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Asymptotic Inference about Predictive Accuracy Using High Frequency Data
Li, Jia - 2013
volatility, correlation, beta, quadratic variation, jump variation, and other functionals of an underlying continuous … application to correlation forecasting is presented …
Persistent link: https://www.econbiz.de/10013079416
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Testing for Parameter Instability in Competing Modeling Frameworks
Calvori, Francesco - 2014
We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...
Persistent link: https://www.econbiz.de/10013060732
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Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
Hong, Yongmiao - 2011
adaptive analytic tools, wavelets are useful for capturing serial correlation where the spectrum has peaks or kinks, as can … cycles, and other kinds of periodicity. This paper proposes a new class of wavelet-based tests for serial correlation of … correlation of unknown form. We propose and justify a data-driven finest scale, in an automatic manner, converges to zero under …
Persistent link: https://www.econbiz.de/10013127204
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Canonical correlation statistics for testing the cointegration rank in a reversed order
Breitung, Jörg - 1998
In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r … to construct a confidence set for the cointegration rank. As the latter test, our tests are based on the eigenvalues of a … CCA between differences and lagged levels of a time series vector. The resulting test statistics can easily be adjusted …
Persistent link: https://www.econbiz.de/10009578561
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Testing for granger (non-) causality in a time varying coefficient VAR model
Christopulos, Dēmētrēs K. (contributor);  … - 2008
In this paper we propose Granger (non-)causality tests based on a VAR model allowing for time-varying coefficients. The functional form of the time-varying coefficients is a Logistic Smooth Transition Autoregressive (LSTAR) model using time as the transition variable. The model allows for...
Persistent link: https://www.econbiz.de/10003644229
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An equality test across nonparametric regressions
Lavergne, Pascal - 1998 - Rev.
A procedure for testing equality across nonparametric regressions is proposed. The procedure allows for any dimension of the explanatory variables and for any number of subsamples. We consider the case of random explanatory variables and allow the designs of the regressors and the number of...
Persistent link: https://www.econbiz.de/10009578576
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Nonparametric significance testing
Lavergne, Pascal; Vuong, Quang H. - 1998 - Rev.
A procedure for testing the signicance of a subset of explanatory variables in a nonparametric regression is proposed. Our test statistic uses the kernel method. Under the null hypothesis of no effect of the variables under test, we show that our test statistic has a nhp2/2 standard normal...
Persistent link: https://www.econbiz.de/10009578578
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Statistical inference in micro simulation models : incorporating external information
Klevmarken, Anders - 1998
In practical applications of micro simulation models very little is usually known about the properties of the simulated values. This paper argues that we need to apply the same rigorous standards for inference in micro simulation work as in scientific work generally. If not, then micro...
Persistent link: https://www.econbiz.de/10011586076
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Order invariant tests for proper calibration of multivariate density forecasts
Dovern, Jonas; Manner, Hans - 2018
Established tests for proper calibration of multivariate density forecasts based on Rosenblatt probability integral transforms can be manipulated by changing the order of variables in the forecasting model. We derive order invariant tests. The new tests are applicable to densities of arbitrary...
Persistent link: https://www.econbiz.de/10011845266
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Theory and practice of testing for a single structural break in Stata
Majune, Socrates Kraido - 2018
The major objective of this paper is to demonstrate, theoretically and empirically, the test of a single structural break/change. Failure to address a structural break can lead to forecasting errors and the general unreliability of a model. Three approaches of testing for structural change are...
Persistent link: https://www.econbiz.de/10011774223