Showing 81 - 90 of 220
Persistent link: https://www.econbiz.de/10005204016
This paper develops new methods for determining the cointegration rank in a nonstationary fractionally integrated system, extending univariate optimal methods for testing the degree of integration. We propose a simple Wald test based on the singular value decompositionof the unrestricted...
Persistent link: https://www.econbiz.de/10005209958
This paper proposes bootstrap assisted specification tests for the autoregressive fractionally integrated moving average model based on the Bartlett <italic>T</italic>-process with estimated parameters whose limiting distribution under the null depends on the estimated model and the estimation method employed....
Persistent link: https://www.econbiz.de/10009293154
This paper develops new test methods for m-dependent data. Our approach is based on sample splitting by regular sampling of the original data at lower frequencies, so that standard techniques for testing independence can be used for each individual subsample. We then propose several alternative...
Persistent link: https://www.econbiz.de/10010617152
The forward discount puzzle refers to the robust empirical finding that foreign excess returns are predictable. We investigate if expectations errors are the main cause of this predictability using the serial dependence pattern of excess returns implied by economic models as identification...
Persistent link: https://www.econbiz.de/10009353622
This paper investigates, both in finite samples and asymptotically, statistical inference on predictive regressions where time series are generated by present value models of asset prices. We show that regression-based tests, including robust tests such as robust conditional test and Q-test, are...
Persistent link: https://www.econbiz.de/10009353623
Persistent link: https://www.econbiz.de/10009358113
This paper shows that the estimates in the spot return regression in the foreign exchange markets may not convey valid information if exchange rates are generated from the present value model with the near unit discount factor and unit root fundamentals. The main reason is that the present value...
Persistent link: https://www.econbiz.de/10009364402
This paper develops new inference methods for m-dependent data. Our approach is based on sample splitting by regular sampling of original data at lower frequencies, so that standard techniques can be used for independent data in individual subsamples. We then explore several alternatives of...
Persistent link: https://www.econbiz.de/10009364409
Persistent link: https://www.econbiz.de/10009400179