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Finite sample of the Durbin-Watson test against fractionally integrated disturbances

Kleiber, Christian; Krämer, Walter - 2004

We consider the finite sample power of various tests against serial correlation in the disturbances of a linear … regression when these disturbances follow a stationary long memory process. It emerges that the power depends on the form of the … the disturbances, the power can drop to zero for certain regressors. We also provide a means to detect this zero-power …

Persistent link: https://www.econbiz.de/10010516924

On fractionally integrated logistic smooth transitions in time series

Shittu, Olanrewaju I.; Yaya, OlaOlua S. - In: CBN journal of applied statistics 2 (2011) 1, pp. 1-13

Long memory and nonlinearity are two key features of some macroeconomic time series which are characterized by persistent shocks that seem to rise faster during recession than it falls during expansion. A variant of nonlinear time series model together with long memory are used to examine these...

Persistent link: https://www.econbiz.de/10011477601

A Simple Test for Linearity Against Exponential Smooth Transition Models with Endogenous Variables

Massacci, Daniele - 2017

This paper proposes a test for linearity against exponential smooth transition models with endogenous right-hand-side variables: to the very best of our knowledge, this class of models is new to the literature. By Monte Carlo analysis the test is shown to have good finite sample properties

Persistent link: https://www.econbiz.de/10014176554

Testing for long memory against ESTAR nonlinearities

Kuswanto, Heri; Sibbertsen, Philipp - 2009

good size and power properties to distinguish between stationary long memory and ESTAR. Moreover, the second approach is … shown to have more power. -- directed-Wald test ; ESTAR ; long memory …

Persistent link: https://www.econbiz.de/10003877585

How to implement the bootstrap in static or stable dynamic regression models

Giersbergen, Noud P. A. van; Kiviet, J. F. - 2001

power problems, whereas the remaining two areadequate and in fact equivalent. The equivalence between the two valid …

Persistent link: https://www.econbiz.de/10011325661

Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models

Dufour, Jean-Marie - 2018

tests have very respectable power in comparison to the optimal tests for Markov-switching parameters of Carrasco et al …

Persistent link: https://www.econbiz.de/10012923738

Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models

Dufour, Jean-Marie - 2017

tests have very respectable power in comparison to the optimal tests for Markov-switching parameters of Carrasco …

Persistent link: https://www.econbiz.de/10012966691

A Convergent T-Statistic in Spurious Regressions

Sun, Yixiao - 2003

heteroscedasiticity and autocorrelation consistent (HAC) standard error estimate with the bandwidth equal to the sample size. Using …

Persistent link: https://www.econbiz.de/10014089702

Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models

Drost, Feike C.; Akker, Ramon van den; Werker, Bas J. M. - 2008

Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integer-valued phenomena that evolve over time. The distribution of an INAR(p) process is essentially described by two parameters: a vector of autoregression coefficients and a probability distribution on...

Persistent link: https://www.econbiz.de/10014050438

Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued Ar(P) Models

Drost, Feike C.; Akker, Ramon van den; Werker, Bas J. M. - 2013

Persistent link: https://www.econbiz.de/10014217553