Showing 41 - 50 of 219
In this paper we investigate the behaviour of a number of methods for estimating the co-integration rank in VAR systems characterized by heteroskedastic innovation processes. In particular we compare the efficacy of the most widely used information criteria, such as AIC and BIC, with the...
Persistent link: https://www.econbiz.de/10011228054
We consider estimation and testing infinite-order autoregressive models with a (near) unit root and infinite-variance innovations. We study the asymptotic properties of estimators obtained by dummying out ?large?innovations, i.e., exceeding a given threshold. These estimators reflect the common...
Persistent link: https://www.econbiz.de/10011228066
The asymptotic distributions of Augmented-Dickey-Fuller (ADF) unit root tests for autoregressive processes with a unit or near-unit root are discussed in the presence of multiple stochastic level shifts of large size occurring independently in time. The distributions depend on a Brownian motion...
Persistent link: https://www.econbiz.de/10011228078
The paper provides a general framework for investigating the effects of permanent changes in the variance of the errors of an autoregressive process on unit root tests. Such a framework — which is based on a novel asymptotic theory for integrated and near integrated processes with...
Persistent link: https://www.econbiz.de/10011228092
In this paper we examine the formal implications of international risk sharing among a set of countries in the presence of market frictions and forward-looking behaviour. We show that if frictions prevent consumption to adjust instantaneously to its optimal long run level, consumption streams in...
Persistent link: https://www.econbiz.de/10011228118
It is well known that the standard i.i.d. bootstrap of the mean is inconsistent in a location model with infinite variance (?-stable) innovations. This occurs because the bootstrap distribution of a normalised sum of infinite variance random variables tends to a random distribution. Consistent...
Persistent link: https://www.econbiz.de/10011228123
In this paper we provide a unified theory, and associated invariance principle, for the large-sample distributions of the Dickey–Fuller class of statistics when applied to unit root processes driven by innovations displaying nonstationary stochastic volatility of a very general form. These...
Persistent link: https://www.econbiz.de/10004981615
We analyse the properties of the conventional Gaussian-based co-integrating rank tests of Johansen (1996) in the case where the vector of series under test is driven by globally stationary, conditionally heteroskedastic (martingale difference) innovations. We first demonstrate that the limiting...
Persistent link: https://www.econbiz.de/10004991541
Persistent link: https://www.econbiz.de/10004995414
This paper develops an asymptotic theory for integrated and near-integrated time series whose range is constrained in some ways. Such a framework arises when integration and cointegration analysis are applied to persistent series which are bounded either by construction or because they are...
Persistent link: https://www.econbiz.de/10005042420