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Testing for Nonstationary Long Memory Against Nonlinear Ergodic Models
Kapetanios, George; Shin, Yongcheol - 2005
Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. This paper provides a formal method of testing for nonstationary long memory against the alternative of particular forms of nonlinerarity. The nonlinear models we consider are ESTAR...
Persistent link: https://www.econbiz.de/10014076075
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Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series
Müller, Ulrich K. - 2003
(potentially) stationary series. This paper analytically investigates the size and power properties of such tests when the series …
Persistent link: https://www.econbiz.de/10014091328
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How to implement the bootstrap in static or stable dynamic regression models
Giersbergen, Noud P. A. van; Kiviet, J. F. - 2001
power problems, whereas the remaining two areadequate and in fact equivalent. The equivalence between the two valid …
Persistent link: https://www.econbiz.de/10011325661
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Neglected serial correlation tests in UCARIMA models
Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 121-178
assess the finite sample reliability and power of our proposed tests. …
Persistent link: https://www.econbiz.de/10011458802
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On the Properties of Regression Tests of Asset Return Predictability
Velasco, Carlos - 2011
suffer from lack of power in local-to-unity models for the regressor persistence. The main reason is that the near …
Persistent link: https://www.econbiz.de/10013132892
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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
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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
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Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels
Sun, Yixiao - 2010
Using the power kernels of Phillips, Sun and Jin (2006, 2007), we examine the large sample asymptotic properties of the … t-test for different choices of power parameter (rho). We show that the nonstandard fixed-rho limit distributions of the … a new practical procedure for selecting the test-optimal power parameter that addresses the central concern of …
Persistent link: https://www.econbiz.de/10013148975
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Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued Ar(P) Models
Drost, Feike C.; Van den Akker, Ramon; Werker, Bas J. M. - 2013
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/10014217553
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Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models
Drost, Feike C.; Van den Akker, Ramon; 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