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Nonparametric rank tests for non-stationary panels

Pedroni, Peter L.; Vogelsang, Timothy J.; Wagner, Martin; … - In: Journal of Econometrics 185 (2015) 2, pp. 378-391

We develop a set of nonparametric rank tests for non-stationary panels based on multivariate variance ratios which use untruncated kernels. As such, the tests do not require the choice of tuning parameters associated with bandwidth or lag length and also do not require choices with respect to...

Persistent link: https://www.econbiz.de/10011190711

Robust inference in nonstationary time series models

Xiao, Zhijie - In: Journal of Econometrics 169 (2012) 2, pp. 211-223

This paper studies robust inference in unit root and cointegration models. The analysis covers a range of important …, and testing for cointegration. We analyze these inference problems in a unified regression framework, although separate …

Persistent link: https://www.econbiz.de/10010664707

A simple test for regression specification with non-nested alternatives

Hagemann, Andreas - In: Journal of Econometrics 166 (2012) 2, pp. 247-254

In this paper, I introduce a simple test for the presence of the data-generating process among several non-nested alternatives. The test is an extension of the classical J test for non-nested regression models. I also provide a bootstrap version of the test that avoids possible size distortions...

Persistent link: https://www.econbiz.de/10010574095

Multi-scale tests for serial correlation

Gençay, Ramazan; Signori, Daniele - In: Journal of Econometrics 184 (2015) 1, pp. 62-80

This paper introduces a new family of portmanteau tests for serial correlation. Using the wavelet transform, we decompose the variance of the underlying process into the variance of its low frequency and of its high frequency components and we design a variance ratio test of no serial...

Persistent link: https://www.econbiz.de/10011077599

A residual-based ADF test for stationary cointegration in I(2) settings

Gomez-Biscarri, Javier; Hualde, Javier - In: Journal of Econometrics 184 (2015) 2, pp. 280-294

cointegration within a system that may contain both I(2) and I(1) observables. The test is also consistent under the alternative of … stationary cointegration which overcomes the drawback, suffered by any residual-based method, of the lack of power with respect …

Persistent link: https://www.econbiz.de/10011117421

Testing conditional independence via empirical likelihood

Su, Liangjun; White, Halbert - In: Journal of Econometrics 182 (2014) 1, pp. 27-44

We construct two classes of smoothed empirical likelihood ratio tests for the conditional independence hypothesis by writing the null hypothesis as an infinite collection of conditional moment restrictions indexed by a nuisance parameter. One class is based on the CDF; another is based on smoother...

Persistent link: https://www.econbiz.de/10010785278

Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix

Lee, Wei-Ming; Kuan, Chung-Ming; Hsu, Yu-Chin - In: Journal of Econometrics 181 (2014) 2, pp. 181-193

We propose new over-identifying restriction (OIR) tests that are robust to heteroskedasticity and serial correlations of unknown form. The proposed tests do not require consistent estimation of the asymptotic covariance matrix and hence avoid choosing the bandwidth in nonparametric kernel...

Persistent link: https://www.econbiz.de/10010785290

Modelling volatility by variance decomposition

Amado, Cristina; Teräsvirta, Timo - In: Journal of Econometrics 175 (2013) 2, pp. 142-153

In this paper, we propose two parametric alternatives to the standard GJR-GARCH model of Glosten et al. (1993), based on additive and multiplicative decompositions of the variance. They allow the variance of the model to have a smooth time-varying structure. The suggested parameterizations...

Persistent link: https://www.econbiz.de/10011052196

Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments

Hsu, Shih-Hsun; Kuan, Chung-Ming - In: Journal of Econometrics 165 (2011) 1, pp. 87-99

A well-known difficulty in estimating conditional moment restrictions is that the parameters of interest need not be globally identified by the implied unconditional moments. In this paper, we propose an approach to constructing a continuum of unconditional moments that can ensure parameter...

Persistent link: https://www.econbiz.de/10011052203

Testing cointegration relationship in a semiparametric varying coefficient model

Gu, Jingping; Liang, Zhongwen - In: Journal of Econometrics 178 (2014) P1, pp. 57-70

In this paper, we develop two cointegration tests for two varying coefficient cointegration regression models … hypothesis of cointegration and show that they are consistent against the alternative hypotheses. We also propose a wild … existing results from linear cointegration tests, our varying coefficient cointegration test does not reject that PPP holds …

Persistent link: https://www.econbiz.de/10011052207