Similar Search Results

Local Power Functions of Tests for Double Unit Roots

Haldrup, Niels; Lildholdt, Peter M. - 2000

The purpose of this paper is to characterize three commonly used double unit root tests in terms of their asymptotic local power. To this end, we study a class of nearly doubly integrated processes which in the limit will behave as a weighted integral of a double indexed Ornstein-Uhlenbeck...

Persistent link: https://www.econbiz.de/10014150564

Unit Root Testing Via the Continuous-Path Block Bootstrap

Paparoditis, Efstathios; Politis, Dimitris N. - 2001

A new resampling procedure, the continuous-path block bootstrap, is proposed in the context of testing for integrated … (unit root) time series. The continuous-path block bootstrap (CBB) is a nonparametric procedure that successfully generates … many unit root test statistics. Large sample theory for the new bootstrap methodology is developed and the asymptotic …

Persistent link: https://www.econbiz.de/10014133085

Testing for Non-Nested Conditional Moment Restrictions Via Conditional Empirical Likelihood

Otsu, Taisuke; Whang, Yoon-Jae - 2005

We propose non-nested tests for competing conditional moment restriction models using a method of empirical likelihood. Our tests are based on the method of conditional empirical likelihood developed by Kitamura, Tripathi and Ahn (2004) and Zhang and Gijbels (2003). By using the conditional...

Persistent link: https://www.econbiz.de/10014062341

A Quantilogram Approach to Evaluating Directional Predictability

Linton, Oliver B.; Whang, Yoon-Jae - 2004

In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a given time series has no directional predictability. The test is based on the correlogram of quantile hits. We provide the distribution theory needed to conduct inference,...

Persistent link: https://www.econbiz.de/10014073928

Permutation-based tests for discontinuities in event studies

Bugni, Federico A.; Li, Jia; Li, Qiyuan - In: Quantitative economics : QE ; journal of the … 14 (2023) 1, pp. 37-70

We propose using a permutation test to detect discontinuities in an underlying economic model at a known cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time‐series data. The test statistic measures the distance between the...

Persistent link: https://www.econbiz.de/10014306351

An Improved Nonparametric Unit-Root Test

Gao, Jiti; King, Maxwell - 2012

This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined

Persistent link: https://www.econbiz.de/10014166350

Realized Volatility When Sampling Times are Possibly Endogenous

Li, Yingying - 2013

When estimating integrated volatilities based on high-frequency data, simplifying assumptions are usually imposed on the relationship between the observation times and the price process. In this paper, we establish a central limit theorem for the Realized Volatility in a general endogenous time...

Persistent link: https://www.econbiz.de/10013095254

A Robust Version of the KPSS Test Based on Ranks

Pelagatti, Matteo M. - 2013

This paper proposes a test of the null hypothesis of stationarity that is robust to the presence of fat-tailed errors. The test statistic is a modified version of the KPSS statistic, in which ranks substitute the original observations. The rank KPSS statistic has the same limiting distribution...

Persistent link: https://www.econbiz.de/10013095324

Non-standard errors

Menkveld, Albert J.; Dreber, Anna; Holzmeister, Felix; … - 2021

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation...

Persistent link: https://www.econbiz.de/10012800991

Non-standard errors

Menkveld, Albert J. - 2021

Persistent link: https://www.econbiz.de/10012696895