Showing 191 - 200 of 276
We consider the problem of constructing confidence sets for the date of a single break in a linear time series regression. We establish analytically and by small sample simulation that he currently standard method in econometrics to construct such intervals has a coverage rate far below nominal...
Persistent link: https://www.econbiz.de/10010536477
We derive the family of tests for a unit root with maximal power against a point alternative when an arbitrary number of stationary covariates are modeled with the potentially integrated series. We show that very large power gains are available when such covariates available. We then derive...
Persistent link: https://www.econbiz.de/10010536479
We derive the family of tests for a unit root with maximal power against a point alternative when an arbitrary number of stationary covariates are modeled with the potentially integrated series. We show that very large power gains are available when such covariates are available. We then derive...
Persistent link: https://www.econbiz.de/10010536482
The paper analyzes the impact of the initial observation on the problem of testing for unit roots. To this end, we derive a family of optimal tests that maximize a weighted average power criterion with respect to the initial observation. We then investigate the relationship of this optimal...
Persistent link: https://www.econbiz.de/10010536494
Existing results on the properties and performance of forecast combinations have been derived in the context of mean squared error loss. Under this loss function empirical studies have generally found that estimates of optimal forecast combination weights lead to higher losses than...
Persistent link: https://www.econbiz.de/10010536497
Theory often specifies a particular cointegrating vector amongst integrated variables and it is often required that one test for a unit root in the known cointegrating vector. It is common to simply employ a univariate test for a unit root, but this does not take into account all available...
Persistent link: https://www.econbiz.de/10010536509
Many predictors employed in forecasting macroeconomic and finance variables display a great deal of persistence. Tests for determining the usefulness of these predictors are typically oversized, overstating their importance. Similarly, hypothesis tests on cointegrating vectors will typically be...
Persistent link: https://www.econbiz.de/10009249367
This paper considers nonstandard hypothesis testing problems that involve a nuisance parameter. We establish an upper bound on the weighted average power of all valid tests, and develop a numerical algorithm that determines a feasible test with power close to the bound. The approach is...
Persistent link: https://www.econbiz.de/10011235036
This paper examines the efficiency of the forward yen/dollar market using micro survey data. Conventional tests of unbiasedness do not correspond directly to the zero-profit condition. Instead, we use the survey data to calculate potential profits of individual forecasters based on a natural...
Persistent link: https://www.econbiz.de/10010843066
In situations where a sequence of forecasts is observed, a common strategy is to examine "rationality" conditional on a given loss function. We examine this from a different perspective—supposing that we have a family of loss functions indexed by unknown shape parameters, then given the...
Persistent link: https://www.econbiz.de/10010638106