Search Results - subject:"Moderate deviation"

Stochastic local and moderate departures from a unit root and its application to unit root testing

Nishi, Mikihito; Kurozumi, Eiji - 2022

Persistent link: https://www.econbiz.de/10013364485

Portmanteau Test and Simultaneous Inference for Serial Covariances

Xiao, Han; Wu, Wei Biao - 2019

The paper presents a systematic theory for asymptotic inferences based on autocovariances of stationary processes. We consider nonparametric tests for se rial correlations using the maximum and the quadratic deviations of sample autocovariances. For these cases, with proper centering and...

Persistent link: https://www.econbiz.de/10012433231

Testing many moment inequalities

Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2016

based upon (i) the union bound combined with a moderate deviation inequality for self-normalized sums, (ii) the multiplier …

Persistent link: https://www.econbiz.de/10011594352

Testing many moment inequalities

Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2016 - This version: September 10, 2015

based upon (i) the union bound combined with a moderate deviation inequality for self-normalized sums, (ii) the multiplier …

Persistent link: https://www.econbiz.de/10011525823

Testing many moment inequalities

Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2014

based upon (i) the union bound combined with a moderate deviation inequality for self-normalized sums, (ii) the multiplier …

Persistent link: https://www.econbiz.de/10011445706

Testing many moment inequalities

Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2014 - This version: December 16, 2014

based upon (i) the union bound combined with a moderate deviation inequality for self-normalized sums, (ii) the multiplier …

Persistent link: https://www.econbiz.de/10010459258

Testing regression monotonicity in econometric models

Chetverikov, Denis - 2012

Monotonicity is a key qualitative prediction of a wide array of economic models derived via robust comparative statics. It is therefore important to design effective and practical econometric methods for testing this prediction in empirical analysis. This paper develops a general nonparametric...

Persistent link: https://www.econbiz.de/10009667989

Large Deviations of Realized Volatility

Kanaya, Shin; Otsu, Taisuke - Cowles Foundation for Research in Economics, Yale University - 2011

This paper studies large and moderate deviation properties of a realized volatility statistic of high frequency … of the realized volatility. We also derive a moderate deviation rate function for a standardized realized volatility … statistic. The moderate deviation result is useful for assessing the validity of normal approximations based on the central …

Persistent link: https://www.econbiz.de/10009003656

Mean and Autocovariance Function Estimation Near the Boundary of Stationarity

Giraitis, Liudas; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2009

We analyze the applicability of standard normal asymptotic theory for linear process models near the boundary of stationarity. The concept of stationarity is refined, allowing for sample size dependence in the array and paying special attention to the rate at which the boundary unit root case is...

Persistent link: https://www.econbiz.de/10005593612