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A nonparametric test for seasonal unit roots
Kunst, Robert M. - 2009
We consider a nonparametric test for the null of seasonal unit roots in quarterly time series that builds on the RUR (records unit root) test by Aparicio, Escribano, and Sipols. We find that the test concept is more promising than a formalization of visual aids such as plots by quarter. In order...
Persistent link: https://www.econbiz.de/10010294023
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A new approach to bootstrap inference in functional coefficient models
Herwartz, Helmut; Xu, Fang - 2007
We introduce a new, factor based bootstrap approach which is robust under heteroskedastic error terms for inference in functional coefficient models. Modeling the functional coefficient parametrically, the bootstrap approximation of an F statistic is shown to hold asymptotically. In simulation...
Persistent link: https://www.econbiz.de/10010296279
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Neoclassical convergence versus technological catch-up: A contribution for reaching a consensus
Desdoigts, Alain - 2002
world income distribution dynamics over a benchmark period 1960-1985. Results are then extended through 1995. Formal … technological catch-up phenomenon allows us to better capture and locally fit the pattern of income distribution dynamics that took …
Persistent link: https://www.econbiz.de/10011335676
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Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models
Conrad, Christian; Mammen, Enno - 2008
We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...
Persistent link: https://www.econbiz.de/10011422182
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Diagnostic Tools for Nonlinearity in Spatial Models
de Graaff, Thomas; Florax, Raymond J.G.M.; Nijkamp, Peter; … - 1998
There is an increasing awareness of the potential of nonlinear modeling in regional science, which can partly be explained by the recognition of the limitations of conventional equilibrium models in complex situationsand partly by the easy availability and accessibility of sophisticated...
Persistent link: https://www.econbiz.de/10010324411
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A K-sample Homogeneity Test based on the Quantification of the p-p Plot
Hinloopen, Jeroen; Wagenvoort, Rien; van Marrewijk, Charles - 2008
two balanced samples absent ties the finite sample distribution of the HWM index is derived. Simulations show that in most … cases unbalanced samples and ties have little effect on this distribution. The d-d plot allows for a straightforward … extension to the K-sample HWM index. As we have not been able to derive the distribution of the index for K>2, we simulate …
Persistent link: https://www.econbiz.de/10010325767
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On the Exact Finite Sample Distribution of the L1 -FCvM Test Statistic
Hinloopen, Jeroen - 2011
We derive the exact finite sample distribution of the L1-version ofthe Fisz-Cramér-von Mises test statistic (L1-FCvM … underlying p-p plots emerge. Comparing the finitesample distribution with the (known) limiting distribution showsthat the latter … distribution differfrom the exact values, this will not lead to differences in the rejectionof the underlying hypothesis. …
Persistent link: https://www.econbiz.de/10010325887
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Identifying All Distinct Sample P-P Plots, with an Application to the Exact Finite Sample Distribution of the L1-FCvM Test Statistic
Hinloopen, Jeroen; Wagenvoort, Rien - 2010
P-p plots contain all the information that is needed for scale-invariant comparisons. Indeed, Empirical Distribution … thus used to derive the exact finite sample distribution of the L1-version of the Fisz-Cramér-von Mises test. Comparing … this distribution with the (known) limiting distribution shows that the latter can always be used for hypothesis testing …
Persistent link: https://www.econbiz.de/10010325915
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Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees; Panchenko, Valentyn; van Dijk, Dick - 2008
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...
Persistent link: https://www.econbiz.de/10010325942
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Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
Diks, Cees; Panchenko, Valentyn; Sokolinskiy, Oleg; van … - 2013
forecasts, focusing on a specific part of the joint distribution. The test is framed in the context of the Kullback …
Persistent link: https://www.econbiz.de/10010326216