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Finite sample of the Durbin-Watson test against fractionally integrated disturbances

Kleiber, Christian; Krämer, Walter - 2004

We consider the finite sample power of various tests against serial correlation in the disturbances of a linear … regression when these disturbances follow a stationary long memory process. It emerges that the power depends on the form of the … the disturbances, the power can drop to zero for certain regressors. We also provide a means to detect this zero-power …

Persistent link: https://www.econbiz.de/10010516924

On fractionally integrated logistic smooth transitions in time series

Shittu, Olanrewaju I.; Yaya, OlaOlua S. - In: CBN journal of applied statistics 2 (2011) 1, pp. 1-13

Long memory and nonlinearity are two key features of some macroeconomic time series which are characterized by persistent shocks that seem to rise faster during recession than it falls during expansion. A variant of nonlinear time series model together with long memory are used to examine these...

Persistent link: https://www.econbiz.de/10011477601

Testing for long memory against ESTAR nonlinearities

Kuswanto, Heri; Sibbertsen, Philipp - 2009

good size and power properties to distinguish between stationary long memory and ESTAR. Moreover, the second approach is … shown to have more power. …

Persistent link: https://www.econbiz.de/10010270049

A Simple Test for Linearity Against Exponential Smooth Transition Models with Endogenous Variables

Massacci, Daniele - 2017

This paper proposes a test for linearity against exponential smooth transition models with endogenous right-hand-side variables: to the very best of our knowledge, this class of models is new to the literature. By Monte Carlo analysis the test is shown to have good finite sample properties

Persistent link: https://www.econbiz.de/10014176554

Testing for long memory against ESTAR nonlinearities

Kuswanto, Heri; Sibbertsen, Philipp - 2009

good size and power properties to distinguish between stationary long memory and ESTAR. Moreover, the second approach is … shown to have more power. -- directed-Wald test ; ESTAR ; long memory …

Persistent link: https://www.econbiz.de/10003877585

Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models

Dufour, Jean-Marie - 2018

tests have very respectable power in comparison to the optimal tests for Markov-switching parameters of Carrasco et al …

Persistent link: https://www.econbiz.de/10012923738

Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models

Dufour, Jean-Marie - 2017

tests have very respectable power in comparison to the optimal tests for Markov-switching parameters of Carrasco …

Persistent link: https://www.econbiz.de/10012966691

Goodness-of-fit tests for SPARMA models with dependent error terms

Maïnassara, Yacouba Boubacar; Amir, Abdoulkarim Ilmi - In: Journal of time series econometrics 14 (2022) 2, pp. 107-140

Persistent link: https://www.econbiz.de/10013260167

Testing for Autocorrelation and Unit Roots in the Presence of Conditional Heteroskedasticity of Unknown Form

Guo, Binbin; Phillips, Peter C. B. - 2003

The presence of conditional heteroskedasticity invalidates standard autocorrelation tests such as the Durbin …-Watson statistic and its many variants, and reduces the power of standard unit root tests like the Dickey-Fuller test. This paper … new autocorrelation tests (called g- and gl- tests), and derives an asymptotic theory for the new statistics. The g test …

Persistent link: https://www.econbiz.de/10014087060

A time series model for an exchange rate in a target zone with applications

Lundbergh, Stefan (contributor); … - 2003 - [Elektronische Ressource]

In this paper we introduce a flexible target zone model that is capable of characterizing the dynamic behaviour of an exchange rate implied by the original target zone model of Krugman (1991) and its modifications. Our framework also enables the modeller to estimate an implicit target zone if it...

Persistent link: https://www.econbiz.de/10001786381