Similar Search Results

On fractionally integrated logistic smooth transitions in time series

Shittu, Olanrewaju I.; Yaya, OlaOlua S. - In: CBN journal of applied statistics 2 (2011) 1, pp. 1-13

Long memory and nonlinearity are two key features of some macroeconomic time series which are characterized by persistent shocks that seem to rise faster during recession than it falls during expansion. A variant of nonlinear time series model together with long memory are used to examine these...

Persistent link: https://www.econbiz.de/10011477601

Testing for long memory against ESTAR nonlinearities

Kuswanto, Heri; Sibbertsen, Philipp - 2009

good size and power properties to distinguish between stationary long memory and ESTAR. Moreover, the second approach is … shown to have more power. …

Persistent link: https://www.econbiz.de/10010270049

Testing for long memory against ESTAR nonlinearities

Kuswanto, Heri; Sibbertsen, Philipp - 2009

good size and power properties to distinguish between stationary long memory and ESTAR. Moreover, the second approach is … shown to have more power. -- directed-Wald test ; ESTAR ; long memory …

Persistent link: https://www.econbiz.de/10003877585

Autoregressive Conditional Duration (Acd) Models in Finance : A Survey of the Theoretical and Empirical Literature

Pacurar, Maria - 2006

This paper provides an up-to-date survey of the main theoretical developments in ACD modeling and empirical studies using financial data. First, we discuss the properties of the standard ACD specification and its extensions, existing diagnostic tests, and joint models for the arrival times of...

Persistent link: https://www.econbiz.de/10012732848

Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models

Dufour, Jean-Marie - 2018

tests have very respectable power in comparison to the optimal tests for Markov-switching parameters of Carrasco et al …

Persistent link: https://www.econbiz.de/10012923738

Portmanteau Autocorrelation Tests under q-Dependence and Heteroskedasticity

Harris, David - 2013

We propose extensions of the Box-Pierce (1970) portmanteau autocorrelation test to allow for two generalisations: (i …) time series that exhibit unconditional heteroskedasticity and (ii) to test for the presence of autocorrelation only after a … autocorrelation consistent (HAC)-type estimator. While we show this modified test is robust to unconditional heteroskedasticity, the …

Persistent link: https://www.econbiz.de/10013079429

Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models

Dufour, Jean-Marie - 2017

tests have very respectable power in comparison to the optimal tests for Markov-switching parameters of Carrasco …

Persistent link: https://www.econbiz.de/10012966691

A Simple Test for Linearity Against Exponential Smooth Transition Models with Endogenous Variables

Massacci, Daniele - 2017

This paper proposes a test for linearity against exponential smooth transition models with endogenous right-hand-side variables: to the very best of our knowledge, this class of models is new to the literature. By Monte Carlo analysis the test is shown to have good finite sample properties

Persistent link: https://www.econbiz.de/10014176554

Testing for Nonstationary Long Memory Against Nonlinear Ergodic Models

Kapetanios, George; Shin, Yongcheol - 2005

Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. This paper provides a formal method of testing for nonstationary long memory against the alternative of particular forms of nonlinerarity. The nonlinear models we consider are ESTAR...

Persistent link: https://www.econbiz.de/10014076075

Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series

Müller, Ulrich K. - 2003

(potentially) stationary series. This paper analytically investigates the size and power properties of such tests when the series …

Persistent link: https://www.econbiz.de/10014091328

1
2
3
4
5
6
7
8
9
10
Next
Last