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Testing for threshold effect in ARFIMA models : application to US unemployment rate data
Lahiani, Amine; Scaillet, Olivier - 2008
Macroeconomic time series often involve a threshold effect in their ARMA representation, and exhibit long memory features. In this paper we introduce a new class of threshold ARFIMA models to account for this. The threshold effect is introduced in the autoregressive and/or the fractional...
Persistent link: https://www.econbiz.de/10003966199
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Testing Multiple Forecasters
Feinberg, Yossi - 2007
We consider a cross-calibration test of predictions by multiple potential experts in a stochastic environment. This test checks whether each expert is calibrated conditional on the predictions made by other experts. We show that this test is good in the sense that a true expert - one informed of...
Persistent link: https://www.econbiz.de/10012730968
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Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
Mancini, Loriano - 2008
ensuring Fisher consistency in robust estimation. This strongly reduces the necessary computation time by avoiding the … simulation of multidimensional integrals, a task that has typically to be addressed in the robust estimation of nonlinear models …
Persistent link: https://www.econbiz.de/10012727977
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Testing for a Threshold in Models with Endogenous Regressors
Rothfelder, Mario - 2019
We propose two new parametric tests for an unknown threshold in models with endogenous regressors. They are both based on unconventional 2SLS estimators that use additional information about the linearity of the first stage. This information leads to more accurate residuals and therefore tests...
Persistent link: https://www.econbiz.de/10012860181
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Testing for a Threshold in Models with Endogenous Regressors
Rothfelder, Mario - 2016
Using 2SLS estimation, we propose two tests for a threshold in models with endogenous regressors: a sup LR test and a … sup Wald test. Here, the 2SLS estimation is not conventional because it uses additional information about the first … and Hansen (2004) which is based on conventional GMM estimation. We derive the asymptotic distributions of the two tests …
Persistent link: https://www.econbiz.de/10012985845
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Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models
Kristensen, Dennis - 2010
We propose novel misspecification tests of semiparametric and fully parametric univariate diffusion models based on the estimators developed in Kristensen (Journal of Econometrics, 2010). We first demonstrate that given a preliminary estimator of either the drift or the diffusion term in a...
Persistent link: https://www.econbiz.de/10013146791
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Backward CUSUM for testing and monitoring structural change
Otto, Sven; Breitung, Jörg - 2020
It is well known that the conventional CUSUM test suffers from low power and large detection delay. We therefore propose two alternative detector statistics. The backward CUSUM detector sequentially cumulates the recursive residuals in reverse chronological order, whereas the stacked backward...
Persistent link: https://www.econbiz.de/10012421897
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …
Persistent link: https://www.econbiz.de/10011379469
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Stock returns and risk : evidence from quantile
Chiang, Thomas C.; Li, Jiandong - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 20-58
This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...
Persistent link: https://www.econbiz.de/10011555867
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Spot Variance Path Estimation and Its Application to High Frequency Jump Testing
Bos, Charles S. - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …
Persistent link: https://www.econbiz.de/10013153285