding to a system transfer function, is equal to the order of its minimal state space realization. The computation of the rank of the Hankel matrix is complicated by the fact that its block elements are rarely given exactly but are estimated instead. In...

Persistent link: https://www.econbiz.de/10011604091

Spectral based methods to identify common trends and common cycles

Camba-Méndez, Gonzalo; Kapetanios, George - 2001

The rank of the spectral density matrix conveys relevant information in a variety of modelling scenarios. Phillips (1986) showed that a necessary condition for cointegration is that the spectral density matrix of the innovation sequence at frequency zero is of a reduced rank. In a recent paper...

Persistent link: https://www.econbiz.de/10011604108

Getting PPP right: Identifying mean-reverting real exchange rates in panels

Chortareas, Georgios; Kapetanios, George - 2008

Recent advances in testing for the validity of Purchasing Power Parity (PPP) focus on the time series properties of real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as to which cross-section units are stationary. As a...

Persistent link: https://www.econbiz.de/10010280777

Testing for exogeneity in nonlinear threshold models

Kapetanios, George - 2004

Most work in the area of nonlinear econometric modelling is based on a single equation and assumes exogeneity of the explanatory variables. Recently, work by Caner and Hansen (2003) and Psaradakis, Sola, and Spagnolo (2004) has considered the possibility of estimating nonlinear models by methods...

Persistent link: https://www.econbiz.de/10010284096

A bootstrap invariance principle for highly nonstationary long memory processes

Kapetanios, George - 2004

This paper presents an invariance principle for highly nonstationary long memory processes, defined as processes with long memory parameter lying in (1, 1.5). This principle provides the tools for showing asymptotic validity of the bootstrap in the context of such processes.

Persistent link: https://www.econbiz.de/10010284097

Nonlinear autoregressive models and long memory

Kapetanios, George - 2004

This note shows that regime switching nonlinear autoregressive models widely used in the time series literature can exhibit arbitrary degrees of long memory via appropriate definition of the model regimes.

Persistent link: https://www.econbiz.de/10010284101

Cluster analysis of panel datasets using non-standard optimisation of information criteria

Kapetanios, George - 2005

Panel datasets have been increasingly used in economics to analyse complex economic phenomena. One of the attractions of panel datasets is the ability to use an extended dataset to obtain information about parameters of interest which are assumed to have common values across panel units....

Persistent link: https://www.econbiz.de/10010284104

Determining the stationarity properties of individual series in panel datasets

Kapetanios, George - 2003

An attractive feature of panel unit root tests is the ability to exploit coefficient homogeneity under the null hypothesis of a unit root for all series in order to obtain a more powerful test of the unit root hypothesis. However, under the alternative hypothesis of heterogeneous panel unit root...

Persistent link: https://www.econbiz.de/10010284119

How puzzling is the PPP puzzle? An alternative half-life measure of convergence to PPP

Chortareas, Georgios E.; Kapetanios, George - 2004

The lengthy half-lives of real exchange rates in the presence of high degree of exchange rate volatility has been considered as one of the most puzzling empirical regularities in international macroeconomics. This paper suggests that the measure of half-life used in the literature might be...

Persistent link: https://www.econbiz.de/10010284120