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Unit Root Test in a Threshold Autoregression : Asymptotic Theory and Residual-Based Block Bootstrap
Seo, Myunghwan - 2008
There is a growing literature on unit root testing in threshold autoregressive models. This paper makes two contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold autoregression, in which the errors are allowed to be dependent and...
Persistent link: https://www.econbiz.de/10012771003
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Robust resampling methods for time series
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This version: May 9, 2010
We study the robustness of block resampling procedures for time series. We first derive a set of formulas to … applications. This renders inference based on standard resampling methods useless already in simple estimation and testing settings …. To solve this problem, we introduce a robust fast resampling scheme that is applicable to a wide class of time series …
Persistent link: https://www.econbiz.de/10003971115
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A joint specification test for response probabilities in unordered multinomial choice models
Iwasawa, Masamune - In: Econometrics : open access journal 3 (2015) 3, pp. 667-697
Estimation results obtained by parametric models may be seriously misleading when the model is misspecified or poorly approximates the true model. This study proposes a test that jointly tests the specifications of multiple response probabilities in unordered multinomial choice models. The test...
Persistent link: https://www.econbiz.de/10011410669
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Nonparametric Inferences on Conditional Quantile Processes
Goh, Chuan - 2007
This paper is concerned with tests of restrictions on the sample path of conditional quantile processes. These tests are tantamount to assessments of lack of fit for models of conditional quantile functions or more generally as tests of how certain covariates affect the distribution of an...
Persistent link: https://www.econbiz.de/10012731947
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Maximum Non-Extensive Entropy Block Bootstrap for Non-Stationary Processes
Bergamelli, Michele - 2015
In this paper, we propose a novel entropy-based resampling scheme valid for non-stationary data. In particular, we …
Persistent link: https://www.econbiz.de/10013025071
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Improved inference on the rank of a matrix
Chen, Qihui; Fang, Zheng - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1787-1824
This paper develops a general framework for conducting inference on the rank of an unknown matrix Π0. A defining feature of our setup is the null hypothesis of the form . The problem is of first‐order importance because the previous literature focuses on by implicitly assuming away , which...
Persistent link: https://www.econbiz.de/10012202917
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Nonparametric Bootstrap for Quasi-Likelihood Ratio Tests
Camponovo, Lorenzo - 2011
We introduce a nonparametric block bootstrap approach for Quasi-Likelihood Ratio type tests of nonlinear restrictions. Our method applies to extremum estimators, such as quasi-maximum likelihood and generalized method of moments estimators. Unlike existing parametric bootstrap procedures for...
Persistent link: https://www.econbiz.de/10014178027
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Unit Root Testing Via the Continuous-Path Block Bootstrap
Paparoditis, Efstathios; Politis, Dimitris N. - 2001
A new resampling procedure, the continuous-path block bootstrap, is proposed in the context of testing for integrated …
Persistent link: https://www.econbiz.de/10014133085
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Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model
Gürtler, Marc; Rauh, Ronald - 2009 - This Version: 2009-09-09
A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics are modelled both exogenously and deterministic, captured by a nonparametric curve estimation on equidistant centered returns. We prove consistency and asymptotic normality of a...
Persistent link: https://www.econbiz.de/10009487233
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Detecting serial dependence in tail events
Diks, Cees G. H. - 2002
A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...
Persistent link: https://www.econbiz.de/10011327543