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Some Bootstrap Tests for Non-linearity and Long Memory in Financial Time Series

Wolff, Rodney C; Barnett, Adrian G - Econometric Society - 2004

Understanding and forecasting financial time series depend crucially on identifying any non-linearity which may be … present. Recent developments in tests for non-linearity very commonly display low power, most likely because of over …-smoothing and discarding pertinent information. In this presentation, we present some bootstrap tests for non-linearity in a time …

Persistent link: https://www.econbiz.de/10005702559

Efficient Estimation of Cointegrating Relationships Among Higher Order and Fractionally Integrated Processes.

Dolado, J.J.; Marmol, F. - 1996

In this paper we address the issue of the efficient estimation of the cointegrating vector in linear regression models with variables that follow general (higher order and fractionally) integrated processes.

Persistent link: https://www.econbiz.de/10005618385

A General Framework for Testing the Granger Noncausality Hypothesis.

Peguin-Feissolle, A.; Terasvirta, T. - Groupement de Recherche en Économie Quantitative … - 1999

In this paper, new noncausality tests built on a general nonlinear framework are proposed and their performance studied by a Monte Carlo experiment and a variety of nonlinear artificial series. Two of these test are based on a Taylor expansion of the nonlinear model around a given point in a...

Persistent link: https://www.econbiz.de/10005669417

Properties of the ADF Unit Root Test for Models with Trends and Cycles.

Barthelemy, F.; Lubrano, M. - Groupement de Recherche en Économie Quantitative … - 1996

A unit root test is usually carried out by using the regression test introduced by Dickey and Fuller (1979). Under the null hypothesis the series should be a random walk. But a non-stationary series can usually be decomposed into a random walk and a stationary component. This is what is done in...

Persistent link: https://www.econbiz.de/10005669448

Unit root tests : the role of the univariate models implied by multivariate time series

Cappuccio, Nunzio; Lubian, Diego - In: Econometrics : open access journal 4 (2016) 2, pp. 1-11

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series. In this note, we point out that this procedure may imply large size distortion of the unit root tests if the DGP is a VAR. It is well-known that univariate models implied by a...

Persistent link: https://www.econbiz.de/10011505987

Information theoretic optimality of observation driven time series models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014

justification for the class of generalized autoregressive score models, which covers the GARCH model as a special case. Our main …

Persistent link: https://www.econbiz.de/10010340740

Neglected serial correlation tests in UCARIMA models

Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 121-178

We derive computationally simple and intuitive score tests of neglected serial correlation in unobserved component univariate models using frequency domain techniques. In some common situations in which the alternative model information matrix is singular under the null, we derive one-sided...

Persistent link: https://www.econbiz.de/10011458802

Fixed and long time span jump tests : new Monte Carlo and empirical evidence

Cheng, Mingmian; Swanson, Norman R. - In: Econometrics : open access journal 7 (2019) 1/13, pp. 1-32

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the magnitude of the jump intensity parameter in the data...

Persistent link: https://www.econbiz.de/10012025640

Change-in-mean tests in long-memory time series : a review of recent developments

Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - 2017

It is well known that standard tests for a mean shift are invalid in long-range dependent time series. Therefore, several long memory robust extensions of standard testing principles for a change-in-mean have been proposed in the literature. These can be divided into two groups: those that...

Persistent link: https://www.econbiz.de/10011667075

Distinguishing between long-range dependence and deterministic trends

Sibbertsen, Philipp; Venetis, Ioannis - 2003

We provide a method for distinguishing long-range dependence from deterministic trends such as structural breaks. The method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered counterpart. The difference of these estimators...

Persistent link: https://www.econbiz.de/10010509839