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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002
Persistent link: https://www.econbiz.de/10001715636
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The likelihood test under non-standard conditions : testing the Markov trend model of GNP
Hansen, Bruce E. - 1991
Persistent link: https://www.econbiz.de/10000814458
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Multiple structural breaks in Australia's macroeconomic data : an application of the Lumsdaine and Papell test
Valadkhani, Abbas (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003002177
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Semiparametric Bootstrap Approach to Hypothesis Tests and Confidence Intervals for the Hurst Coefficient
Hall, Peter; Härdle, Wolfgang; Kleinow, Torsten; … - 2000
In this paper we propose a new bootstrap, or Monte-Carlo, approach to such problems. Traditional bootstrap methods in this context are based on fitting a process chosen from a wide but relatively conventional range of discrete time series models, including autoregressions, moving averages,...
Persistent link: https://www.econbiz.de/10014164282
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Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration
Yang, Lijian - 2017
regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate …
Persistent link: https://www.econbiz.de/10012966219
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Cross-Section Versus Time-Series Tests of Asset Pricing Models
Fama, Eugene F. - 2017
Tests of asset-pricing models commonly use either the cross-section regression approach of Fama and MacBeth (1973) or the time-series regression approach that centers on the GRS test of Gibbons, Ross, and Shanken (1989). The goal here is to discuss how the two approaches differ and their...
Persistent link: https://www.econbiz.de/10012970721
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Out-of-Sample GARCH Testing
Suvorin, Vadim - 2011
The article is focused on examining GARCH models with different lags on variety of financial time series. The first part describes an eduction of the best forecasting ability model with the help of out-of-sample criterion. The second section portrays series of tests that were performed in...
Persistent link: https://www.econbiz.de/10013118225
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Testing for Common GARCH Factors
Dovonon, Prosper - 2013
This paper proposes a test for common conditionally heteroskedastic (CH) features in asset returns. Following Engle and Kozicki (1993), the common CH features property is expressed in terms of testable overidentifying moment restrictions. However, as we show, these moment conditions have a...
Persistent link: https://www.econbiz.de/10013088709
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Tests for Parameter Instability in Dynamic Factor Models
Han, Xu - 2014
estimation, we reduce the infinite-dimensional problem into a finite-dimensional one and our statistic compares the pre- and post …
Persistent link: https://www.econbiz.de/10013063182
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Fully modified least squares cointegrating parameter estimation in multicointegrated systems
Kheifets, Igor L.; Phillips, Peter C. B. - In: Journal of econometrics 232 (2023) 2, pp. 300-319
Persistent link: https://www.econbiz.de/10014339925