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Neglected serial correlation tests in UCARIMA models

Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 121-178

We derive computationally simple and intuitive score tests of neglected serial correlation in unobserved component univariate models using frequency domain techniques. In some common situations in which the alternative model information matrix is singular under the null, we derive one-sided...

Persistent link: https://www.econbiz.de/10011458802

Inference in dynamic stochastic general equilibrium models with possible weak identification

Qu, Zhongjun - In: Quantitative economics : QE ; journal of the … 5 (2014) 2, pp. 457-494

This paper considers inference in log-linearized dynamic stochastic general equilibrium (DSGE) models with weakly (including un-) identified parameters. The framework allows for analysis using only part of the spectrum, say at the business cycle frequencies. First, we characterize weak...

Persistent link: https://www.econbiz.de/10011757270

Fixed and long time span jump tests : new Monte Carlo and empirical evidence

Cheng, Mingmian; Swanson, Norman R. - In: Econometrics : open access journal 7 (2019) 1/13, pp. 1-32

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the magnitude of the jump intensity parameter in the data...

Persistent link: https://www.econbiz.de/10012025640

Testing for a single-factor stochastic volatility in bivariate series

Chiba, Masaru; Kobayashi, Masahito - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 31-61

This paper proposes the Lagrange multiplier test for the null hypothesis thatthe bivariate time series has only a single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by representing the model in alinear state-space form under the...

Persistent link: https://www.econbiz.de/10011555751

Testing for stochastic dominance up to a common relative poverty line

Mehdi, Tahsin - In: Econometrics : open access journal 8 (2020) 1/5, pp. 1-5

Although a wide array of stochastic dominance tests exist for poverty measurement and identification, they assume the income distributions have independent poverty lines or a common absolute (fixed) poverty line. We propose a stochastic dominance test for comparing income distributions up to a...

Persistent link: https://www.econbiz.de/10012161548

Frequency-domain evidence for climate change

Mangat, Manveer Kaur; Reschenhofer, Erhard - In: Econometrics : open access journal 8 (2020) 3/28, pp. 1-15

The goal of this paper is to search for conclusive evidence against the stationarity of the global air surface temperature, which is one of the most important indicators of climate change. For this purpose, possible long-range dependencies are investigated in the frequency-domain. Since...

Persistent link: https://www.econbiz.de/10012265709

Testing for the equality of integration orders of multiple series

Wang, Man; Chan, Ngai Hang - In: Econometrics : open access journal 4 (2016) 4, pp. 1-10

Testing for the equality of integration orders is an important topic in time series analysis because it constitutes an essential step in testing for (fractional) cointegration in the bivariate case. For the multivariate case, there are several versions of cointegration, and the version given in...

Persistent link: https://www.econbiz.de/10011650498

Small sample adjustment for hypotheses testing on cointegrating vectors

Canepa, Alessandra - In: Journal of time series econometrics 14 (2022) 1, pp. 51-85

Persistent link: https://www.econbiz.de/10013260145

The causal relationship between remittances and poverty reduction in developing country : using a non-stationary dynamic panel data

Gaaliche, Makram; Zayati, Montassar - In: Atlantic review of economics : AROE 1 (2014)

-stationary dynamic panel data. Our estimation results reveal that causality nexus of poverty and remittances is bi-directional. We also …

Persistent link: https://www.econbiz.de/10010385765

Dynamic linkages between poverty, inequality, crime, and social expenditures in a panel of 16 countries : two‑step GMM estimates

Anser, Muhammad Khalid; Yousaf, Zahid; Nassani, … - In: Journal of economic structures : JES; the official … 9 (2020) 43, pp. 1-25

of inverted U-shaped Kuznets curve and pro-poor growth scenario in a panel of 16 diversified countries, over a period of … 1990-2014. The study employed panel Generalized Method of Moments (GMM) estimator for robust inferences. The results show … panel of selected countries. Income inequality and unemployment rate increases crime rate while trade openness supports to …

Persistent link: https://www.econbiz.de/10012256576

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