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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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A new approach to bootstrap inference in functional coefficient models
Herwartz, Helmut; Xu, Fang - 2007
We introduce a new, factor based bootstrap approach which is robust under heteroskedastic error terms for inference in functional coefficient models. Modeling the functional coefficient parametrically, the bootstrap approximation of an F statistic is shown to hold asymptotically. In simulation...
Persistent link: https://www.econbiz.de/10010296279
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A robust bootstrap approach to the Hausman test in stationary panel data models
Herwartz, Helmut; Neumann, Michael H. - 2007
In panel data econometrics the Hausman test is of central importance to select an e?cient estimator of the models … robust under cross sectional or time heteroskedasticity and inhomogeneous patterns of serial correlation. A Monte Carlo study …
Persistent link: https://www.econbiz.de/10010296293
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Efficient Maximum Likelihood Estimation of Spatial Autoregressive Models with Normal but Heteroskedastic Disturbances
Yokoi, Takahisa - 2010
Likelihood functions of spatial autoregressive models with normal but heteroskedastic disturbances have been already derived [Anselin (1988, ch.6)]. But there is no implementation for maximum likelihood estimation of these likelihood functions in general (heteroskedastic disturbances) cases....
Persistent link: https://www.econbiz.de/10011332432
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Estimating the immediate impact of monetary policy shocks on the exchange rate and other asset prices in Hungary
Rezessy, András - 2005
. The endogeneity problem is treated with the method of identification through heteroskedasticity as described by Rigobon …
Persistent link: https://www.econbiz.de/10010322405
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Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
Persistent link: https://www.econbiz.de/10010330390
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
with Generalised AutoRegressive Conditional Heteroskedasticity are characterised by the ability to estimate and forecast …
Persistent link: https://www.econbiz.de/10010331352
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Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity
Luetkepohl, Helmut; Velinov, Anton - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
Persistent link: https://www.econbiz.de/10010333366
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Are there bubbles in stock prices? Testing for fundamental shocks
Velinov, Anton; Chen, Wenjuan - 2014
means of a Markov switching-SVAR (MS-SVAR) model in heteroskedasticity. Using data from France, Germany, Italy, Japan, the …
Persistent link: https://www.econbiz.de/10010352750