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Kasparis, Ioannis - 2012

. The tests are consistent and divergence rates are faster when the predictor is stationary. Asymptotic theory and …

Persistent link: https://www.econbiz.de/10013100418

Non-Linearity Induced Weak Instrumentation

Kasparis, Ioannis - 2012

In regressions involving integrable functions we examine the limit properties of IV estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be either I(0) or nearly integrated (NI) processes. We show that this kind of nonlinearity in the...

Persistent link: https://www.econbiz.de/10013101153

Testing for Multiple Bubbles

Phillips, Peter C. B. - 2013

Identifying and dating explosive bubbles when there is periodically collapsing behavior over time has been a major concern in the economics literature and is of great importance for practitioners. The complexity of the nonlinear structure inherent in multiple bubble phenomena within the same...

Persistent link: https://www.econbiz.de/10013091850

Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles

Shi, Shuping - 2013

left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification …-tailed ADF test repeatedly on a sequence of forward sample recursions. We analyze and compare the limit theory of the sup ADF …

Persistent link: https://www.econbiz.de/10013092751

Testing for Multiple Bubbles : Limit Theory of Real Time Detectors

Phillips, Peter C. B. - 2013

This paper provides the limit theory of real time dating algorithms for bubble detection that were suggested in …

Persistent link: https://www.econbiz.de/10013075934

Testing the Martingale Hypothesis

Phillips, Peter C. B. - 2013

develops limit theory for the tests under the null and shows that the tests are consistent against a wide class of nonlinear …

Persistent link: https://www.econbiz.de/10013075942

VARs with Mixed Roots Near Unity

Phillips, Peter C. B. - 2012

Limit theory is developed for nonstationary vector autoregression (VAR) with mixed roots in the vicinity of unity …

Persistent link: https://www.econbiz.de/10013112716

Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility

Cavaliere, Giuseppe - 2012

A number of recently published papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, assumed that the lag length in the unit root test regression is a deterministic function of the...

Persistent link: https://www.econbiz.de/10013112718

Infinite Density at the Median and the Typical Shape of Stock Return Distributions

Han, Chirok - 2009

Statistics are developed to test for the presence of an asymptotic discontinuity (or infinite density or peakedness) in a probability density at the median. The approach makes use of work by Knight (1998) on Lv(1) estimation asymptotics in conjunction with non-parametric kernel density...

Persistent link: https://www.econbiz.de/10013159229

Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegration Regression

Wang, Qiying - 2006

We provide a new asymptotic theory for local time density estimation for a general class of functionals of integrated … time series. This result provides a convenient basis for developing an asymptotic theory for nonparametric cointegrating … avoids Fourier integral representations and Markov process theory which have been used in earlier research on this type of …

Persistent link: https://www.econbiz.de/10012778972