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Nonparametric Specification Testing in Nonlinear and Nonstationary Time Series Models : Theory and Practice

Chen, Jia - 2013

In this paper, we consider some specification testing problems in nonlinear time series models with nonstationarity. We propose using a nonparametric kernel test for specifying whether the regression function is of a known parametric nonlinear form. The power function of the proposed...

Persistent link: https://www.econbiz.de/10013084965

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

A new bootstrap test for the validity of a set of marginal models for multiple dependent time series : an application to risk analysis

Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart F. - 2014

A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where the dependence structure between the time series is taken "directly" from the observed data. The procedure is useful when one wants to summarize the test results for several time...

Persistent link: https://www.econbiz.de/10010250513

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

Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models

Kristensen, Dennis - 2009

A novel estimation method for two classes of semiparametric scalar diffusion models is proposed: In the first class …

Persistent link: https://www.econbiz.de/10013156186

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

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

Estimating and Testing for Multiple Distributional Structural Breaks via a Characteristic Function Approach

Fu, Zhonghao - 2020

We estimate and test for multiple structural breaks in distribution with unknown break dates via a characteristic function approach. By minimizing the sum of squared generalized residuals, we can consistently estimate the break fractions. We propose a sup-F type test for structural breaks in...

Persistent link: https://www.econbiz.de/10012838880

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

Inference after estimation of breaks

Andrews, Isaiah; Kitagawa, Toru; McCloskey, Adam - 2020

thresholds and structural break models with estimated breakdates. Estimation and inference procedures that ignore the randomness …

Persistent link: https://www.econbiz.de/10012241853