Showing 1 - 6 of 6
This paper contains a Lagrange multiplier test of the hypothesis that the covariance matrix of a multivariate time series model is constant over time. It is further assumed that under the alternative, the error variances are time-varying whereas the correlation remain constant over time. Under...
Persistent link: https://www.econbiz.de/10005190819
When testing for cointegration, the asymptotic inference typically in use can be plagued by size distortion due to an inadequate first order approximation. Hence, for practical purposes the inference can be completely misleading and result in false conclusions regarding the presence of long-run...
Persistent link: https://www.econbiz.de/10005423782
In this paper we propose a Lagrange multiplier test for volatility interactions among markets or assets. The null hypothesis is the Constant Conditional Correlation GARCH model in which volatility of an asset is described only through lagged squared innovations and volatility of its own. The...
Persistent link: https://www.econbiz.de/10005423784
Bivariate VAR models are Monte Carlo simulated and OLS estimated, The resulting biases are used to compare two alternative approximations to the bias. They are found to be equivalent for first-order models, whereas for second-order models Nicholls and Pope's approximation outperforms Tjostheim...
Persistent link: https://www.econbiz.de/10005423794
It is well known that inference in vector autoregressive models depends crucially on the choice of lag-length. Various lag-length selection procedures have been suggested and evaluated in the literature. In these evaluations the possibility that the true model may have unequal lag-length has,...
Persistent link: https://www.econbiz.de/10005423870
This paper shows that the bootstrap algorithm for average technical efficiency by Atkinson and Wilson (1995) should be applied with great care for the Data Envelopment Analysis (DEA) estimator if the production frontier is stochastic. A stochastic frontier implies that the DEA estimator is...
Persistent link: https://www.econbiz.de/10005649251