Search Results - subject:"moment tests"

An examination of higher-moment contagion during the South Sea Bubble

Hasan, Mohammad S.; Gausden, Robert; Kume, Ortenca - In: Applied economics letters 29 (2022) 20, pp. 1949-1953

Persistent link: https://www.econbiz.de/10013412340

New testing approaches for mean-variance predictability

Fiorentini, Gabriele; Sentana, Enrique - 2018

Persistent link: https://www.econbiz.de/10012018576

New testing approaches for mean-variance predictability

Fiorentini, Gabriele; Sentana, Enrique - In: Journal of econometrics 222 (2021) 1,2, pp. 516-538

Persistent link: https://www.econbiz.de/10012619733

New testing approaches for mean-variance predictability

Fiorentini, Gabriele; Sentana, Enrique - 2019

Persistent link: https://www.econbiz.de/10012025064

Robust parametric tests of constant conditional correlation in a MGARCH model

Shadat, Wasel; Orme, Chris D. - In: Econometric reviews 37 (2018) 6/10, pp. 551-576

Persistent link: https://www.econbiz.de/10012039397

Testing multiplicative error models using conditional moment tests

Hautsch, Nikolaus - 2008

We suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification....

Persistent link: https://www.econbiz.de/10010263752

Testing Multiplicative Error Models Using Conditional Moment Tests

Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

Moment Tests Nikolaus Hautsch* *Humboldt-Universität zu Berlin, Germany This research was supported by the … Error Models Using Conditional Moment Tests∗ Nikolaus Hautsch† Humboldt-Universit¨at zu Berlin, CASE, CFS, QPL November 2008 …-of-sample moment restrictions, such as orthogonalities of prediction errors. Keywords: Robust Conditional Moment Tests, Finite Sample …

Persistent link: https://www.econbiz.de/10005652786

A simple approach to standardized-residuals-based higher-moment tests

Chen, Yi-Ting - In: Journal of Empirical Finance 19 (2012) 4, pp. 427-453

We propose a new approach to the higher-moment tests for evaluating the standardized error distribution hypothesis of a … standardized residuals. The resulting higher-moment tests have a simple invariant form for various conditional mean …–kurtosis tests, characteristic-function-based moment tests, and Value-at-Risk tests for exploring the standardized error distribution …

Persistent link: https://www.econbiz.de/10010942980

A simple approach to standardized-residuals-based higher-moment tests

Chen, Yi-ting - In: Journal of empirical finance 19 (2012) 4, pp. 427-453

Persistent link: https://www.econbiz.de/10009615672

Testing for Regime Switching in Singaporean Business Cycles

Breunig, Robert; Stegman, Alison - Crawford School of Public Policy, Australian National … - 2003

We examine a Markov Switching model of Singaporean GDP using a combination of formal moment-based tests and informal graphical tests. The tests confirm that the Markov Switching model fits the data better than a linear, autoregressive alternative. The methods are extended to allow us to identify...

Persistent link: https://www.econbiz.de/10005057562