Search Results - subject:"nuisance parameter"

Performance of nonlinear instrumental variable unit root tests using recursive detrending methods

Lee, Hyejin; Meng, Ming; Lee, Junsoo - In: Economics Letters 117 (2012) 1, pp. 214-216

We examine the performance of nonlinear instrumental variable (NIV) unit root tests using various recursive detrending methods. We find that the NIV unit root tests using the recursive detrending method of Chang (2002) are the most powerful. They are more powerful than OLS based DF tests.

Persistent link: https://www.econbiz.de/10010580544

The BDS test as a test for the adequacy of a GARCH (1,1) specification: A Monte Carlo study

Caporale, Guglielmo Maria; Ntantamis, Christos; … - 2004

, Econometric Reviews, 15, 237-259) for the nuisance-parameter free property to hold, and address the issue of their necessity …

Persistent link: https://www.econbiz.de/10010293730

The BDS test as a test for the adequacy of a GARCH(1,1) specification: a Monte Carlo study

Caporale, GM; Ntantamis, C; Pantelidis, T; Pittis, N - 2004

derived by De Lima (1996, Econometric Reviews, 15, 237-259) for the nuisance-parameter free property to hold, and address the …

Persistent link: https://www.econbiz.de/10009481433

The Bds Test As A Test For The Adequacy Of A Garch(1,1) Specification: A Monte Carlo Study

Caporale, GM; Ntantamis, C; Pantelidis, T; Pittis, N - 2004

derived by De Lima (1996, Econometric Reviews,15, 237-259) for the nuisance-parameter free property to hold, and address the …

Persistent link: https://www.econbiz.de/10009481460

The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification. A Monte Carlo Study

Caporale, Guglielmo Maria; Ntantamis, Christos; … - Department of Economics and Finance Research and … - 2004

, Econometric Reviews, 15, 237-259) for the nuisance-parameter free property to hold, and address the issue of their necessity …

Persistent link: https://www.econbiz.de/10005764201

Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models

DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude - Centre Interuniversitaire de Recherche en Économie … - 2003

We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical...

Persistent link: https://www.econbiz.de/10005133089

Adjustments of profile likelihood through predictive densities

Pace, Luigi; Salvan, Alessandra; Ventura, Laura - In: Annals of the Institute of Statistical Mathematics 63 (2011) 5, pp. 923-937

Persistent link: https://www.econbiz.de/10009325289

A test for the presence of central bank intervention in the foreign exchange market with an application to the Bank of Canada

Hodgson, Douglas - In: Empirical Economics 41 (2011) 3, pp. 681-701

Persistent link: https://www.econbiz.de/10009400109

Bootstrap estimation of actual significance levels for tests based on estimated nuisance parameters

Yao, Qiwei; Yang, Wengyan; Tong, Howell - London School of Economics (LSE) - 2001

Often for a non-regular parametric hypothesis, a tractable test statistic involves a nuisance parameter. A common … practice is to replace the unknown nuisance parameter by its estimator. The validality of such a replacement can only be … under the null hypothesis is unchanged when the nuisance parameter is replaced by its estimator (Crowder M.J. 1990 …

Persistent link: https://www.econbiz.de/10010745781

Testing for linearity in Markov switching models: a bootstrap approach

Sanzo, Silvestro Di - In: Statistical Methods and Applications 18 (2009) 2, pp. 153-168

Persistent link: https://www.econbiz.de/10004995412