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Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter; Zu, Yang - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 744-755
Persistent link: https://www.econbiz.de/10013534484
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Inference on co-integration parameters in heteroskedastic vector autoregressions
Boswijk, Herman Peter; Cavaliere, Giuseppe; Rahbek, Anders - 2013
-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and … model for volatility, or to assume that the pattern of volatility is common to, or independent across, the vector of series …
Persistent link: https://www.econbiz.de/10010225789
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A comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests
Boswijk, Herman Peter; Lucas, André; Taylor, Nicholas - 1999
This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the … estimation or semi-nonparametric density approximations. Thecomparison is completed with a fully nonparametric cointegration test …
Persistent link: https://www.econbiz.de/10011300549
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Inference in VARs with conditional heteroskedasticity of unknown form
Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - 2014
We derive a framework for asymptotically valid inference in stable vector autoregressive (VAR) models with conditional heteroskedasticity of unknown form. We prove a joint central limit theorem for the VAR slope parameter and innovation covariance parameter estimators and address bootstrap...
Persistent link: https://www.econbiz.de/10011490564
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Heteroskedasticity-and-autocorrelation-consistent bootstrapping
Davidson, Russell; Monticini, Andrea - 2014
In many, if not most, econometric applications, it is impossible to estimate consistently the elements of the white-noise process or processes that underlie the DGP. A common example is a regression model with heteroskedastic and/or autocorrelated disturbances,where the heteroskedasticity and...
Persistent link: https://www.econbiz.de/10011774249
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A multivariate test against spurious long memory
Sibbertsen, Philipp; Leschinski, Christian; Holzhausen, … - 2015 - This version: March 3,2015
This paper provides a multivariate score-type test to distinguish between true and spurious long memory. The test is based on the weighted sum of the partial derivatives of the multivariate local Whittle likelihood function. This approach takes phase shifts in the multivariate spectrum into...
Persistent link: https://www.econbiz.de/10010493583
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Estimation and testing in a perturbed multivariate long memory framework
Less, Vivien; Sibbertsen, Philipp - 2022
We propose a semiparametric multivariate estimator and a multivariate score-type testing procedure under a perturbed multivariate fractional process. The estimator is based on the periodogram and uses a local Whittle criterion function which is generalised by an additional constant to capture...
Persistent link: https://www.econbiz.de/10014247836
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Small sample adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra - In: Journal of time series econometrics 14 (2022) 1, pp. 51-85
Persistent link: https://www.econbiz.de/10013260145
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Bootstrap LR Tests of Stationarity, Common Trends and Cointegration
Busetti, Fabio - 2011
The paper considers likelihood ratio (LR) tests of stationarity, common trends and cointegration for multivariate time … power gains of the bootstrap LR test are significantly larger for testing the hypothesis of common trends and cointegration … trends in the volatility of the US dollar exchange rate against european and asian/pacific currencies …
Persistent link: https://www.econbiz.de/10013125622
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Overidentification test in a nonparametric treatment model with unobserved heterogeneity : conference paper
Dzemski, Andreas; Sarnetzki, Florian - 2014 - This version: February 15, 2014
We provide an overidentification test for a nonparametric treatment model where individuals are allowed to select into treatment based on unobserved gains. Our test can be used to test the validity of instruments in a framework with essential heterogeneity (Imbens and Angrist 1994). The...
Persistent link: https://www.econbiz.de/10010491120