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  • Search: subject:"Optimal tests"
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Year of publication
Subject
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optimal tests 9 point optimal tests 4 structural stability testing 4 Cliff-Ord test 2 Optimal tests 2 Simulated method of moments 2 invariant tests 2 power 2 similar tests 2 tests optimaux 2 weighted average power 2 Breaks tests 1 Dynamic regression model 1 Efficient Estimation 1 Estimation theory 1 Fractional Integration 1 Generalized method of moments 1 Instrumental variables regression 1 Likelihood Inference 1 Limiting Power 1 Méthode des moments simulés 1 Méthodes simulées d'estimations 1 Nichtparametrisches Verfahren 1 Nonparametric statistics 1 Nonstationarity 1 Optimal Tests 1 Recursive residuals 1 Regression analysis 1 Regressionsanalyse 1 Residual autocorrelation function 1 Schätztheorie 1 Simulated method of estimation 1 Simulated methods of estimation 1 Small Sample Power 1 Specification tests 1 Statistical test 1 Statistischer Test 1 Structural stability testing 1 Time series analysis 1 Time series models 1
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Online availability
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Free 16
Type of publication
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Book / Working Paper 16
Type of publication (narrower categories)
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Arbeitspapier 1 Working Paper 1
Language
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Undetermined 10 English 6
Author
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Guay, Alain 5 Elliott, Graham 3 Ghysels, Eric 3 Martellosio, Federico 2 Akharif, Abdelhadi 1 Andrews, Donald W.K. 1 Delgado, Miguel A. 1 Fihri, Mohamed 1 Guysels, Eric 1 Haldrup, Niels 1 Hallin, Marc 1 Jansson, Michael 1 Mellouk, Amal 1 Moreira, Marcelo J. 1 Mueller, Ulrich K. 1 Muller, Ulrich 1 Nielsen, Morten Oe. 1 STOCK, JAMES H 1 Sanchez, Ismael 1 Stock, James H. 1 Velasco, Carlos 1
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Institution
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Department of Economics, University of California-San Diego (UCSD) 4 Centre de Recherche sur l'Emploi et les Fluctuations Économiques (CREFÉ), École des Sciences de la Gestion (ESG) 3 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 2 School of Economics and Management, University of Aarhus 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Cowles Foundation for Research in Economics, Yale University 1 Departamento de Economía, Universidad Carlos III de Madrid 1
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Published in...
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University of California at San Diego, Economics Working Paper Series 4 Cahiers de recherche CREFE / CREFE Working Papers 3 CIRANO Working Papers 2 Economics Working Papers / School of Economics and Management, University of Aarhus 2 MPRA Paper 2 Cowles Foundation Discussion Papers 1 ECARES working paper 1 Economics Working Papers / Departamento de Economía, Universidad Carlos III de Madrid 1
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Source
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RePEc 15 ECONIS (ZBW) 1
Showing 1 - 10 of 16
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Parametrically and semiparametrically efficient detection of random regression coefficients
Fihri, Mohamed; Akharif, Abdelhadi; Mellouk, Amal; … - 2017
Persistent link: https://www.econbiz.de/10011673784
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A new class of distribution-free tests for time series models specification
Delgado, Miguel A.; Velasco, Carlos - Departamento de Economía, Universidad Carlos III de Madrid - 2009
The construction of asymptotically distribution free time series model specification tests using as statistics the estimated residual autocorrelations is considered from a general view point. We focus our attention on Box-Pierce type tests based on the sum of squares of a few estimated residual...
Persistent link: https://www.econbiz.de/10005249678
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Testing for spatial autocorrelation: the regressors that make the power disappear
Martellosio, Federico - Volkswirtschaftliche Fakultät, … - 2008
We show that for any sample size, any size of the test, and any weights matrix outside a small class of exceptions, there exists a positive measure set of regression spaces such that the power of the Cliff-Ord test vanishes as the autocorrelation increases in a spatial error model. This result...
Persistent link: https://www.econbiz.de/10005620071
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Power Properties of Invariant Tests for Spatial Autocorrelation in Linear Regression
Martellosio, Federico - Volkswirtschaftliche Fakultät, … - 2008
This paper derives some exact power properties of tests for spatial autocorrelation in the context of a linear regression model. In particular, we characterize the circumstances in which the power vanishes as the autocorrelation increases, thus extending the work of Krämer (2005, Journal of...
Persistent link: https://www.econbiz.de/10005789697
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Improving Size and Power in Unit Root Testing
Haldrup, Niels; Jansson, Michael - School of Economics and Management, University of Aarhus - 2005
of covariates. JELCoscdscescssc: C12, C22 Kescysc Woscrscdscssc: Unit roots, optimal tests, power envelope. 1 … of point optimal tests and is therefore admissible [Stock (1994)]. Power envelopes have been derived for a variety of … efficient” invariant unit root tests contains tests other than the point optimal tests obtained in the derivation of the …
Persistent link: https://www.econbiz.de/10010851181
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Optimal Invariant Similar Tests for Instrumental Variables Regression
Andrews, Donald W.K.; Moreira, Marcelo J.; Stock, James H. - Cowles Foundation for Research in Economics, Yale University - 2004
This paper considers tests of the parameter on endogenous variables in an instrumental variables regression model. The focus is on determining tests that have some optimal power properties. We start by considering a model with normally distributed errors and known error covariance matrix. We...
Persistent link: https://www.econbiz.de/10005593255
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Optimally Testing General Breaking Processes in Linear Time Series Models
Elliott, Graham; Mueller, Ulrich K. - Department of Economics, University of California-San … - 2004
which optimal tests are asymptotically equivalent. Our conditions allow for models with many or relatively few breaks …
Persistent link: https://www.econbiz.de/10010536423
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Testing for Structural Change in the Presence of Auxiliary Models
Ghysels, Eric; Guay, Alain - Centre Interuniversitaire de Recherche en Analyse des … - 2001
Several estimation procedures such as the Efficient Method of Moments (EMM) of Gallant and Tauchen (1996) and Indirect Inference procedure of Gouriéroux, Monfort and Renault (1993) involve two models, an auxiliary one and a model of interest. The role played by both models poses challenges and...
Persistent link: https://www.econbiz.de/10005100664
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Testing for Structural Change in the Presence of Auxiliary Models
Ghysels, Eric; Guay, Alain - Centre de Recherche sur l'Emploi et les Fluctuations … - 2001
Several estimation procedures such as the Efficient Method of Moments (EMM) of Gallant and Tauchen (1996) and Indirect Inference procedure of Gouriéroux, Monfort and Renault (1993) involve two models, an auxiliary one and a model of interest. The role played by both models poses challenges and...
Persistent link: https://www.econbiz.de/10005611931
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Optimal Predictive Tests and a Simulation Study
Guay, Alain - Centre de Recherche sur l'Emploi et les Fluctuations … - 2001
This paper shows that predictive tests for structural change with unknown breakpoint are optimal tests such as defined …
Persistent link: https://www.econbiz.de/10005611955
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