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A smooth permanent surge process
González, Andrés - 2004
In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a...
Persistent link: https://www.econbiz.de/10010281224
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A smooth permanent surge process
González Gómez, Andrés - Economics Institute for Research (SIR), … - 2004
In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a...
Persistent link: https://www.econbiz.de/10005423858
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Testing for Exogeneity in Nonlinear Threshold Models
Kapetanios, George - School of Economics and Finance, Queen Mary - 2004
possibility of estimating nonlinear models by methods that take into account endogeneity but provided no tests for exogeneity …
Persistent link: https://www.econbiz.de/10005106400
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THE PROCESS FOLLOWED BY PPP DATA. ON THE PROPERTIES OF LINEARITY TESTS
Paya, Ivan; Peel, David A. - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2005
Recent research has reported the lack of correct size in stationarity test for PPP deviations within a linear framework. However, theoretically well motivated nonlinear models, such as the ESTAR, appear to parsimoniously fit the PPP data and provide an explanation for the PPP ¿puzzle¿....
Persistent link: https://www.econbiz.de/10005731239
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The influence of additive outliers on the performance of information criteria to detect nonlinearity
Rinke, Saskia - 2016
In this paper the performance of information criteria and a test against SETAR nonlinearity for outlier contaminated time series are investigated. Additive outliers can seriously influence the properties of the underlying time series and hence of linearity tests, resulting in spurious test...
Persistent link: https://www.econbiz.de/10011521180
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The influence of additive outliers on the performance of information criteria to detect nonlinearity
Rinke, Saskia - 2016
In this paper the performance of information criteria and a test against SETAR nonlinearity for outlier contaminated time series are investigated. Additive outliers can seriously influence the properties of the underlying time series and hence of linearity tests, resulting in spurious test...
Persistent link: https://www.econbiz.de/10011488709
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Identification-robust inference for endogeneity parameters in linear structural models
Tchatoka, Firmin Doko; Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2014
dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity … parameters). We focus on second-order dependence and stress the distinction between regression and covariance endogeneity … least-square methods). We observe that endogeneity parameters may not be identifiable and we give the relevant …
Persistent link: https://www.econbiz.de/10011183777
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Identification-robust inference for endogeneity parameters in linear structural models
Doko Tchatoka, Firmin; Dufour, Jean-Marie - Volkswirtschaftliche Fakultät, … - 2012
dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity … parameters). We focus on second-order dependence and stress the distinction between regression and covariance endogeneity … with least-squares methods). We observe that endogeneity parameters may not be identifiable and we give the relevant …
Persistent link: https://www.econbiz.de/10011107877
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Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models
TCHATOKA, Firmin DOKO; DUFOUR, Jean-Marie - Centre Interuniversitaire de Recherche en Économie … - 2014
dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity … parameters). We focus on second-order dependence and stress the distinction between regression and covariance endogeneity … with least-square methods). We observe that endogeneity parameters may not be identifiable and we give the relevant …
Persistent link: https://www.econbiz.de/10010894992
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Testing exogeneity under distributional misspecification
de Luna, Xavier; Johansson, Per - 2001
We propose a general test for exogeneity that is robust against distributional misspecification. The test can also be used to identify other types of misspecifications, such as the presence of a random coefficient. The idea is to sort the data with respect to a variable (a sorting score) and...
Persistent link: https://www.econbiz.de/10010321023