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DATA-DRIVEN RATE-OPTIMAL SPECIFICATION TESTING IN REGRESSION MODELS

Guerre, Emmanuel; Lavergne, Pascal - EconWPA - 2004

We propose new data-driven smooth tests for a parametric regression function. The smoothing parameter is selected through a new criterion that favors a large smoothing parameter under the null hypothesis. The resulting test is adaptive rate-optimal and consistent against Pitman local...

Persistent link: https://www.econbiz.de/10005119127

HOW BANKING SYSTEM IN POST-SOVIET ECONOMIES ASSIST TO THEIR DEVELOPMENT. THE CASE STUDY OF ARMENIA

Mnatsakanyan, Hakob; Kanas, Angelos; Rafayelov, Zohrak - EconWPA - 2004

Persistent link: https://www.econbiz.de/10005407976

ON THE ROLE OF WAGES IN THE UKRAINIAN TRANSITION PROCESS : AN EMPIRICAL INVESTIGATION

Fazio, Gioacchino; Hueber, Olivier - EconWPA - 2004

cointegration test, we assert that between January 1992 and November 1995, the Ukraine was faced with a complex monetary regime in …

Persistent link: https://www.econbiz.de/10005407979

Estimating Short and Long Run Relationships: A Guide to the Applied Economist

Rao, Bhaskara - EconWPA - 2005

Many applied economists face problems in selecting an appropriate technique to estimate short and long run relationships with the time series methods. This paper reviews three alternative approaches viz., general to specific (GETS), vector autoregressions (VAR) and the vector error correction...

Persistent link: https://www.econbiz.de/10005556358

The Determinants of the Harare Stock Exchange (HSE) Market Capitalisation

Ilmolelian, Peter - EconWPA - 2005

This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...

Persistent link: https://www.econbiz.de/10005119105

Subsampling Cointegration Ranks in Large Systems

Pu, Chen; Chihying, Hsiao - EconWPA - 2005

In this paper we investigate the possibility of the application of subsampling procedure for testing cointegration … distribution and nuisance parameters in testing for cointegration rank without an explicitly formulated structural model. The … cointegration rank in large scale models, where the standard procedures hits already its limit. For empirical relevant cases our …

Persistent link: https://www.econbiz.de/10005119151

Assessing Forecast Performance in a VEC Model: An Empirical Examination

Zacharias, Bragoudakis - EconWPA - 2005

ability of the model to forecast not only one-period ahead but also many periods into the future. Keywords: Cointegration …

Persistent link: https://www.econbiz.de/10005119198

Nonparametric Regression Estimation for Multivariate Null Recurrent Processes

Cai, Biqing; Tjøstheim, Dag - In: Econometrics 3 (2015) 2, pp. 265-288

This paper discusses nonparametric kernel regression with the regressor being a $d$-dimensional $\beta$-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate $\sqrt{n(T)h^{d}}$, where $n(T)$ is...

Persistent link: https://www.econbiz.de/10011254954

Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor

Bai, Jushan; Ng, Serena - EconWPA - 2004

We consider the situation when there is a large number of series, $N$, each with $T$ observations, and each series has some predictive ability for the variable of interest, $y$. A methodology of growing interest is to first estimate common factors from the panel of data by the method of...

Persistent link: https://www.econbiz.de/10005407875

The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation

Amano, Robert A.; Wirjanto, Tony S. - EconWPA - 1994

We examine the ability of the simple linear-quadratic model under rational expectations to explain dynamic behaviour of aggregate Canadian imports. In contrast to authors of previous studies who examine dynamic behaviour using the LQ model, we estimate the structural parameters using the Euler...

Persistent link: https://www.econbiz.de/10005407876