Search Results - subject:"test"

Asymptotic F and t tests in cointegrating regressions with asymptotically homogeneous functions

Hwang, Jungbin; Sun, Yixiao - 2025

Persistent link: https://www.econbiz.de/10015183163

Spatial unit roots in regressions : a practitioner’s guide and a stata package

Becker, Sascha O.; Boll, P. David; Voth, Hans-Joachim - 2025

Müller and Watson (2024) to test for and correct for spatial unit roots. We also introduce a suite of Stata commands (-spur …

Persistent link: https://www.econbiz.de/10015191744

Testing for multiple structural breaks in multivariate long memory regression models

Less, Vivien; Rodrigues, Paulo M. M.; Sibbertsen, Philipp - 2025

This paper focuses on the estimation and testing of multiple breaks that occur at unknown dates in multivariate long memory time series regression models, allowing for fractional cointegration. A likelihood-ratio based approach for estimating the breaks in the parameters and in the covariance of...

Persistent link: https://www.econbiz.de/10015200188

On testing for bubbles during hyperinflations

Morita, Rubens; Psaradakis, Zacharias G.; Sola, Martin; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 1, pp. 25-37

Persistent link: https://www.econbiz.de/10014506885

Bonferroni type tests for return predictability and the initial condition

Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 499-515

Persistent link: https://www.econbiz.de/10015053422

Testing for nonlinear cointegration under heteroskedasticity

Hanck, Christoph; Massing, Till Philipp Georg - In: Econometric reviews 44 (2025) 4, pp. 512-543

Persistent link: https://www.econbiz.de/10015196620

An IID test for functional time series with applications to high-frequency VIX index data

Huang, Xin; Shang, Han Lin; Siu, Tak Kuen - In: Risks : open access journal 13 (2025) 2, pp. 1-25

an IID test for functional time series by generalizing the Brock-Dechert-Scheinkman (BDS) test, which is commonly used … for testing nonlinear independence. Similarly to the BDS test, the proposed functional BDS test can be used to evaluate … the suitability of prediction models as a model specification test and to detect nonlinear structures as a nonlinearity …

Persistent link: https://www.econbiz.de/10015333723