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Robust estimation and inference for threshold models with integrated regressors

Chen, Haiqiang - 2013

This paper studies the robust estimation and inference of threshold models with integrated regres- sors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....

Persistent link: https://www.econbiz.de/10009767269

On Confidence Intervals for Autoregressive Roots and Predictive Regression

Phillips, Peter C. B. - 2012

A prominent use of local to unity limit theory in applied work is the construction of confidence intervals for autogressive roots through inversion of the ADF t statistic associated with a unit root test, as suggested in Stock (1991). Such confidence intervals are valid when the true model has...

Persistent link: https://www.econbiz.de/10013100421

Testing the Permanent Income Hypothesis Using Unit Root Quantile Autoregression Tests

Gomes, Fábio A. - 2010

In this paper we use the covariate quantile autoregression approach to test whether consumption is a constant unit root process, as predicted by the permanent income hypothesis (PIH). We find evidence that at low quantiles of the conditional quantile function of consumption the persistence of...

Persistent link: https://www.econbiz.de/10013136961

Spurious Regression, Cointegration, and Near Cointegration : A Unifying Approach

Haldrup, Niels; Jansson, Michael - 1999

on this representation, a notion of near cointegration is proposed and three separate applications of the model of near … cointegration are provided. As a first application, we give analytical corroboration of the conjecture that the finite sample … coefficient. Hence, the notion of near cointegration helps to bridge the gap between the polar cases of spurious regression and …

Persistent link: https://www.econbiz.de/10014203187

Self-Normalization Inference for Linear Trends in Cointegrating Regressions

Cho, Cheol-Keun - 2022

This article highlights the importance of statistical tests on the trend coefficient in cointegrating regressions when the stochastic regressors contain a deterministic linear trend. In addition to deriving asymptotic theory for t statistics constructed using integrated and modified ordinary...

Persistent link: https://www.econbiz.de/10014078083

Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression

Baruník, Jozef - 2013

This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular model-free option-implied volatility (MFIV) when assessing the...

Persistent link: https://www.econbiz.de/10013090381

Exports and capacity constraints : a smooth transition regression model for six euro area countries

Belke, Ansgar; Oeking, Anne; Setzer, Ralph - 2013

Traditional specifications of export equations incorporate foreign demand as a demand pull factor and the real exchange rate as a relative price variable. However, such standard export equations have failed to explain the export performance of euro area countries during the crisis period. In...

Persistent link: https://www.econbiz.de/10010255111

Exports and capacity constraints : a smooth transition regression model for six euro area countries

Belke, Ansgar; Oeking, Anne; Setzer, Ralph - 2013

Persistent link: https://www.econbiz.de/10010195462

Spurious regression, cointegration, and near cointegration : a unifying approach

Haldrup, Niels; Jansson, Michael - 1999

cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …

Persistent link: https://www.econbiz.de/10011300555

Revisiting the long memory dynamics of implied-realized volatility relation : a new evidence from wavelet band spectrum regression

Barunik, Jozef; Barunikova, Michaela - 2015

This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of future volatility. It is argued that the concept...

Persistent link: https://www.econbiz.de/10011280711