Similar Search Results

Testing missing at random using instrumental variables

Breunig, Christoph - 2017

This paper proposes a test for missing at random (MAR). The MAR assumption is shown to be testable given instrumental variables which are independent of response given potential outcomes. A nonparametric testing procedure based on integrated squared distance is proposed. The statistic’s...

Persistent link: https://www.econbiz.de/10011619523

Testing missing at random using instrumental variables

Breunig, Christoph - 2015

Persistent link: https://www.econbiz.de/10010503886

Increasing weather risk : fact of fiction?

Wang, Weining; Bobojonov, Ihtiyor B.; Härdle, Wolfgang; … - 2011

It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel statistical tools for assessing changes in weather...

Persistent link: https://www.econbiz.de/10009379509

Nonparametric test for a constant beta over a fixed time interval

Reiß, Markus; Todorov, Viktor; Tauchen, George Eugene - 2014

We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...

Persistent link: https://www.econbiz.de/10010253467

Nonparametric change-point analysis of volatility

Bibinger, Markus; Jirak, Moritz; Vetter, Mathias - 2015

This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of an Itô semi-martingale, which is discretely observed over a fixed time horizon. We construct a minimax-optimal test to discriminate different smoothness classes of the...

Persistent link: https://www.econbiz.de/10010477582

Modeling euro area bond yields using a time-varying factor model

Adam, Tomáš; Lo Duca, Marco - 2017

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … in individual euro area countries using a time-varying model. Using the reduced form results, we show decoupling of … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …

Persistent link: https://www.econbiz.de/10011637545

Testing directional forecast value in the presence of serial correlation

Blaskowitz, Oliver; Herwartz, Helmut - 2008

Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....

Persistent link: https://www.econbiz.de/10003796145

Goodness-of-fit test for specification of semiparametric copula dependence models

Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - 2013

This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first propose a new test constructed via the comparison between "in-sample" and "out-of-sample" pseudolikelihoods, which avoids the use of any probability integral transformations. Under...

Persistent link: https://www.econbiz.de/10009789426

Fitting high-dimensional copulae to data

Okhrin, Ostap - 2010

estimation and different Goodness-of-Fit tests for model selection. In the GoF section we apply Kolmogorov-Smirnov and Cramer …

Persistent link: https://www.econbiz.de/10003953039

Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling

Camba-Méndez, Gonzalo (contributor); … - 2008

Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...

Persistent link: https://www.econbiz.de/10003636063