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Persistent link: https://www.econbiz.de/10011430513
The purpose of this paper is to investigate the asymptotic null distribution of stationarity and nonstationarity tests when the distribution of the error term belongs to the normal domain of attraction of a stable law in any finite sample but the error term is an i.i.d. process with finite...
Persistent link: https://www.econbiz.de/10005641886
Persistent link: https://www.econbiz.de/10010438367
Persistent link: https://www.econbiz.de/10013472761
Various versions of the wild bootstrap are studied as applied to regression models with heteroskedastic errors. We develop formal Edgeworth expansions for the error in the rejection probability (ERP) of wild bootstrap tests based on asymptotic t statistics computed with a heteroskedasticity...
Persistent link: https://www.econbiz.de/10011940627
In the current paper, the finite-sample stability of various implementations of the KPSS test is studied. The implementations considered differ in how the so-called long-run variance is estimated under the null hypothesis. More specifically, the effects that the choice of kernel, the value of...
Persistent link: https://www.econbiz.de/10013208507
We introduce test statistics based on generalized empirical likelihood methods that can be used to test simple hypotheses involving the unknown parameter vector in moment condition time series models. The test statistics generalize those in Guggenberger and Smith (2005) from the i.i.d. to the...
Persistent link: https://www.econbiz.de/10005509537
Stationarity tests exhibit extreme size distortions if the observable process is stationary yet highly persistent. In this paper we provide a theoretical explanation for the size distortion of the KPSS test for DGPs with a broad range of first order autocorrelation coefficient. Considering a...
Persistent link: https://www.econbiz.de/10008556950
This paper investigates the size properties of a two-stage test in the linear instrumental variables model when in the first stage a Hausman (1978) specification test is used as a pretest of exogeneity of a regressor. In the second stage, a simple hypothesis about a component of the structural...
Persistent link: https://www.econbiz.de/10005087359
Various versions of the wild bootstrap are studied as applied to regression models with heteroskedastic errors. We develop formal Edgeworth expansions for the error in the rejection probability (ERP) of wild bootstrap tests based on asymptotic t statistics computed with a heteroskedasticity...
Persistent link: https://www.econbiz.de/10005688316