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Nonparametric retrospection and monitoring of predictability of financial returns

Anatolyev, Stanislav - Center for Economic and Financial Research (CEFIR), New … - 2006

We develop and evaluate sequential testing tools for a class of nonparametric tests for predictability of financial … where a researcher conducts testing as new observations arrive. Throughout, we elaborate on both two-sided and one …-sided testing, focusing on linear monitoring boundaries that are continuations of horizontal lines corresponding to retrospective …

Persistent link: https://www.econbiz.de/10005086555

Adaptive Testing in ARCH Models

Linton, Oliver; Steigerwald, Douglas G. - Cowles Foundation for Research in Economics, Yale University - 1995

Existing specification tests for conditional heteroskedasticity are derived under the assumption that the density of the innovation, or standardized error, is Gaussian, despite the fact that many recent empirical studies provide evidence that this density is not Gaussian. We obtain specification...

Persistent link: https://www.econbiz.de/10005087404

Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results

Charemza W.W.; Lifshits, M.; Makarova, S. - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005706574

Homogenous vs. heterogenous transition functions in smooth transition regressions : a LM-type test

Demetrescu, Matei; Leppin, Julian Sebastian; Reitz, Stefan - 2017

(Panel) Smooth Transition Regressions substantially gained in popularity due to their flexibility in modeling regression coefficients as homogeneous or heterogeneous functions of transition variables. In the estimation process, however, researchers typically face a trade-off in the sense that a...

Persistent link: https://www.econbiz.de/10011749886

A Sharp Test for the Judge Leniency Design

Coulibaly, Mohamed; Hsu, Yu-Chin; Mourifié, Ismael; … - National Bureau of Economic Research - 2024

We propose a new specification test to assess the validity of the judge leniency design. We characterize a set of sharp testable implications, which exploit all the relevant information in the observed data distribution to detect violations of the judge leniency design assumptions. The proposed...

Persistent link: https://www.econbiz.de/10014544734

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

An introduction to bootstrap theory in time series econometrics

Cavaliere, Giuseppe; Bohn Nielsen, Heino; Rahbek, Anders - 2020

Persistent link: https://www.econbiz.de/10012319239

Short Run and Long Run Causality in Time Series: Inference

Dufour, Jean-Marie; Pelletier, Denis; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2003

We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998 …

Persistent link: https://www.econbiz.de/10005100843

Short and long run causality measures: theory and inference

Dufour, Jean-Marie; Taamouti, Abderrahim - Departamento de Economía, Universidad Carlos III de Madrid - 2008

The concept of causality introduced by Wiener (1956) and Granger (1969) is defined in terms of predictability one period ahead. This concept can be generalized by considering causality at a given horizon h, and causality up to any given horizon h [Dufour and Renault (1998)]. This generalization...

Persistent link: https://www.econbiz.de/10005111024

Stationarity Test for Aggregate Outputs in the Presence of Structural Breaks

Srivastava, D.K.; Shanmugam, K.R. - Madras School of Economics - 2012

This study tests for the stationarity of aggregate output (GDP at factor cost) and its three major components, namely GDP agriculture, GDP industry and GDP services in the presence of structural breaks during 1950-51 to 2011-12. Results indicate that (i) the GDP has three break points; (ii) GDP...

Persistent link: https://www.econbiz.de/10010759918