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Finite sample of the Durbin-Watson test against fractionally integrated disturbances
Kleiber, Christian; Krämer, Walter - 2004
We consider the finite sample power of various tests against serial correlation in the disturbances of a linear regression when these disturbances follow a stationary long memory process. It emerges that the power depends on the form of the regressor matrix and that, for the Durbin-Watson test...
Persistent link: https://www.econbiz.de/10010306236
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Why Are Asset Returns Predictable?
Lüders, Erik - 2002
Starting from an information process governed by a geometric Brownian motion we show that asset returns are predictable if the elasticity of the pricing kernel is not constant. Declining [Increasing] elasticity of the pricing kernel leads to mean reversion and negatively autocorrelated asset...
Persistent link: https://www.econbiz.de/10010297953
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Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors
Egger, Peter; Larch, Mario; Pfaffermayr, Michael; … - 2005
autocorrelation coefficient of the error term in a Cliff and Ord type model. The main finding is that a Wald-test based on GMM …
Persistent link: https://www.econbiz.de/10010261344
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Testing for long memory against ESTAR nonlinearities
Kuswanto, Heri; Sibbertsen, Philipp - 2009
We develop a Wald type test to distinguish between long memory and ESTAR nonlinearity by using a directed-Wald statistic to overcome the problem of restricted parameters under the alternative. The test is derived from two basic model specifications where the first is the standard model based on...
Persistent link: https://www.econbiz.de/10010270049
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Adaptive rate-optimal detection of small autocorrelation coefficient
Guay, Alain; Guerre, Emmanuel; Lazarová, Štepána - 2009
A new test is proposed for the null of absence of serial correlation. The test uses a data-driven smoothing parameter. The resulting test statistic has a standard limit distribution under the null. The smoothing parameter is calibrated to achieve rate-optimality against several classes of...
Persistent link: https://www.econbiz.de/10010280754
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How to implement the Bootstrap in Static or Stable Dynamic Regression Models
van Giersbergen, Noud P.A.; Kiviet, Jan F. - 2001
By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...
Persistent link: https://www.econbiz.de/10010324912
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Can we make money with fifth-order autocorrelation in Japanese stock prices?
Tsutsui, Yoshiro; Hirayama, Kenjiro; Tanaka, Takahiro; … - 2005
We first report that one-minute returns on TOPIX have exhibited significant autocorrelation at five-minute intervals … jump in excess of a predetermined band seem to be the source of this autocorrelation, since these have been updated at five …-minute intervals since August 1998. Individual stock returns also exhibit fifth-order autocorrelation, but this disappears when the …
Persistent link: https://www.econbiz.de/10010332467
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Simple Regression Based Tests for Spatial Dependence
Born, Benjamin; Breitung, Jörg - 2009
We propose two simple diagnostic tests for spatial error autocorrelation and spatial lag dependence. The idea is to … used to test for spatial autocorrelation and lag dependence. We also propose a variant of the test that is robust to …
Persistent link: https://www.econbiz.de/10010270027
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Powerful t-Tests in the presence of nonclassical measurement error
Kim, Dongwoo; Wilhelm, Daniel - 2023
This paper proposes a powerful alternative to the t-test of the null hypothesis that a coefficient in linear regression is equal to zero when a regressor is mismeasured. We assume there are two contaminated measurements of the regressor of interest. We allow the two measurement errors to be...
Persistent link: https://www.econbiz.de/10014480598
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Distilling co-movements from persistent macro and financial series
Abadir, Karim; Talmain, Gabriel - 2005
We provide a methodology to disentangle the long-run relation between variables from their own dynamics. Macroeconomic and aggregate financial series have a high degree of inertia. If this persistence is not properly accounted for, spurious correlations will give rise to paradoxes. Our procedure...
Persistent link: https://www.econbiz.de/10011604571