Narrow search
Showing 1 - 10 of 1,437
Cover Image
A Gaussian Test for Cointegration
Abeysinghe, Tilak; Rajaguru, Gulasekaran - East Asian Bureau of Economic Research (EABER) - 2009
way to increase power without having to increase the sample size substantially. Monte Carlo simulations show minimal size … distortions even when the AR root is close to unity and that the test offers substantial gains in power against near …
Persistent link: https://www.econbiz.de/10009365337
Cover Image
A Gaussian Test for Cointegration
Rajaguru, Gulasekaran; Abeysinghe, Tilak - Department of Economics, National University of Singapore - 2009
way to increase power without having to increase the sample size substantially. Monte Carlo simulations show minimal size … distortions even when the AR root is close to unity and that the test offers substantial gains in power against near …
Persistent link: https://www.econbiz.de/10008493490
Cover Image
Goodness-of-fit test for specification of semiparametric copula dependence models
Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - 2013
statistics, so that the resulting test will make a desirable test power among the involved tests. This hybrid method is …
Persistent link: https://www.econbiz.de/10009789426
Cover Image
Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data
Kurozumi, Eiji; Yamazaki, Daisuke; Hadri, Kaddour - Institute of Economic Research, Hitotsubashi University - 2012
power function of the covariate test with those of panel unit root tests and show that the covariate unit root test can be …
Persistent link: https://www.econbiz.de/10010614078
Cover Image
A simple modification of the Busetti-Harvey stationarity tests with structural breaks at unknown time
Skrobotov, Anton - Gaidar Institute for Economic Policy - 2014
In this paper a modification of the Busetti and Harvey (2001) test with structural break at unknown time is proposed. As the stationarity test with a super-consistent break date estimator is effective under large breaks and the infimum-test is effective under small breaks, although it has...
Persistent link: https://www.econbiz.de/10010812375
Cover Image
Goodness-of-fit Test for Specification of Semiparametric Copula Dependence Models
Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
statistics, so that the resulting test will make a desirable test power among the involved tests. This hybrid method is …
Persistent link: https://www.econbiz.de/10010691293
Cover Image
Goodness-of-fit test for specification of semiparametric copula dependence models
Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - 2013
statistics, so that the resulting test will make a desirable test power among the involved tests. This hybrid method is …
Persistent link: https://www.econbiz.de/10010331132
Cover Image
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated
Sibbertsen, Philipp; Krämer, Walter - 2004
We show that the power of the KPSS-test against integration, as measured by divergence rates of the test statistic … is in stark contrast to residual based tests of the null of integration in a cointegration setting, where power is …
Persistent link: https://www.econbiz.de/10010296614
Cover Image
A K-sample Homogeneity Test based on the Quantification of the p-p Plot
Hinloopen, Jeroen; Wagenvoort, Rien; van Marrewijk, Charles - 2008
can have better power than alternative Empirical Distribution Function tests. …
Persistent link: https://www.econbiz.de/10010325767
Cover Image
Inference with Difference-in-Differences Revisited
Brewer, Mike; Crossley, Thomas F.; Joyce, Robert - 2013
straightforward methods will achieve this; (ii) the main problem in DiD designs with grouped errors is instead low power to detect … real effects; and (iii) feasible GLS estimation combined with robust inference can increase power considerably whilst …
Persistent link: https://www.econbiz.de/10010328984