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Gao, Jiti; Hong, Han - Department of Econometrics and Business Statistics, … - 2014

In this paper we study a statistical method of implementing quasi-Bayes estimators for nonlinear and nonseparable GMM models, that is motivated by the ideas proposed in Chernozhukov and Hong (2003) and Creel and Kristensen (2011) and that combines simulation with nonparametric regression in the...

Persistent link: https://www.econbiz.de/10011093867

Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors

Zhang, Xibin; King, Maxwell L. - Department of Econometrics and Business Statistics, … - 2004

This paper presents a Markov chain Monte Carlo (MCMC) algorithm to estimate parameters and latent stochastic processes in the asymmetric stochastic volatility (SV) model, in which the Box-Cox transformation of the squared volatility follows an autoregressive Gaussian distribution and the...

Persistent link: https://www.econbiz.de/10005149031

Local Linear Multivariate Regression with Variable Bandwidth in the Presence of Heteroscedasticity

Ye, Azhong; Hyndman, Rob J; Li, Zinai - Department of Econometrics and Business Statistics, … - 2006

We present a local linear estimator with variable bandwidth for multivariate nonparametric regression. We prove its consistency and asymptotic normality in the interior of the observed data and obtain its rates of convergence. This result is used to obtain practical direct plug-in bandwidth...

Persistent link: https://www.econbiz.de/10005149087

Specification Testing in Structural Nonparametric Cointegration

Dong, Chaohua; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2014

class of cointegrated time series models with endogeneity and nonsta-tionarity. The paper then establishes an asymptotic … covering a class of non-integrable functions. Endogeneity in two general forms is allowed in the models to be tested. A … test is naturally applicable to the case where there is a type of endogeneity inherited in the relationship between the …

Persistent link: https://www.econbiz.de/10010958939

Specification Testing for Nonlinear Multivariate Cointegrating Regressions

Dong, Chaohua; Gao, Jiti; Tjostheim, Dag; Yin, Jiying - Department of Econometrics and Business Statistics, … - 2014

This paper considers a general model specification test for nonlinear multivariate cointegrating regressions where the regressor consists of a univariate integrated time series and a vector of stationary time series. The regressors and the errors are generated from the same innovations, so that...

Persistent link: https://www.econbiz.de/10010958948

A Model Validation Procedure

Polak, Julia; King, Maxwell L.; Zhang, Xibin - Department of Econometrics and Business Statistics, … - 2014

Statistical models can play a crucial role in decision making. Traditional model validation tests typically make restrictive parametric assumptions about the model under the null and the alternative hypotheses. The majority of these tests examine one type of change at a time. This paper presents...

Persistent link: https://www.econbiz.de/10011141012

Assessing the Magnitude of the Concentration Parameter in a Simultaneous Equations Model

Poskitt, D. S.; Skeels, C. L. - Department of Econometrics and Business Statistics, … - 2004

Poskitt and Skeels (2003) provide a new approximation to the sampling distribution of the IV estimator in a simultaneous equations model. This approximation is appropriate when the concentration parameter associated with the reduced form model is small and a basic purpose of this paper is to...

Persistent link: https://www.econbiz.de/10005581131

Dual P-Values, Evidential Tension and Balanced Tests

Poskitt, D.S.; Sengarapillai, Arivalzahan - Department of Econometrics and Business Statistics, … - 2010

In the classical approach to statistical hypothesis testing the role of the null hypothesis H0 and the alternative H1 is very asymmetric. Power, calculated from the distribution of the test statistic under H1, is treated as a theoretical construct that can be used to guide the choice of an...

Persistent link: https://www.econbiz.de/10008495166

On the Nature and Role of Hypothesis Tests.

McLean, A. - Department of Econometrics and Business Statistics, … - 2001

Hypothesis testing is widely regarded as an essential part of statistics, but it s use in research has led to considerable controversy in a number of disciplines, especially psychology, with a number of commentators suggesting it should not be used at all. A root cause of this controversy was...

Persistent link: https://www.econbiz.de/10005149047

Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short- and Long-Memory Processes

Khan, Md Atikur Rahman; Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2011

In this paper we propose a new methodology for selecting the window length in Singular Spectral Analysis in which the window length is determined from the data prior to the commencement of modeling. The selection procedure is based on statistical tests designed to test the convergence of the...

Persistent link: https://www.econbiz.de/10009320586

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