Narrow search
Showing 1 - 10 of 121
Cover Image
Consistent pretesting for jumps
Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - 2014
If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...
Persistent link: https://www.econbiz.de/10011396835
Cover Image
Consistent pretesting for jumps
Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - 2014
If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...
Persistent link: https://www.econbiz.de/10010361470
Cover Image
The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test
Corradi, Valentina; Swanson, Norman R. - Department of Economics, Rutgers University-New Brunswick - 2003
In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related test statistics are often constructed using logged data, even though there is often no clear reason, at least from an empirical perspective, why logs should be used rather than levels....
Persistent link: https://www.econbiz.de/10005839040
Cover Image
Bootstrap Specification Tests for Diffusion Processes
Corradi, Valentina; Swanson, Norman R. - Department of Economics, Rutgers University-New Brunswick - 2003
This paper introduces bootstrap specification tests for diffusion processes. In the one-dimensional case, the proposed … whether the drift and variance components of a particular continuous time model are correctly specified. However we compare … for the test, we use an empirical process version of the block bootstrap which properly accounts for the contribution of …
Persistent link: https://www.econbiz.de/10005839064
Cover Image
Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification
Corradi, Valentina; Swanson, Norman R. - Department of Economics, Rutgers University-New Brunswick - 2003
In this paper, we show the first order validity of the block bootstrap in the context of Kolmogorov type conditional … to date because we construct a bootstrap statistic that allows for dynamic misspecification under both hypotheses. We … empirical process version of the block bootstrap to the case of non vanishing parameter estimation error. The findings from …
Persistent link: https://www.econbiz.de/10005839091
Cover Image
Testing for structural stability of factor augmented forecasting models
Corradi, Valentina; Swanson, Norman R. - In: Journal of Econometrics 182 (2014) 1, pp. 100-118
statistic has a chi-squared limiting distribution, and we are able to establish the first order validity of (block) bootstrap …
Persistent link: https://www.econbiz.de/10011052274
Cover Image
Bootstrap Specification Tests with Dependent Observations and Parameter Estimation Error
Corradi, Valentina; Swanson, Norman R. - Business School, University of Exeter - 2001
This paper introduces a parametric specification test for dissusion processes which is based on a bootstrap procedure … that accounts for data dependence and parameter estimation error. The proposed bootstrap procedure additionally leads to … the case of dependent observations. The bootstrap hinges on a twofold extension of the Politis and Romano (1994 …
Persistent link: https://www.econbiz.de/10008852284
Cover Image
A Randomized Procedure for Choosing Data Transformation
Corradi, Valentina; Swanson, Norman R. - Business School, University of Exeter - 2001
Standard unit root and stationarity tests (see e.g. Dickey and Fuller (1979)) assume linearity under both the null and the alternative hypothesis. Violation of this linearity assumption can result in severe size and power distortion, both in finite and large samples. Thus, it is reasonable to...
Persistent link: https://www.econbiz.de/10008852377
Cover Image
Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification
Corradi, Valentina; Swanson, Norman R. - 2003
In this paper, we show the first order validity of the block bootstrap in the context of Kolmogorov type conditional … to date because we construct a bootstrap statistic that allows for dynamic misspecification under both hypotheses. We … empirical process version of the block bootstrap to the case of non vanishing parameter estimation error. The findings from …
Persistent link: https://www.econbiz.de/10010263212
Cover Image
Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data
Corradi, Valentina; Swanson, Norman R. - 2003
in the theory of the bootstrap, Kolmogorov type testing, and other work on the evaluation of DSGEs, aimed at comparing … tabulated. In order to address this issue, we show the validity of two versions of the block bootstrap in our context. An …
Persistent link: https://www.econbiz.de/10010263218