Search Results - subject:"Lagrange Multiplier Test"

Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model

Nakatani, Tomoaki; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2007

In this paper we propose a Lagrange multiplier test for volatility interactions among markets or assets. The null …

Persistent link: https://www.econbiz.de/10005423784

Are Correlations Constant Over Time? Application of the CC-TRIGt-test to Return Series from Different Asset Classes.

Fischer, Matthias - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

Straße 1, D-10178 Berlin Key Words: Lagrange multiplier test, constant correlation, trigonometric functions. JEL …

Persistent link: https://www.econbiz.de/10005652781

Gcc Monetary Union and the Degree of Macroeconomic Policy Coordination

Kamar, Bassem; Naceur, Samy Ben - International Monetary Fund (IMF) - 2007

Coordinating macroeconomic policies is a pre-requisite to a successful launch of the common currency in the GCC countries. Relying on the Behavioral Equilibrium Exchange Rate approach as a theoretical framework, we apply the Pooled Mean Group methodology to determine the similarity of the impact...

Persistent link: https://www.econbiz.de/10005604912

Modeling Aggregate Use of Fund Resources; Analytical Approaches and Medium-Term Projections

Ghosh, Atish R.; Zalduendo, Juan; Goretti, Manuela; … - International Monetary Fund (IMF) - 2007

This paper presents two approaches to modeling the use of IMF resources in order to gauge whether the recent decline in credit outstanding is a temporary or a permanent phenomenon. The two approaches-the time series behavior of credit outstanding and a two-stage program selection and access...

Persistent link: https://www.econbiz.de/10005825617

A Simple Representation of the Bera-Jarque-Lee Test for Probit Models

Wilde, Joachim - Institut für Wirtschaftsforschung Halle (IWH) - 2007

with the RESET-type test proposed by Papke and Wooldridge (1996). Keywords: probit model, Lagrange multiplier test … Normalverteilung abweichende Kurtosis verursacht wurde. Schlagwörter: Probitmodell, Lagrange Multiplier Test … error term, which is stochastically independent of the exogenous variables. They derive a Lagrange- multiplier test of the …

Persistent link: https://www.econbiz.de/10005232580

Seasonally and Fractionally Differenced Time Series

Katayama, Naoya - In: Hitotsubashi Journal of Economics 48 (2007) 1, pp. 25-55

Persistent link: https://www.econbiz.de/10009206646

Rank Tests for Instrumental Variables Regression with Weak Instruments

Andrews, Donald W.K.; Soares, Gustavo - Cowles Foundation for Research in Economics, Yale University - 2006

analogous to the Lagrange multiplier test of Kleibergen (2002) and Moreira (2001). …

Persistent link: https://www.econbiz.de/10005593166

Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions

McCulloch, J. Huston; Percy, E. Richard - In: Journal of Econometrics 172 (2013) 2, pp. 275-282

A simplified version of the Neyman (1937) “Smooth” goodness-of-fit test is extended to account for the presence of estimated model parameters, thereby removing overfitting bias. Using a Lagrange Multiplier approach rather than the Likelihood Ratio statistic proposed by Neyman greatly...

Persistent link: https://www.econbiz.de/10011052314

A Monte Carlo evaluation of three methods to detect local dependence in binary data latent class models

Oberski, Daniel; Kollenburg, Geert; Vermunt, Jeroen - In: Advances in Data Analysis and Classification 7 (2013) 3, pp. 267-279

Binary data latent class analysis is a form of model-based clustering applied in a wide range of fields. A central assumption of this model is that of conditional independence of responses given latent class membership, often referred to as the “local independence” assumption. The results of...

Persistent link: https://www.econbiz.de/10010995270

A unified framework for testing in the linear regression model under unknown order of fractional integration

Christensen, Bent Jesper; Kruse, Robinson; Sibbertsen, … - 2013

We consider hypothesis testing in a general linear time series regression framework when the possibly fractional order of integration of the error term is unknown. We show that the approach suggested by Vogelsang (1998a) for the case of integer integration does not apply to the case of...

Persistent link: https://www.econbiz.de/10010239725