Showing 1 - 10 of 11
Persistent link: https://www.econbiz.de/10011617129
A formal test on the Lyapunov exponent is developed to distinguish a random walk model from a chaotic system, which is based on the Nadaraya–Watson kernel estimator of the Lyapunov exponent. The asymptotic null distribution of our test statistic is free of nuisance parameter, and simply given...
Persistent link: https://www.econbiz.de/10010577524
It is shown that the KPSS test for stationarity may be applied without change to regressions with seasonal dummies. In particular, the limit distribution of the KPSS statistic is the same under both the null and alternative hypotheses whether or not seasonal dummies are used.
Persistent link: https://www.econbiz.de/10005196049
Some limit properties for information based model selection criteria are given in the context of unit root evaluation and various assumptions about initial conditions. Allowing for a nonparametric short memory component, standard information criteria are shown to be weakly consistent for a unit...
Persistent link: https://www.econbiz.de/10005463847
We provide a new asymptotic theory for local time density estimation for a general class of functionals of integrated time series. This result provides a convenient basis for developing an asymptotic theory for nonparametric cointegrating regression and autoregression. Our treatment directly...
Persistent link: https://www.econbiz.de/10005464027
The bootstrap is shown to be inconsistent in spurious regression. The failure of the bootstrap is spectacular in that the bootstrap effectively turns a spurious regression into a cointegrating regression. In particular, the serial correlation coefficient of the residuals in the bootstrap...
Persistent link: https://www.econbiz.de/10005593430
This paper provides a new unit root test based on an alternative parameterization which has previously been considered by Bhargava (1986). This parameterization allows for trend under both the null and the alternative, without introducing any parameters that are irrelevant under either. This is...
Persistent link: https://www.econbiz.de/10005593450
The standard conclusion that is drawn from this empirical evidence is that many or most aggregate economic time series contain a unit root. However, it is important to note that in this empirical work the unit root is set up as the null hypothesis testing is carried out ensures that the null...
Persistent link: https://www.econbiz.de/10005593506
Nonparametric estimation of a structural cointegrating regression model is studied. As in the standard linear cointegrating regression model, the regressor and the dependent variable are jointly dependent and contemporaneously correlated. In nonparametric estimation problems, joint dependence is...
Persistent link: https://www.econbiz.de/10005593511
New time and frequency domain tests for the presence of a unit root are developed. The tests are based on generalized least squares (GLS) methods in both the time and the frequency domains. For the time domain tests, moving average processes are assumed for the error terms on the autoregression....
Persistent link: https://www.econbiz.de/10005634700