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UNEMPLOYMENT AND HYSTERESIS: A NONLINEAR UNOBSERVED COMPONENTS APPROACH
Alon, Alicia Pérez; Sanzo, Silvestro Di - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2005
appropriate p-value for a test for hysteresis we propose two alternative bootstrap procedures: the first is valid under …The aim of this paper is to find a possible hysteresis effect on unemployment rate series from Italy, France and the … United States. We propose a definition of hysteresis taken from Physics which allows for nonlinearities. To test for the …
Persistent link: https://www.econbiz.de/10005731249
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Unemployment and Hysteresis : A Nonlinear Unobserved Components Approach
Di Sanzo, Silvestro; Perez-Alonso, Alicia - 2010
test for hysteresis two alternative bootstrap algorithms are proposed: the first is valid under homoskedastic errors and …A new test for hysteresis based on a nonlinear unobserved components model is proposed. Observed unemployment rates are … lagged cyclical shocks on the current natural component is the measure of hysteresis. To derive anappropriate p-value for a …
Persistent link: https://www.econbiz.de/10014189791
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Output fluctuations persistence: Do cyclical shocks matter?
Sanzo, Silvestro Di - Dipartimento di Economia, Università Ca' Foscari Venezia - 2006
appropriate p-value for a test of linearity we propose a bootstrap procedure, which allows for general forms of heteroskedasticity …. The performance of the bootstrap is checked by means of a Monte Carlo simulation. Our study concerns the U.S. As suggested …
Persistent link: https://www.econbiz.de/10005030075
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Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
Trenkler, Carsten - 2006
In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic … the bootstrap test procedures are derived and their small sample properties are studied. The simulation study also …
Persistent link: https://www.econbiz.de/10010263621
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Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms
Trenkler, Carsten - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic … the bootstrap test procedures are derived and their small sample properties are studied. The simulation study also …
Persistent link: https://www.econbiz.de/10005207940
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Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude - Centre Interuniversitaire de Recherche en Économie … - 2003
In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...
Persistent link: https://www.econbiz.de/10005346022
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Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003
In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...
Persistent link: https://www.econbiz.de/10005100677
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Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2002
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10005100885
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Change point estimation in panel data without boundary issue
Peštová, Barbora; Pešta, Michal - In: Risks 5 (2017) 1, pp. 1-22
Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In particular, the novel estimator is able to detect a common...
Persistent link: https://www.econbiz.de/10011709583
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Change point estimation in panel data without boundary issue
Peštová, Barbora; Pešta, Michal - In: Risks : open access journal 5 (2017) 1, pp. 1-22
Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In particular, the novel estimator is able to detect a common...
Persistent link: https://www.econbiz.de/10011636497