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Simple (but effective) tests of long memory versus structural breaks

Shimotsu, Katsumi (contributor) - 2006

Persistent link: https://www.econbiz.de/10003394953

Long memory regressors and predictive testing : a two-stage rebalancing approach

Maynard, Alex; Smallwood, Aaron D.; Wohar, Mark E. - In: Econometric reviews 32 (2013) 1/4, pp. 318-360

Persistent link: https://www.econbiz.de/10009717790

The finite sample power of long-horizon predictive tests in models with financial bubbles

Maynard, Alex; Ren, Dongmeng - In: International review of financial analysis 63 (2019), pp. 418-430

Persistent link: https://www.econbiz.de/10012208194

Decline in the persistence of real exchange rates : but not sufficient for purchasing power parity

Okimoto, Tatsuyoshi; Shimotsu, Katsumi - 2010

The paper investigates the possibility of decline in the persistence of real exchange rates, or deviations from PPP. To this end, we test the null hypothesis of no decline in the PPP deviation persistence between two subsamples using a fractional integration framework. In addition, our...

Persistent link: https://www.econbiz.de/10008702781

Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity

Okimoto, Tatsuyoshi; Shimotsu, Katsumi - In: Journal of the Japanese and international economies : … 24 (2010) 3, pp. 395-411

Persistent link: https://www.econbiz.de/10009247722

Testing the number of components in finite mixture models

Kasahara, Hiroyuki; Shimotsu, Katsumi - 2012

Persistent link: https://www.econbiz.de/10010202346

Modified quasi-likelihood ratio test for regime switching

Kasahara, Hiroyuki; Okimoto, Tatsuyoshi; Shimotsu, Katsumi - In: The Japanese economic review : the journal of the … 65 (2014) 1, pp. 25-41

Persistent link: https://www.econbiz.de/10010425091