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Testing Serial Correlation in Semiparametric Time Series Model.

Li, D.; Stengos, T. - Department of Economics and Finance, College of … - 1999

In this paper we propose two test statistics for testing serial correlation in semiparametric time series model that could allow lagged dependent variables as explanatory variables .

Persistent link: https://www.econbiz.de/10005545299

A Note on Testing Overidentifying restrictions: The Anderson-Rubin Test Revisited

Dhrymes, P. - Department of Economics, School of Arts and Sciences - 1992

Persistent link: https://www.econbiz.de/10005549165

Testing Convergence in Economic Growth for OECD Countries.

Nahar, S.; Inder, B. - Department of Econometrics and Business Statistics, … - 1998

using standard unit root tests with Bernard and Durlauf's (1995) definition of convergence is inappropriate. …

Persistent link: https://www.econbiz.de/10005581162

What do Signicance Test Signify?

Mayer, T. - California Davis - Institute of Governmental Affairs - 1992

Persistent link: https://www.econbiz.de/10005609653

Long-Run PPP May Not Hold After All.

Engel, C. - Department of Economics, University of Washington - 1996

Recent tests using long data series find evidence in favor of long-run PPP (by rejecting either the null hypothesis of …

Persistent link: https://www.econbiz.de/10005618511

Geometric Versus Arithmetic Random Walk: The Case of Trended Variables.

Guerre, E.; Jouneau, F. - 1995

Persistent link: https://www.econbiz.de/10005641122

Simulation-Based Exact Tests in Jump-Diffusion Models in the Presence of Unidentified Nuisance Parameters: an Application to Commodity Spot Prices.

Khalaf, L.; Saphores, J.; Bilodeau, J.F. - Groupe de recherche en économie de l'énergie, de … - 2000

We use the Monte-Carlo (MC) test technique to find valid p-values when testing for discontinuities in jump-diffusion models. While the distribution of the LR statistic for this test is typically non-standard, we show that the MC p-value is finite sample exact if no other (identified) nuisance...

Persistent link: https://www.econbiz.de/10005641492

Residual-Based Bootstrap Tests for Normality in Autoregressions.

Kilian, L.; Demiroglu, U. - Michigan - Center for Research on Economic & Social Theory - 1997

prediction, tests for structural instability in autoregressions, and resampling techniques based on second-moment approximations. …

Persistent link: https://www.econbiz.de/10005646603

Nelson and Plosser Revisited: Evidence from Fractional Arima Models.

Gil-Alana, L. - Department of Economics, European University Institute - 1998

Fractionally integrated ARMA (ARFIMA) models are investigated in an Extended version of Nelson and Plosser's (1982) data set.

Persistent link: https://www.econbiz.de/10005697726

Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income.

Gil-Alana, L.; Robinson, P.M. - Department of Economics, European University Institute - 1998

-based tests proposed by Robinson (1994). These series were analysed from an autoregressive unit root viewpoint by Hylleberg, Engle …

Persistent link: https://www.econbiz.de/10005697754