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Omitted variable tests and dynamic specification : an application to demand homogeneity
Schmolck, Björn - 1999
Persistent link: https://www.econbiz.de/10001417974
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Omitted Variable Tests and Dynamic Specification : An Application to Demand Homogeneity
Schmolck, Björn - 2000
This book deals with the omitted variable test for a multivariate time-series regression model. The empirical motivation is the homogeneity test for a consumer demand system. The consequences of using a dynamically misspecified omitted variable test are shown in detail. The analysis starts with...
Persistent link: https://www.econbiz.de/10013519732
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Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer; Phillips, Peter C. B. - 2018
. Limit theory for the sample kurtosis reveals that STUR specifications provide two sources of excess kurtosis, both of which …
Persistent link: https://www.econbiz.de/10011948760
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Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 227 (2022) 1, pp. 25-46
Persistent link: https://www.econbiz.de/10013441621
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A consistent test for the null of stationarity against the alternative of a unit root
Kahn, James A.; Ōgaki, Masao - 1991
Persistent link: https://www.econbiz.de/10000826504
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Euro-zone inflation rates : stationary or regime-wise stationary processes
Lopez, Claude (contributor) - 2008
Persistent link: https://www.econbiz.de/10003732591
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Regression-based tests for a change in persistence
Leybourne, Stephen James; Kim, Tae-hwan; Taylor, Robert - 2004
Persistent link: https://www.econbiz.de/10002117501
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Bootstrapping I(1) data
Phillips, Peter C. B. - 2009
Persistent link: https://www.econbiz.de/10003795696
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Is integration I(d) applicable to observed economics and finance time series?
McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu H. - In: International review of financial analysis 18 (2009) 3, pp. 101-108
Persistent link: https://www.econbiz.de/10003880011
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A re-examination of the stationarity of inflation
Cook, Steven - In: Journal of applied econometrics 24 (2009) 6, pp. 1047-1053
Persistent link: https://www.econbiz.de/10003886958