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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
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
A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is … restrictions are available for identifying structural shocks. The importance of performing such tests is illustrated by …
Persistent link: https://www.econbiz.de/10015211297
regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend …
Persistent link: https://www.econbiz.de/10013432950
implications of this model. We also consider models that allow for heteroskedasticity and briefly discuss other extensions. The key …
Persistent link: https://www.econbiz.de/10013479459
This paper investigates the informational content of online reviews. For the case of hotels, we model how the length of the stay shapes the variance of review scores. Grounded on violations of temporal monotonicity, errors in recall and hedonic adaptation theories, we first present a...
Persistent link: https://www.econbiz.de/10014468616
While causes and consequences of uncertainty in the US economy have attracted viable interest, the literature still lacks a consensus on several aspects. To name two matters of debate, it remains unclear whether uncertainty shocks are a source or the result of recessions and whether uncertainty...
Persistent link: https://www.econbiz.de/10014503643
option prices on autoregressive dynamics under stylized facts of stock returns, i.e., conditional heteroskedasticity …
Persistent link: https://www.econbiz.de/10010310007
We consider two multivariate long-memory ARCH models, which extend the univariate long-memory ARCH models, we first consider a long-memory extension of the restricted constant conditional correlations (CCC) model introduced by Bollerslev (1990), and we propose a new unrestricted conditional...
Persistent link: https://www.econbiz.de/10010310012
. Applied to German stock data, the alternative tests in many cases yield very different p-values. …
Persistent link: https://www.econbiz.de/10010310056