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A Generalized Fast Algorithm for BDS-Type Statistics

Mayer-Foulkes, David - In: Studies in Nonlinear Dynamics & Econometrics 4 (2007) 1, pp. 45-50

's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram …

Persistent link: https://www.econbiz.de/10004966222

A Fast Algorithm for the BDS Statistic

LeBaron, Blake - In: Studies in Nonlinear Dynamics & Econometrics 2 (1997) 2, pp. 53-59

The BDS statistic has proved to be one of several useful nonlinear diagnostics. It has been shown to have good power …, extensive Monte Carlo results have proved it useful in relatively small samples. However, the BDS test is not trivial to … short paper presents a fast algorithm for the BDS statistic, and outlines how these speed improvements are achieved. Source …

Persistent link: https://www.econbiz.de/10005751410

A Generalized Fast Algorithm for BDS-Type Statistics

Mayer-Foulkes, David - In: Studies in Nonlinear Dynamics & Econometrics 4 (2000) 1, pp. 45-50

's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram …

Persistent link: https://www.econbiz.de/10005584891

An Improved Nonparametric Unit-Root Test

Gao, Jiti; King, Maxwell - Department of Econometrics and Business Statistics, … - 2012

This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined.

Persistent link: https://www.econbiz.de/10010860412

Specification Testing in Nonstationary Time Series Models

Chen, Jia; Gao, Jiti; Li, Degui; Lin, Zhengyan - Department of Economics and Related Studies, University … - 2014

In this paper, we consider a specification testing problem in nonlinear time series models with nonstationary regressors and propose using a nonparametric kernel-based test statistic. The nullasymptotics for the proposed nonparametric test statistic have been well developed in the existing...

Persistent link: https://www.econbiz.de/10010932928

Bootstrapping the Information Matrix Test

Stomberg, Christopher; White, Halbert - Department of Economics, University of California-San … - 2000

In this paper we provide considerable Monte Carlo evidence on the finite sample performance of several alternative forms of White's [1982] IM test. Using linear regression and probit models, we extend the range of previous analysis in a manner that reveals new patterns in the behavior of the...

Persistent link: https://www.econbiz.de/10010536462

Correct Specification and Identification of Nonparametric Transformation Models

Chiappori, Pierre-André; Komunjer, Ivana - Becker Friedman Institute for Research in Economics, … - 2008

This paper derives necessary and sufficient conditions for nonparametric transformation models to be (i) correctly specified, and (ii) identified. Our correct specification conditions come in a form of partial differential equations; when satisfied by the true distribution, they ensure that the...

Persistent link: https://www.econbiz.de/10009399809

Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators

HAGMANN, Matthias; SCAILLET, Olivier - Swiss Finance Institute - 2003

We consider semiparametric asymmetric kernel density estimators when the unknown density has support on [0, ¥). We provide a unifying framework which contains asymmetric kernel versions of several semiparametric density estimators considered previously in the literature. This framework allows...

Persistent link: https://www.econbiz.de/10005771843

Nonparametric Time-Varying Coefficient Panel Data Models with Fixed Effects

GAO, Jiti; Li, Degui; Chen, Jia - School of Economics, University of Adelaide - 2010

This paper is concerned with developing a nonparametric time-varying coefficient model with fixed effects to characterize nonstationarity and trending phenomenon in nonlinear panel data analysis. We develop two methods to estimate the trend function and the coefficient function without taking...

Persistent link: https://www.econbiz.de/10008462874

A nonparametric test of exogeneity

Blundell, Richard; Horowitz, Joel - Centre for Microdata Methods and Practice (CEMMAP) - 2004

This paper is concerned with inference about a function g that is identified by a conditional moment restriction involving instrumental variables. The function is nonparametric. It satisfies mild regularity conditions but is otherwise unknown. The paper presents test of the hypothesis that g is...

Persistent link: https://www.econbiz.de/10005509559