Search Results - subject:"Lagrange Multiplier Test"

On Testing Sample Selection Bias under the Multicollinearity Problem

Yamagata. T. - Faculty of Economics, University of Cambridge - 2005

) the standard t-test (Heckman 1979) and the asymptotically efficient Lagrange multiplier test (Melino 1982) have correct …

Persistent link: https://www.econbiz.de/10005489305

The Impact of Macroeconomic Announcementson Emerging Market Bonds

Andritzky, Jochen R.; Bannister, Geoffrey J.; Tamirisa, … - International Monetary Fund (IMF) - 2005

This paper examines how emerging bond markets react to macroeconomic announcements. Global bond spreads respond to rating actions and changes in global interest rates rather than domestic data and policy announcements. All announcements affect market volatility. Data and policy announcements...

Persistent link: https://www.econbiz.de/10005768842

Why is Micro Evidenceon the Effects of Uncertainty Not Replicated in Macro Data?

Lombardi, Domenico; Bond, Stephen - International Monetary Fund (IMF) - 2005

This study investigates the relationship between uncertainty and investment using U.K. data at different levels of aggregation. Motivated by a comparative econometric analysis using a firm-level panel and aggregate time-series data, we analyze the implications of aggregating nonlinear...

Persistent link: https://www.econbiz.de/10005264173

Inference in regression models with many regressors

Anatolyev, Stanislav - In: Journal of Econometrics 170 (2012) 2, pp. 368-382

We investigate the behavior of various standard and modified F, likelihood ratio (LR), and Lagrange multiplier (LM) tests in linear homoskedastic regressions, adapting an alternative asymptotic framework in which the number of regressors and possibly restrictions grows proportionately to the...

Persistent link: https://www.econbiz.de/10011052224

Computing and estimating information matrices of weak ARMA models

Boubacar Mainassara, Y.; Carbon, M.; Francq, C. - In: Computational Statistics & Data Analysis 56 (2012) 2, pp. 345-361

Numerous time series admit weak autoregressive-moving average (ARMA) representations, in which the errors are uncorrelated but not necessarily independent nor martingale differences. The statistical inference of this general class of models requires the estimation of generalized Fisher...

Persistent link: https://www.econbiz.de/10010577714

Evaluating models of autoregressive conditional duration

Meitz, Mika; Teräsvirta, Timo - 2004

This paper contains two novelties. First, a unified framework for testing and evaluating the adequacy of an estimated autoregressive conditional duration (ACD) model is presented. Second, two new classes of ACD models, the smooth transition ACD model and the time-varying ACD model, are...

Persistent link: https://www.econbiz.de/10010281462

LM-Type tests for a Unit Root Allowing for a Break in Trend

Nunes, Luis C. - Econometric Society - 2004

We consider LM-type tests for a unit root allowing for a break in trend at an unknown date. In addition to the minimum LM test statistic, we propose new LM-type tests based on the least squares estimator of the break date under the null. We examine asymptotic behavior under the null hypothesis...

Persistent link: https://www.econbiz.de/10005063667

Evaluating models of autoregressive conditional duration

Meitz, Mika; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2004

; C52 Key words: ACD model; Model misspecification test; Lagrange multiplier test; Smooth tran- sition ACD model … GARCH models. The two papers share the same goal: to derive easily applicable evaluation tools based on Lagrange multiplier … test statistics. The types of model misspecification considered in these papers are similar. Derivations of the test …

Persistent link: https://www.econbiz.de/10005649199

Seasonally and Fractionally Differenced Time Series (revised, August 2006)

Katayama, Naoya - Institute of Economic Research, Hitotsubashi University - 2004

This paper deals with a generalized seasonally integrated autoregressive moving average (SARIMA) model, which allows the two differencing parameters to take on fractional values. After investigating the basic properties of the model, we examine the asymptotic properties of the estimators and...

Persistent link: https://www.econbiz.de/10005675507

Tests of Functional Form and Heteroscedasticity

Tse, Y. K.; Yang, Z. L. - Econometric Society - 2004

This paper considers tests of misspecification in a heteroscedastic transformation model. We derive Lagrange multiplier (LM) statistics for (i) testing functional form and heteroscedasticity jointly, (ii) testing functional form in the presence of heteroscedasticity, and (iii) testing...

Persistent link: https://www.econbiz.de/10005702706