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Random walk or chaos: A formal test on the Lyapunov exponent

Park, Joon Y.; Whang, Yoon-Jae - In: Journal of Econometrics 169 (2012) 1, pp. 61-74

evidence of chaos. …

Persistent link: https://www.econbiz.de/10010577524

Nonlinear regressions with nonstationary time series

Chan, Nigel; Wang, Qiying - In: Journal of Econometrics 185 (2015) 1, pp. 182-195

This paper develops asymptotic theory for a nonlinear parametric cointegrating regression model. We establish a general framework for weak consistency that is easy to apply for various nonstationary time series, including partial sums of linear processes and Harris recurrent Markov chains. We...

Persistent link: https://www.econbiz.de/10011190730

Jumps in equilibrium prices and market microstructure noise

Lee, Suzanne S.; Mykland, Per A. - In: Journal of Econometrics 168 (2012) 2, pp. 396-406

Asset prices observed in financial markets combine equilibrium prices and market microstructure noise. In this paper …, we study how to tell apart large shifts in equilibrium prices from noise using high frequency data. We propose a new … nonparametric test which allows us to asymptotically remove the noise from observable price data and to discover jumps in …

Persistent link: https://www.econbiz.de/10010574085

Semiparametric GMM estimation of spatial autoregressive models

Su, Liangjun - In: Journal of Econometrics 167 (2012) 2, pp. 543-560

We propose semiparametric GMM estimation of semiparametric spatial autoregressive (SAR) models under weak moment conditions. In comparison with the quasi-maximum-likelihood-based semiparametric estimator of Su and Jin (2010), we allow for both heteroscedasticity and spatial dependence in the...

Persistent link: https://www.econbiz.de/10011052236

Stable mixture GARCH models

Broda, Simon A.; Haas, Markus; Krause, Jochen; … - In: Journal of Econometrics 172 (2013) 2, pp. 292-306

A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...

Persistent link: https://www.econbiz.de/10010608465

Model identification for infinite variance autoregressive processes

Andrews, Beth; Davis, Richard A. - In: Journal of Econometrics 172 (2013) 2, pp. 222-234

We consider model identification for infinite variance autoregressive time series processes. It is shown that a consistent estimate of autoregressive model order can be obtained by minimizing Akaike’s information criterion, and we use all-pass models to identify noncausal autoregressive...

Persistent link: https://www.econbiz.de/10010608468

Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach

Chen, Bin; Song, Zhaogang - In: Journal of Econometrics 173 (2013) 1, pp. 83-107

We develop a nonparametric test to check whether a process can be represented by a stochastic differential equation driven only by a Brownian motion. Our testing procedure utilizes the infinitesimal operator-based martingale characterization combined with a generalized spectral approach. Such a...

Persistent link: https://www.econbiz.de/10010608470

Powerful tests for structural changes in volatility

Xu, Ke-Li - In: Journal of Econometrics 173 (2013) 1, pp. 126-142

Detecting structural changes in volatility is important for understanding volatility dynamics and stylized facts observed for financial returns such as volatility persistence. We propose modified CUSUM and LM tests that are built on a robust estimator of the long-run variance of squared series....

Persistent link: https://www.econbiz.de/10010608474

A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation

Hoogerheide, Lennart; Opschoor, Anne; Dijk, Herman K. van - In: Journal of Econometrics 171 (2012) 2, pp. 101-120

A class of adaptive sampling methods is introduced for efficient posterior and predictive simulation. The proposed methods are robust in the sense that they can handle target distributions that exhibit non-elliptical shapes such as multimodality and skewness. The basic method makes use of...

Persistent link: https://www.econbiz.de/10010588322

Rank tests for short memory stationarity

Pelagatti, Matteo M.; Sen, Pranab K. - In: Journal of Econometrics 172 (2013) 1, pp. 90-105

We propose a rank-test of the null hypothesis of short memory stationarity possibly after linear detrending.

Persistent link: https://www.econbiz.de/10010594957

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