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Nonparametric change-point analysis of volatility

Bibinger, Markus; Jirak, Moritz; Vetter, Mathias - 2015

This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of an Itô semi-martingale, which is discretely observed over a fixed time horizon. We construct a minimax-optimal test to discriminate different smoothness classes of the...

Persistent link: https://www.econbiz.de/10010477582

IV-based cointegration testing in dependent panels with time-varying variance

Demetrescu, Matei; Hanck, Christoph; Tarcolea, Adina Ioana - 2012 - This version: November 10, 2011

for the Dickey-Fuller test by Chang (J of Econometrics 110, 261-292) to an error-correction testing framework. We show … that IV-based testing of the null of no error-correction in individual equations results in asymptotic standard normality …

Persistent link: https://www.econbiz.de/10009672473

Nonparametric regression on latent covariates with an application to semiparametric GARCH-in-Mean models

Conrad, Christian; Mammen, Enno - 2008

kernel smoothing of the conditional mean function. An asymptotic theory for the resulting kernel estimator is developed and … the estimator is used for testing parametric specifications of the mean function. Our leading example is a semiparametric … class of GARCH-in-Mean models. In this set-up our procedure provides a formal framework for testing economic theories that …

Persistent link: https://www.econbiz.de/10003747376

Rationalizing Rational Expectations? Tests and Deviations

D'Haultfœuille, Xavier - 2018

developed in the literature.Next, we go beyond testing by defining and estimating the minimal deviations from rational …

Persistent link: https://www.econbiz.de/10012906482

LM Test of Neglected Correlated Random Effects and Its Application

Hahn, Jinyong - 2015

application of the LM test of overdispersion in the context of two-step semiparametric estimation of Bayesian game models, where …

Persistent link: https://www.econbiz.de/10013027126

Testing for Poverty Dominance : An Application to Canada

Chen, Wen-Hao - 2018

The paper proposes and applies statistical tests for poverty dominance that check for whether poverty comparisons can be made robustly over ranges of poverty lines and classes of poverty indices. This helps provide both normative and statistical confidence in establishing poverty ranking across...

Persistent link: https://www.econbiz.de/10012706419

Testing the presence of implicit hiring quotas with application to German universities

Janys, Lena - 2022

Women are underrepresented in academia in general and economics in particular. I introduce a test to detect an under-researched form of hiring bias: implicit quotas. I derive a test under the null hypothesis of gender-blind hiring that requires no additional information about individual hires...

Persistent link: https://www.econbiz.de/10013194261

A simple test on structural change in long-memory time series

Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - 2017

We propose a simple test on structural change in long-range dependent time series. It is based on the idea that the test statistic of the standard CUSUM test retains its asymptotic distribution if it is applied to fractionally differenced data. We prove that our approach is asymptotically valid...

Persistent link: https://www.econbiz.de/10011655296

Time-series momentum : a Monte-Carlo approach

Cheng, Enoch; Struck, Clemens - 2019

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...

Persistent link: https://www.econbiz.de/10011990919

Fixed and long time span jump tests : new Monte Carlo and empirical evidence

Cheng, Mingmian; Swanson, Norman R. - In: Econometrics : open access journal 7 (2019) 1/13, pp. 1-32

finite sample distortions, both under sequential testing and under long time spans. The latter finding is new, and confirms …

Persistent link: https://www.econbiz.de/10012025640