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How far can we forecast? : statistical tests of the predictive content
Breitung, Jörg; Knüppel, Malte - 2018
Forecasts are useless whenever the forecast error variance fails to be smaller than the unconditional variance of the target variable. This paper develops tests for the null hypothesis that forecasts become uninformative beyond some limiting forecast horizon h. Following Diebold and Mariano (DM,...
Persistent link: https://www.econbiz.de/10011826055
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Reducing size distortions of parametric stationarity tests
Lanne, Markku; Saikkonen, Pentti - 2000
recent parametric tests this is caused by estimation errors which result when the autoregressive parameters used to describe …
Persistent link: https://www.econbiz.de/10009582386
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Deterministic seasonality versus seasonal fractional integration
Gil-Alaña, Luis A. - 2000
We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality …
Persistent link: https://www.econbiz.de/10009612017
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Testing large-dimensional correlation
Arnold, Matthias (contributor);  … - 2007
credit risk, in different sectors of the German economy. -- testing correlation ; n-p-asymptotics ; portfolio credit risk …
Persistent link: https://www.econbiz.de/10003483680
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Evaluating a class of nonlinear time series models
Heinen, Florian - 2010
We consider a recently proposed class of nonlinear time series models and focus mainly on misspecification testing for … models of such type. Following the modeling cycle for nonlinear time series models of specification, estimation and … ; Specification testing ; Real exchange rates …
Persistent link: https://www.econbiz.de/10003960982
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Detecting structural differences in tail dependence of financial time series
Bormann, Carsten; Schienle, Melanie - 2019
dependence of bivariate extreme returns. We decompose the testing problem into piecewise multiple comparisons of Cramér-von Mises … individual p-values according to multiple testing techniques. Monte Carlo simulations demonstrate the test's superior finite …
Persistent link: https://www.econbiz.de/10011958215
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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
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Testing for Structural Breaks in Dynamic Factor Models
Breitung, Jörg - 2016
structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and …
Persistent link: https://www.econbiz.de/10012991066
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Testing for Exogeneity in Nonlinear Threshold Models
Kapetanios, George - 2004
. This paper examines the problem of testing for exogeneity in nonlinear threshold models. We suggest new Hausman-type tests …
Persistent link: https://www.econbiz.de/10014070523
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Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary [Previous title : "A Regression-based Joint Encompassing Test for Value-at-Risk and Expected Shortfall Forecasts"]
Dimitriadis, Timo - 2020
flexible link (or combination) functions.Our setup allows testing encompassing for convex forecast combinations and forlink … asymptotic theory on the boundary. Our simulation study shows thatthe encompassing tests based on our new link functions …
Persistent link: https://www.econbiz.de/10012846432