Showing 1 - 10 of 87
In this paper we use Monte Carlo testing techniques for testing linearity against the smooth transition models. The Monte Carlo approach allows us to introduce a new test that differs from the tests existing in the literature in two respects. First, the test is exact in the sense that the...
Persistent link: https://www.econbiz.de/10005423889
of bootstrap testing. In short, all the algorithms work well and lead to tests with correct or close to correct size …. There is thus little or no reason not to use the bootstrap with error component models. …
Persistent link: https://www.econbiz.de/10005649435
In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a...
Persistent link: https://www.econbiz.de/10010281224
When testing for cointegration, the asymptotic inference typically in use can be plagued by size distortion due to an inadequate first order approximation. Hence, for practical purposes the inference can be completely misleading and result in false conclusions regarding the presence of long-run...
Persistent link: https://www.econbiz.de/10005423782
In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a...
Persistent link: https://www.econbiz.de/10005423858
This paper investigates the small sample size and power properties of the likelihood ratio test in the seasonal error correction model. Two specifications of the model at the annual frequency are analyzed. One is more restricted (RS), designed for the particular case of 'synchronous...
Persistent link: https://www.econbiz.de/10005423875
. This paper demonstrates how the bootstrap can be implemented to correct for such size distortions. It is shown that a well …-designed bootstrap test based on the MRR and GPH tests is exact, and a procedure based on the REG test is nearly exact. …
Persistent link: https://www.econbiz.de/10005423891
This paper presents a likelihood-based panel test of cointegrating rank in heterogeneous panel models based on the mean of the individual rank trace statistics. The existence of the first two moments of the asymptotic distribution of the individual trace statistic is established. Based on this,...
Persistent link: https://www.econbiz.de/10005649283
may adversely affect its power. This paper discusses an alternative procedure, based on a parametric bootstrap of a …, indicate that the power of the bootstrap test is inferior to that of the existing test. …
Persistent link: https://www.econbiz.de/10005649293
We demonstrate that panel unit root tests can have high power when a small fraction of the series are stationary and may lack power when a large fraction is stationary. The acceptance or rejection of the null is thus not sufficient evidence to conclude that all series have a unit root or that...
Persistent link: https://www.econbiz.de/10005651508