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We propose a new hypothesis-testing method for multipredictor regressions in small samples, where the dependent variable is regressed on lagged variables that are autoregressive. The new test is based on the augmented regression method (Amihud and Hurvich, 2004), which produces reduced-bias...
Persistent link: https://www.econbiz.de/10005564137
Studies of predictive regressions analyze the case where yt is predicted by xt - 1 with xt being first-order autoregressive, AR(1). Under some conditions, the OLS-estimated predictive coefficient is known to be biased. We analyze a predictive model where yt is predicted by xt - 1,...
Persistent link: https://www.econbiz.de/10008494455
Standard predictive regressions produce biased coefficient estimates in small samples when the regressors are Gaussian first-order autoregressive with errors that are correlated with the error series of the dependent variable. See Stambaugh (1999) for the single regressor model. This paper...
Persistent link: https://www.econbiz.de/10005140443
Persistent link: https://www.econbiz.de/10005428992
We establish sufficient conditions on durations that are stationary with finite variance and memory parameter <inline-graphic>null</inline-graphic> to ensure that the corresponding counting process <italic>N</italic>(<italic>t</italic>) satisfies Var <italic>N</italic>(<italic>t</italic>) ~ <italic>Ct</italic><sup>2</sup> (<italic>C</italic> 0) as <italic>t</italic> → ∞, with the same memory parameter <inline-graphic>null</inline-graphic> that was assumed for the durations. Thus,...
Persistent link: https://www.econbiz.de/10004972597
It has been shown that Akaike information criterion (AIC)-type criteria are asymptotically efficient selectors of the tuning parameter in nonconcave penalized regression methods under the assumption that the population variance is known or that a consistent estimator is available. We relax this...
Persistent link: https://www.econbiz.de/10010971097
We consider a general long memory time series, assumed stationary and linear, but not necessarily Gaussian or generated by a finite-parameter model. For such a process, we derive the asymptotic joint distribution of the normalized periodogram at a fixed, finite collection of Fourier frequencies....
Persistent link: https://www.econbiz.de/10008875791
We propose a new semiparametric estimator of the degree of persistence in volatility for long memory stochastic volatility (LMSV) models. The estimator uses the periodogram of the log squared returns in a local Whittle criterion which explicitly accounts for the noise term in the LMSV model....
Persistent link: https://www.econbiz.de/10005035300
It is generally accepted that many time series of practical interest exhibit strong dependence, i.e., long memory. For such series, the sample autocorrelations decay slowly and log-log periodogram plots indicate a straight-line relationship. This necessitates a class of models for describing...
Persistent link: https://www.econbiz.de/10005098684
Persistent link: https://www.econbiz.de/10005733926