Showing 1 - 10 of 16,172
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
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
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
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
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
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
tests have very respectable power in comparison to the optimal tests for Markov-switching parameters of Carrasco …
Persistent link: https://www.econbiz.de/10012966691
Persistent link: https://www.econbiz.de/10013260167
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
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