Similar Search Results

Comment on: "Testing hypotheses in nonparametric models of production" by Kneip, Simar, and Wilson (2016, JBES)

Asmild, Mette; Henningsen, Arne; Kronborg, Dorte; … - 2019

Persistent link: https://www.econbiz.de/10012132679

Andrews, Isaiah; Kitagawa, Toru; McCloskey, Adam - 2019

In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds, and structural break models with estimated...

Persistent link: https://www.econbiz.de/10012109832

Testing for breaks in the cointegrating relationship : on the stability of government bond markets' equilibrium

Rodrigues, Paulo M. M.; Sibbertsen, Philipp; Voges, Michelle - 2019 - This version: June 25, 2019

In this paper, test procedures for no fractional cointegration against possible breaks in the persistence structure of a fractional cointegrating relationship are introduced. The tests proposed are based on the supremum of the Hassler and Breitung (2006) test statistic for no cointegration over...

Persistent link: https://www.econbiz.de/10012026947

Testing for multiple structural breaks in multivariate long memory regression models

Less, Vivien; Rodrigues, Paulo M. M.; Sibbertsen, Philipp - 2025

This paper focuses on the estimation and testing of multiple breaks that occur at unknown dates in multivariate long memory time series regression models, allowing for fractional cointegration. A likelihood-ratio based approach for estimating the breaks in the parameters and in the covariance of...

Persistent link: https://www.econbiz.de/10015200188

Inference for parameters identified by conditional moment restrictions using a generalized Bierens maximum statistic

Chen, Xiaohong; Lee, Sokbae; Seo, Myung Hwan; Song, … - 2024

Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of …

Persistent link: https://www.econbiz.de/10015149596

Permutation tests on returns to scale and common production frontiers in nonparametric models

Rønn-Nielsen, Anders; Kronborg, Dorte; Asmild, Mette - 2022

Permutation techniques, where one recompute the test statistic over permutations of data, have a long history in statistics and have become increasingly useful as the availability of computational power has increased. Until now, no permutation tests for examining returns to scale assumptions,...

Persistent link: https://www.econbiz.de/10013338075

The Euro-Dollar exchange rate : is it fundamental?

Camarero Olivas, Mariam; Ordóñez, Javier; Tamarit … - 2002

-area currencies. First, using dynamic panel techniques, we estimate an error correction model for the dollar real exchange rate versus …

Persistent link: https://www.econbiz.de/10011538958

Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 18, 2005

In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The …, finite sample properties of the test are examined. We highlight scenarios under which the traditional panel unit root tests … by Harris and Tzavalis have inferior or reasonable power compared to our test. -- Dynamic nonlinear panel ; Smooth …

Persistent link: https://www.econbiz.de/10002577852

LM-type tests for idiosyncratic and common unit roots in the exact factor model with AR(1) dynamics

Solberger, Martin; Zhou, Xingwu - 2013

Persistent link: https://www.econbiz.de/10010199464

A lagrange multiplier-type test for idiosyncratic unit roots in the exact factor model under misspecification

Zhou, Xingwu; Solberger, Martin - 2013

Persistent link: https://www.econbiz.de/10010199465