Search Results - subject:"Quasi-likelihood procedures"

Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models

Werker, Bas J.M.; Hallin, M.; van den Akker, R. - Tilburg University, Center for Economic Research - 2015

This paper provides locally optimal pseudo-Gaussian and rank-based tests for<br/>the cointegration rank in linear cointegrated error-correction models with i.i.d.<br/>elliptical innovations. The proposed tests are asymptotically distribution-free,<br/>hence their validity does not depend on the actual...

Persistent link: https://www.econbiz.de/10011144427

Optimal pseudo-Gaussian and rank-based tests of the cointegration rank in semiparametric error-correction models

Hallin, Marc; Akker, Ramon van den; Werker, Bas J. M. - 2015

Persistent link: https://www.econbiz.de/10011348908

Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models

Werker, Bas J.M.; Hallin, M.; van den Akker, R. - Tilburg University, Center for Economic Research - 2012

, depend on a reference density that can freely be chosen, and thus is not restricted to be Gaussian as in traditional quasi-likelihood … procedures. Moreover, appropriate choices of the reference density are achieving the semiparametric efficiency bounds …

Persistent link: https://www.econbiz.de/10011091289

Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models

Hallin, Marc; van den Akker, Ramon; Werker, Bas - European Centre for Advanced Research in Economics and … - 2012

density that can freely be chosen, and thus is not restricted to be Gaussianas in traditional quasi-likelihood procedures …

Persistent link: https://www.econbiz.de/10011031500

Rank-based tests of the cointegrating rank in semiparametric error correction models

Hallin, Marc; Akker, Ramon van den; Werker, Bas J. M. - 2012

Persistent link: https://www.econbiz.de/10009676141

Semiparametric error-correction models for cointegration with trends : Pseudo-Gaussian and optimal rank-based tests of the cointegration rank

Hallin, Marc; Akker, Ramon van den; Werker, Bas J. M. - In: Journal of econometrics 190 (2016) 1, pp. 46-61

Persistent link: https://www.econbiz.de/10011591614