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A Gaussian Test for Cointegration
Abeysinghe, Tilak; Rajaguru, Gulasekaran - East Asian Bureau of Economic Research (EABER) - 2010
way to increase power without having to increase the sample size substantially. Monte Carlo simulations show minimal size … distortions even when the AR root is close to unity and that the test offers substantial gains in power against near …
Persistent link: https://www.econbiz.de/10009365465
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A Gaussian Test for Cointegration
Rajaguru, Gulasekaran; Abeysinghe, Tilak - Department of Economics, National University of Singapore - 2009
way to increase power without having to increase the sample size substantially. Monte Carlo simulations show minimal size … distortions even when the AR root is close to unity and that the test offers substantial gains in power against near …
Persistent link: https://www.econbiz.de/10008493490
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Nowcasting causality in mixed frequency vector autoregressive models
Götz, Thomas B.; Hecq, Alain - In: Economics Letters 122 (2014) 1, pp. 74-78
This paper introduces nowcasting causality as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in a mixed-frequency VAR and illustrate its impact on the significance of high-frequency variables in mixed-frequency...
Persistent link: https://www.econbiz.de/10011041595
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Goodness-of-fit test for specification of semiparametric copula dependence models
Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - 2013
statistics, so that the resulting test will make a desirable test power among the involved tests. This hybrid method is …
Persistent link: https://www.econbiz.de/10009789426
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An ARCH Robust STAR Test
Andersson, Michael K.; Eklund, Bruno; Lyhagen, Johan - Economics Institute for Research (SIR), … - 1999
The LM type linearity test for STAR nonlinearities is severely distorted when the process is governed by conditional heteroskedasticity. In order to correct the test we propose a parametric bootstrap. It is shown, by means of Monte Carlo methods, that the bootstrap test is almost exact.
Persistent link: https://www.econbiz.de/10005207191
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Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data
Kurozumi, Eiji; Yamazaki, Daisuke; Hadri, Kaddour - Institute of Economic Research, Hitotsubashi University - 2012
power function of the covariate test with those of panel unit root tests and show that the covariate unit root test can be …
Persistent link: https://www.econbiz.de/10010614078
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A simple modification of the Busetti-Harvey stationarity tests with structural breaks at unknown time
Skrobotov, Anton - Gaidar Institute for Economic Policy - 2014
In this paper a modification of the Busetti and Harvey (2001) test with structural break at unknown time is proposed. As the stationarity test with a super-consistent break date estimator is effective under large breaks and the infimum-test is effective under small breaks, although it has...
Persistent link: https://www.econbiz.de/10010812375
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Goodness-of-fit test for specification of semiparametric copula dependence models
Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - 2013
statistics, so that the resulting test will make a desirable test power among the involved tests. This hybrid method is …
Persistent link: https://www.econbiz.de/10010331132
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Simple Wald tests of the fractional integration parameter : an overview of new results
Dolado, Juan Jose; Gonzalo, Jesus; Mayoral, Laura - Departamento de Economía, Universidad Carlos III de Madrid - 2008
test has better power properties under fixed alternatives than other available tests for fractional roots, as well as …
Persistent link: https://www.econbiz.de/10005111033
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Potential Pitfalls in Determining Multiple Structural Changes with an Application to Purchasing Power Parity
Prodan, Ruxandra - Econometric Society - 2004
power on data that includes breaks of opposite sign. We extend this test in two directions. First, we propose a new … mean or trend reversion. The simulation results show good power and satisfactory size of the new procedures. Using long … purchasing power parity from the application of unit root and structural change tests. We argue that the Bai and Perron test is …
Persistent link: https://www.econbiz.de/10005702663