Similar Search Results

Leippold, Markus; Lohre, Harald - Institut für Schweizerisches Bankwesen <Zürich> - 2007

International evidence on the accrual anomaly is sparse and conﬂicting. Testing for accrual mispricing in 28 equity markets, we provide statistical evidence for anomalous returns in some countries. However, we question whether this result might have occurred by chance alone and that it might...

Persistent link: https://www.econbiz.de/10005858030

Simple tests for exogeneity of a binary explanatory variable in count data regression models

Staub, Kevin E. - 2009

This article investigates power and size of some tests for exogeneity of a binary explanatory variable in count models by conducting extensive Monte Carlo simulations. The tests under consideration are Hausman contrast tests as well as univariate Wald tests, including a new test of notably easy...

Persistent link: https://www.econbiz.de/10003894183

Adaptive rate-optimal detection of small autocorrelation coefficient

Guay, Alain; Guerre, Emmanuel; Lazarová, Štepána - 2009

A new test is proposed for the null of absence of serial correlation. The test uses a data-driven smoothing parameter. The resulting test statistic has a standard limit distribution under the null. The smoothing parameter is calibrated to achieve rate-optimality against several classes of...

Persistent link: https://www.econbiz.de/10003850599

Tests of conditional predictive ability : some simulation evidence

McCracken, Michael W. - 2019

In this note we provide simulation evidence on the size and power of tests of predictive ability described in Giacomini and White (2006). Our goals are modest but non-trivial. First, we establish that there exist data generating processes that satisfy the null hypotheses of equal finite-sample...

Persistent link: https://www.econbiz.de/10011998061

Robust tests for white noise and cross-correlation

Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2020

Commonly used tests to assess evidence for the absence of autocorrelation in a univariate time series or serial cross-correlation between time series rely on procedures whose validity holds for i.i.d. data. When the series are not i.i.d., the size of correlogram and cumulative Ljung-Box tests...

Persistent link: https://www.econbiz.de/10012243279

Tests of conditional predictive ability : a comment

McCracken, Michael W. - 2019

We investigate a test of equal predictive ability delineated in Giacomini and White (2006; Econometrica). In contrast to a claim made in the paper, we show that their test statistic need not be asymptotically Normal when a fixed window of observations is used to estimate model parameters. An example...

Persistent link: https://www.econbiz.de/10012064875

Getting PPP right : identifying mean-reverting real exchange rates in panels

Chortareas, Georgios E. (contributor); … - 2008

real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as … a small number of real exchange rates in a given panel may drive the results. In this paper we examine the PPP … when applied to a set of established panel-unit-root tests, allows the identification of the real exchange rates that are …

Persistent link: https://www.econbiz.de/10003740322

Energy prices and the real exchange rate of commodity-exporting countries

Dauvin, Magali - 2013

1980-2011. Estimating a panel cointegrating relationship between the real exchange rate and its fundamentals, we provide … evidence for the existence of "energy currencies". Relying on the estimation of panel smooth transition regression (PSTR …

Persistent link: https://www.econbiz.de/10010225994

A nonlinear panel model of cross-sectional dependence

Kapetanios, George; Mitchell, James; Shin, Yongcheol - 2010

This paper proposes a new panel model of cross-sectional dependence. The model has a number of potential structural … approach to the modelling of interactions across panel units and can generate endogenous cross-sectional dependence that can … study and two empirical illustrations. -- Cross-sectional dependence ; Nonlinearity ; Factor models ; Panel models ; Fixed …

Persistent link: https://www.econbiz.de/10008728710

Tourism and economic growth in Latin American countries : a panel data approach

Eugenio-Martín, Juan Luis; Morales, Noelia Martín; … - 2004

. The analysis proposed is based on a panel data approach and the Arellano-Bond estimator for dynamic panels. We obtain …, and investment in infrastructures. We employ a generalised least squares AR(1) panel data model. The results provide …

Persistent link: https://www.econbiz.de/10011600070