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A Simple Test for Linearity Against Exponential Smooth Transition Models with Endogenous Variables
Massacci, Daniele - 2017
This paper proposes a test for linearity against exponential smooth transition models with endogenous right-hand-side variables: to the very best of our knowledge, this class of models is new to the literature. By Monte Carlo analysis the test is shown to have good finite sample properties
Persistent link: https://www.econbiz.de/10014176554
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Network Quantile Autoregression
Zhu, Xuening - 2018
The complex tail dependency structure in a dynamic network with a large number of nodes is an important object to study …. Here we propose a network quantile autoregression model (NQAR), which characterizes the dynamic quantile behavior. Our NQAR … assumptions on the network structure. For this propose we develop a network Bahadur representation that gives us direct insight …
Persistent link: https://www.econbiz.de/10012922120
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Quantile Correlations and Quantile Autoregressive Modeling
Li, Guodong; Li, Yang; Tsai, Chih-Ling - 2012
autocorrelation function (QACF) and the quantile partial autocorrelation function (QPACF). This allows us to extend the classical Box …
Persistent link: https://www.econbiz.de/10014165231
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Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
Sun, Yixiao - 2006
In time series regressions with nonparametrically autocorrelated errors, it is now standard empirical practice to use kernel-based robust standard errors that involve some smoothing function over the sample autocorrelations. The underlying smoothing parameter b, which can be defined as the ratio...
Persistent link: https://www.econbiz.de/10012783449
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Optimal Bandwidth Choice for Interval Estimation in GMM Regression
Sun, Yixiao - 2008
In time series regression with nonparametrically autocorrelated errors, it is now standard empirical practice to construct confidence intervals for regression coefficients on the basis of nonparametrically studentized t-statistics. The standard error used in the studentization is typically...
Persistent link: https://www.econbiz.de/10012771849
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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
By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...
Persistent link: https://www.econbiz.de/10011325661
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On the Properties of Regression Tests of Asset Return Predictability
Velasco, Carlos - 2011
This paper investigates, both in finite samples and asymptotically, statistical inference on predictive regressions where time series are generated by present value models of asset prices. We show that regression-based tests, including optimal robust tests such as Jasson and Moreira's...
Persistent link: https://www.econbiz.de/10013132892
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The dynamics of real exchange rates : a reconsideration
Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011
While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...
Persistent link: https://www.econbiz.de/10008908972
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Identification problems in ESTAR models and a new model
Donauer, Stefanie; Heinen, Florian; Sibbertsen, Philipp - 2010
In ESTAR models it is usually difficult to determine parameter estimates, as it can be observed in the literature. We show that the phenomena of getting strongly biased estimators is a consequence of the so-called identification problem, the problem of properly distinguishing the transition...
Persistent link: https://www.econbiz.de/10003950818
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Testing for long memory against ESTAR nonlinearities
Kuswanto, Heri; Sibbertsen, Philipp - 2009
We develop a Wald type test to distinguish between long memory and ESTAR nonlinearity by using a directed-Wald statistic to overcome the problem of restricted parameters under the alternative. The test is derived from two basic model specifications where the first is the standard model based on...
Persistent link: https://www.econbiz.de/10003877585