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Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models

Drost, Feike C.; Akker, Ramon van den; Werker, Bas J. M. - 2008

Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integer-valued phenomena that evolve over time. The distribution of an INAR(p) process is essentially described by two parameters: a vector of autoregression coefficients and a probability distribution on...

Persistent link: https://www.econbiz.de/10014050438

Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued Ar(P) Models

Drost, Feike C.; Akker, Ramon van den; Werker, Bas J. M. - 2013

Persistent link: https://www.econbiz.de/10014217553

A Note on Mixed Stable Limit Theory for the OLSE and the Robustness of Subsampling Wald Tests

Arvanitis, Stelios - 2015

We are occupied with a simple example concerning the limit theory of the OLSE when the innovation process of the regression has the form of a martingale transform the i.i.d. part of which lies in the domain of attraction of an \alpha-stable distribution, the scalling sequence has a potentially...

Persistent link: https://www.econbiz.de/10013011514

Goodness-of-fit tests for SPARMA models with dependent error terms

Maïnassara, Yacouba Boubacar; Amir, Abdoulkarim Ilmi - In: Journal of time series econometrics 14 (2022) 2, pp. 107-140

Persistent link: https://www.econbiz.de/10013260167

Testing for Autocorrelation and Unit Roots in the Presence of Conditional Heteroskedasticity of Unknown Form

Guo, Binbin; Phillips, Peter C. B. - 2003

The presence of conditional heteroskedasticity invalidates standard autocorrelation tests such as the Durbin …-Watson statistic and its many variants, and reduces the power of standard unit root tests like the Dickey-Fuller test. This paper … new autocorrelation tests (called g- and gl- tests), and derives an asymptotic theory for the new statistics. The g test …

Persistent link: https://www.econbiz.de/10014087060

Consistent Hac Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation

Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainan - 2003

A new family of kernels is suggested for use in heteroskedasticity and autocorrelation consistent (HAC) and long run … and are intended to be used with no truncation (or bandwidth) parameter. As the power parameter (rho) increases, the … dominance of the Bartlett kernel over quadratic kernels in test power and yields new findings about the asymptotic properties of …

Persistent link: https://www.econbiz.de/10014088395

A time series model for an exchange rate in a target zone with applications

Lundbergh, Stefan (contributor); … - 2003 - [Elektronische Ressource]

In this paper we introduce a flexible target zone model that is capable of characterizing the dynamic behaviour of an exchange rate implied by the original target zone model of Krugman (1991) and its modifications. Our framework also enables the modeller to estimate an implicit target zone if it...

Persistent link: https://www.econbiz.de/10001786381

The ARAR error model for univariate time series and distributed lag models

Carter, Richard A. L. (contributor); … - 2002 - [Elektronische Ressource]

We show that the use of prior information derived from former empirical findings and/or subject matter theory regarding the lag structure of the observable variables together with an AR process for the error terms can produce univariate and single equation models that are intuitively appealing,...

Persistent link: https://www.econbiz.de/10001699672

Testing the unit root hypothesis against the logistic smooth transition autoregressive model

Eklund, Bruno (contributor) - 2003 - [Elektronische Ressource]

-values of the tests. Power simulations show that the two proposed tests have at least the same or higher power than the …

Persistent link: https://www.econbiz.de/10001845685

Determing the number of regimes in a threshold autoregressive model using smooth transition autoregressions

Strikholm, Birgit (contributor); … - 2005 - [Elektronische Ressource], Rev. February 11, 2005

In this paper we propose a method for determining the number of regimes in threshold autoregressive models using smooth transition autoregression as a tool. As the smooth transition model is just an approximation to the threshold autoregressive one, no asymptotic properties are claimed for the...

Persistent link: https://www.econbiz.de/10002535492