Search Results - subject:"parameter constancy"

A CUSUM test for a long memory heterogeneous autoregressive model

Hwang, Eunju; Shin, Dong Wan - In: Economics Letters 121 (2013) 3, pp. 379-383

A CUSUM test is proposed for testing structural breaks in a long-memory heterogeneous autoregressive model. The limiting distribution of the CUSUM test is shown to be a simple function of a standard Brownian bridge, contrasting with the nuisance parameter dependent asymptotics of other CUSUM...

Persistent link: https://www.econbiz.de/10010729455

Detecting for Smooth Structural Changes in GARCH Models

Chen, Bin; Hong, Yongmiao - 2013

asymptotic N(0,1) distribution under the null hypothesis of parameter constancy and is consistent against a vast class of smooth …

Persistent link: https://www.econbiz.de/10010892095

Economic uncertainty and money demand stability in Turkey

Azim Özdemir, K.; Saygılı, Mesut - In: Journal of Economic Studies 40 (2013) 3, pp. 314-333

function is studied by testing parameter constancy of long‐run money demand function. To this end, the authors perform Nymblom …

Persistent link: https://www.econbiz.de/10014863367

A CUSUM test for a long memory heterogeneous autoregressive model

Hwang, Eunju; Shin, Dong-wan - In: Economics letters 121 (2013) 3, pp. 379-383

Persistent link: https://www.econbiz.de/10010392170

Dickey-Fuller type of tests against nonlinear dynamic models

He, Changli; Sandberg, Rickard - 2005

In this paper we introduce several test statistics of testing the null hypotheses of a random walk (with or without drift) against models that accommodate a smooth nonlinear shift in the level, the dynamic structure, and the trend. We derive analytical limiting distributions for all tests....

Persistent link: https://www.econbiz.de/10010281281

Testing parameter constancy in unit root autoregressive models against continuous change

He, Changli; Sandberg, Rickard - 2005

In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the …

Persistent link: https://www.econbiz.de/10010281297

Testing Parameter Constancy in Unit Root Autoregressive Models Against Continuous Change

He, Changli; Sandberg, Rickard - Economics Institute for Research (SIR), … - 2005

In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the …Testing Parameter Constancy in Unit Root Autoregressive Models against Continuous Change Changli He and Rickard …. JEL classi�cation: C12; C22; C52 Key words: Parameter constancy; LSTAR; unit root; Brownian motion; strong mixing e …

Persistent link: https://www.econbiz.de/10005651511

Dickey-Fuller Type of Tests against Nonlinear Dynamic Models

He, Changli; Sandberg, Rickard - Economics Institute for Research (SIR), … - 2005

(p); LSTART(p); Nonlinear Trends; Parameter Constancy; Unit Root, Brownian motion e-mail:changli.he@hhs.se ye-mail: strs …

Persistent link: https://www.econbiz.de/10005190836

International portfolio diversification opportunities between Turkey and other emerging markets

Dağli, Hüseyin; Sivri, Uğur; Bank, Semra - In: International Journal of Trade and Global Markets 5 (2012) 1, pp. 4-23

relationships and confirmation of parameter constancy imply that the gains from international portfolio diversification for Turkish …

Persistent link: https://www.econbiz.de/10010817095

Evaluating a Global Vector Autoregression for Forecasting

Ericsson, Neil; Reisman, Erica - In: International Advances in Economic Research 18 (2012) 3, pp. 247-258

CitationID="CR13">2007</CitationRef>) with impulse indicator saturation (IIS)—a new generic procedure for evaluating parameter … constancy, which is a central element in model-based forecasting. The empirical results indicate substantial room for an …

Persistent link: https://www.econbiz.de/10010989405