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Testing for Cointegration in Misspecified Systems - A Monte Carlo Study of Size Distortions
Österholm, Pär - 2003
specification of a model. Using the best available tests, one can reduce the probability of estimating econometric models that are … misspecified. This paper investigates the small sample performance of four well-known cointegration tests when a system has been …, Johansen's (1991) trace and the Boswijk (1989) Wald tests are examined. The Johansen trace test adjusted by the finite sample …
Persistent link: https://www.econbiz.de/10010321641
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Hypothesis testing of multiple inequalities: The method of constraint chaining
Chen, Le-Yu; Szroeter, Jerzy - 2009
that the predominant tests currently used in econometrics do not appear to enjoy all these properties simultaneously. We … models. In this paper we set forth four key properties which tests of multiple inequality constraints should ideally satisfy … tests. A full asymptotic theory is provided for the baseline. Simulation results show that the finite-sample performance of …
Persistent link: https://www.econbiz.de/10010288421
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Why Do Asset Prices Not Follow Random Walks?
Franke, Günter; Lüders, Erik - 2004
This paper analyzes the effect of non-constant elasticity of the pricing kernel on asset return characteristics in a rational expectations model. It is shown that declining elasticity of the pricing kernel can lead to predictability of asset returns and high and persistent volatility. Also,...
Persistent link: https://www.econbiz.de/10010263423
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Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
Kelejian, Harry H.; Prucha, Ingmar R. - 2008
unknown heteroskedasticity in the innovations. We first generalize the generalized moments (GM) estimator suggested in …
Persistent link: https://www.econbiz.de/10010264476
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The role of the log transformation in forecasting economic variables
Luetkepohl, Helmut; Xu, Fang - 2009
For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which conditions taking logs is beneficial for forecasting. Forecasts based on the...
Persistent link: https://www.econbiz.de/10010264593
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On the sensitivity of return to schooling estimates to estimation methods, model specification, and influential outliers if identification is weak
Jaeger, David A.; Parys, Juliane - 2009
We provide a comparison of return to schooling estimates based on an influential study by Angrist and Krueger (1991) using two stage least squares (TSLS), limited information maximum likelihood (LIML), jackknife (JIVE), and split sample instrumental variables (SSIV) estimation. We find that the...
Persistent link: https://www.econbiz.de/10010269280
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A parametric control function approach to estimating the returns to schooling in the absence of exclusion restrictions: An application to the NLSY
Farré, Lídia; Klein, Roger; Vella, Francis - 2010
An innovation which bypasses the need for instruments when estimating endogenous treatment effects is identification via conditional second moments. The most general of these approaches is Klein and Vella (2010) which models the conditional variances semiparametrically. While this is attractive,...
Persistent link: https://www.econbiz.de/10010269795
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Perceived shocks and impulse responses
Giacomini, Raffaella; Lu, Jason; Smetanina, Katja - 2024
This paper develops a novel approach that leverages the information contained in expectations datasets to derive empirical measures of beliefs regarding economic shocks and their dynamic effects. Utilizing a panel of expectation revisions for a single variable across multiple horizons, we...
Persistent link: https://www.econbiz.de/10015124968
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Monetary policy, external instruments, and heteroskedasticity
Schlaak, Thore; Rieth, Malte; Podstawski, Maximilian - In: Quantitative Economics 14 (2023) 1, pp. 161-200
We develop a structural vector autoregressive framework that combines external instruments and heteroskedasticity for … testing the relevance and exogeneity condition for instruments separately using likelihood ratio tests, and facilitates the … identified with both a valid instrument and heteroskedasticity have larger effects on production and prices than monetary shocks …
Persistent link: https://www.econbiz.de/10014536939
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A robust permutation test for subvector inference in linear regressions
D'Haultfœuille, Xavier; Tuvaandorj, Purevdorj - In: Quantitative Economics 15 (2024) 1, pp. 27-87
We develop a new permutation test for inference on a subvector of coefficients in linear models. The test is exact when the regressors and the error terms are independent. Then we show that the test is asymptotically of correct level, consistent, and has power against local alternatives when the...
Persistent link: https://www.econbiz.de/10014537024