Search Results - subject:"constancy"

Kolmogorov-Smirnov type testing for structural breaks : a new adjusted-range based self-normalization approach

Hong, Yongmiao; Linton, Oliver; McCabe, Brendan Peter Martin - In: Journal of econometrics 238 (2024) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10015073901

A note on bivariate survival functions following a law of uniform seniority

Schimmele, Alexander; Schmidt, Klaus D. - In: Scandinavian actuarial journal 2023 (2023) 9, pp. 907-915

Persistent link: https://www.econbiz.de/10014384019

A law of uniform seniority for dependent lives

Genest, Christian; Kolev, Nikolai - In: Scandinavian actuarial journal 2021 (2021) 8, pp. 726-743

Persistent link: https://www.econbiz.de/10012653669

Testing constancy of unconditional variance in volatility models by misspecification and specification tests

Silvennoinen, Annastiina; Teräsvirta, Timo - 2015

Persistent link: https://www.econbiz.de/10011777143

Testing constancy of the error covariance matrix in vector models against parametric alternatives using a spectral decomposition

YANG, Yukai - Center for Operations Research and Econometrics (CORE), … - 2014

a test of constancy of the error covariance matrix against the alternative that the covariance matrix changes over time …

Persistent link: https://www.econbiz.de/10011094066

Residual-based Rank Specification Tests for AR-GARCH type models

Andreou, Elena; Werker, Bas J.M. - University of Cyprus Department of Economics - 2014

This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR-GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual autocorrelation, residual symmetry, and no structural breaks. For...

Persistent link: https://www.econbiz.de/10010901496

Testing Constancy of the Error Covariance Matrix in Vector Models against Parametric Alternatives using a Spectral Decomposition

Yang, Yukai - School of Economics and Management, University of Aarhus - 2014

a test of constancy of the error covariance matrix against the alternative that the covariance matrix changes over time …

Persistent link: https://www.econbiz.de/10010851225

Linearity and Misspecification Tests for Vector Smooth Transition Regression Models

Teräsvirta, Timo; Yang, Yukai - School of Economics and Management, University of Aarhus - 2014

In this paper, we derive Lagrange multiplier and Lagrange multiplier type specification and misspecification tests for vector smooth transition models. We report results from simulation studies in which the size and power properties of the proposed tests in small samples are considered. The...

Persistent link: https://www.econbiz.de/10010851249

Linearity and misspecification tests for vector smooth transition regression models

Terasvirta, Timo; Yang, Yukai - Center for Operations Research and Econometrics (CORE), … - 2014

Persistent link: https://www.econbiz.de/10011246322

Strategy-proof Sharing

Mizukami, Hideki; Saijo, Tatsuyoshi; Wakayama, Takuma - Graduate School of Economics, Osaka University - 2005

rule satisfies strategy proofness if and only if it has the quasi-constancy property: no one changes her own share by … changing her announcements. Next, by constructing a system of linear equations in a manner that is consistent with quasi-constancy … the existence of non-constant, strategy-proof sharing rules, by examining the relationship between the constancy of …

Persistent link: https://www.econbiz.de/10005773250