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Structural Change Tests for Simulated Method of Moments.
Ghysels, E.; Guay, A. - 1998
Simulation-based estimation methods have become more wideky used in recent years. We propose a set of tests for structural Change in model estimates via Simulated Method of Moments (see Duffie and Singleton (1993)). These tests extend the recent work of Andrews (1993) and Sowell (1996a, b) which...
Persistent link: https://www.econbiz.de/10005780763
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Regression-Based Seasonal Unit Root Tests.
Smith, R.J.; Taylor, A.M.R. - Department of Economics, University of Birmingham - 1999
The contribution of this paper is three-fold. Firslty, a characterisation of the sub-hypotheses comprising the seasonal unit root hypothesis is presented which provides a precise formulation of the alternative hypotheses against which regression-based seasonal unit root tests test. Secondly, it...
Persistent link: https://www.econbiz.de/10005738177
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Conditional Heteroskedasticity Driven by Hidden Markov Chains.
Francq, C.; Roussignol, M.; Zakoian, J.-M. - 1998
In this paper, we consider a GARCH equation where the coefficients depend on the state of a non-observed Markov chain. First we establish necessary and sufficient conditions ensuring the existence of a stationary solution. Next, in the case of ARCH regimes, we show that the maximum likelihood...
Persistent link: https://www.econbiz.de/10005641039
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A fixed-b perspective on the Phillips-Perron unit root tests
Vogelsang, Timothy J.; Wagner, Martin - 2011
We extend fixed-b asymptotic theory to the nonparametric Phillips-Perron (PP) unit root tests. We show that the fixed-b limits depend on nuisance parameters in a complicated way. These non-pivotal limits provide an alternative theoretical explanation for the well known finite sample problems of...
Persistent link: https://www.econbiz.de/10009686209
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An Introduction to Bootstrap Theory in Time Series Econometrics
Cavaliere, Giuseppe - 2020
is discussed in terms of the leading example of bootstrap-based hypothesis testing in the well-known first order auto … conditions and their implications for possible improvements in terms of (empirical) size and power for bootstrap-based testing …, when compared to asymptotic testing, are illustrated by simulations. Following this, an overview of selected recent …
Persistent link: https://www.econbiz.de/10012835479
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A fixed-b perspective on the Phillips-Perron unit root tests
Vogelsang, Timothy J.; Wagner, Martin - 2011
We extend fixed-b asymptotic theory to the nonparametric Phillips-Perron (PP) unit root tests. We show that the fixed-b limits depend on nuisance parameters in a complicated way. These non-pivotal limits provide an alternative theoretical explanation for the well known finite sample problems of...
Persistent link: https://www.econbiz.de/10009267787
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Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration.
Mackinnon, J.G.; Haug, A.A.; Michelis, L. - Groupement de Recherche en Économie Quantitative … - 1996
This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions of the tests for cointegration proposed by Johansen. The paper provides accurate tables of asymptotic critical values. A program which can be used to calculate both...
Persistent link: https://www.econbiz.de/10005779643
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On the inadmissibility of classical tests in unit-root-type situations
Ploberger, Werner - Econometric Society - 2004
In this paper it is shown that "classical" tests can become asymptotically inadmissible (i.e. we show that there exist uniformly better tests) if the information matrix becomes stochastic: A typical example is the augmented Dickey-Fuller test for unit roots (in case of no deterministic trend. We...
Persistent link: https://www.econbiz.de/10005328960
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Inference about predictive ability
McCracken, M.W.; West, K.D. - Wisconsin Madison - Social Systems - 2001
Persistent link: https://www.econbiz.de/10005136844
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Cointegrating Polynomial Regressions
Hong, Seung Hyun; Wagner, Martin - Department of Economics and Finance Research and … - 2011
This paper develops a fully modified OLS estimator for cointegrating polynomial regressions, i.e. for regressions including deterministic variables, integrated processes and powers of integrated processes as explanatory variables and stationary errors. The errors are allowed to be serially...
Persistent link: https://www.econbiz.de/10008869182