Search Results - subject:"Specification Testing"

Parente, Paulo M.D.C.; Santos Silva, João M.C. - In: Journal of Econometric Methods 5 (2016) 1, pp. 1-15

Abstract We study the properties of the quantile regression estimator when data are sampled from independent and identically distributed clusters, and show that the estimator is consistent and asymptotically normal even when there is intra-cluster correlation. A consistent estimator of the...

Persistent link: https://www.econbiz.de/10014612570

Evaluating a class of nonlinear time series models

Heinen, Florian - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2010

exchange rate data. JEL-Numbers: C12, C22, C52 Keywords: Nonlinearities · Smooth transition · Specification testing · Real … estimation, specification, testing and ∗Financial support by the Deutsche Forschungsgemeinschaft (DFG) is gratefully acknowledged … extensively by Clements and Smith (1997) (see also Granger and Ter¨asvirta (1993) and Clements and Hendry (1998)). Specification …

Persistent link: https://www.econbiz.de/10005870742

Evaluating a class of nonlinear time series models

Heinen, Florian - 2010

We consider a recently proposed class of nonlinear time series models and focus mainly on misspecification testing for models of such type. Following the modeling cycle for nonlinear time series models of specification, estimation and evaluation we first treat how to choose an adequate...

Persistent link: https://www.econbiz.de/10010270400

Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models

Kristensen, Dennis - Økonomisk Institut, Københavns Universitet - 2010

We propose novel misspecification tests of semiparametric and fully parametric univariate diffusion models based on the estimators developed in Kristensen (Journal of Econometrics, 2010). We first demonstrate that given a preliminary estimator of either the drift or the diffusion term in a...

Persistent link: https://www.econbiz.de/10008512968

Evaluating a class of nonlinear time series models

Heinen, Florian - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2010

Persistent link: https://www.econbiz.de/10008620595

Nonparametric Time-Varying Coefficient Panel Data Models with Fixed Effects

GAO, Jiti; Li, Degui; Chen, Jia - School of Economics, University of Adelaide - 2010

This paper is concerned with developing a nonparametric time-varying coefficient model with fixed effects to characterize nonstationarity and trending phenomenon in nonlinear panel data analysis. We develop two methods to estimate the trend function and the coefficient function without taking...

Persistent link: https://www.econbiz.de/10008462874