Showing 1 - 10 of 13
The method of simulated scores (MSS) is presented for estimating LDV models with flexible correlation structure in the unobservables. We propose simulators that are continuous in the unknown parameter vectors, and hence standard optimization methods can be used to compute the MSS estimators that...
Persistent link: https://www.econbiz.de/10005087402
This paper considers tests of nonlinear parametric restrictions in semiparametric econometric models. To date, only Wald tests of such restrictions have been considered in the literature. Here, Wald, Lagrange multiplier, and likelihood ratio-like test statistics are considered and are shown to...
Persistent link: https://www.econbiz.de/10005761441
This paper studies a class of models where full identification is not necessarily assumed. We term such models partially identified. It is argued that partially identified systems are of practical importance since empirical investigators frequently proceed under conditions that are best...
Persistent link: https://www.econbiz.de/10004990834
Our subject is econometric estimation and inference concerning long-run economic equilibria in models with stochastic trends. Our interest is focused on single equation specifications such as those employed in the Error Correction Model (ECM) methodology of David Hendry (1987, 1989 inter alia)...
Persistent link: https://www.econbiz.de/10005762457
This paper develops an asymptotic theory for residual based tests for cointegration. These tests involve procedures that are designed to detect the presence of a unit root in the residuals of (cointegrating) regressions among the levels of economic time series. Attention is given to the...
Persistent link: https://www.econbiz.de/10005464065
A method of deriving asymptotics for linear processes is introduced which uses an explicit algebraic decomposition of the linear filter. The method leads to substantial simplifications in the asymptotics and offers a unified approach to strong laws and central limit theory for linear processes....
Persistent link: https://www.econbiz.de/10005593179
This paper studies the finite sample distributions of estimators of the cointegrating vector of linear regression models with I(1) variables. Attention is concentrated on the least squares (OLS) and instrumental variables (IV) methods analyzed in other recent work (Phillips and Hansen (1988))....
Persistent link: https://www.econbiz.de/10005593187
This paper presents several generic uniform convergence results that include generic uniform laws of large numbers. These results provide conditions under which pointwise convergence almost surely or in probability can be strengthened to uniform convergence. The results are useful for...
Persistent link: https://www.econbiz.de/10005593266
This paper provides an analytical study of spurious regressions involving the levels of economic time series. As asymptotic theory is developed for regressions that relate independent random walks. It is shown that the usual t ratio significance tests do not possess limiting distributions but...
Persistent link: https://www.econbiz.de/10005593555
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