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Generic results for establishing the asymptotic size of confidence sets and tests

Andrews, Donald W. K.; Cheng, Xu; Guggenberger, Patrik - In: Journal of econometrics 218 (2020) 2, pp. 496-531

Persistent link: https://www.econbiz.de/10012483169

Identification‐ and singularity‐robust inference for moment condition models

Andrews, Donald W. K.; Guggenberger, Patrik - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1703-1746

conditional likelihood ratio test confidence set identification inference moment conditions robust singular variance subvector …

Persistent link: https://www.econbiz.de/10012202897

Bootstrap Sequential Determination of the Co-Integration Rank in VAR Models

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - 2010

Determining the co-integrating rank of a system of variables has become a fundamental aspect of applied research in macroeconomics and finance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank of Johansen (1996) can be unreliable in small samples with...

Persistent link: https://www.econbiz.de/10014198029

Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - 2012

In a recent paper Cavaliere et al. (2012) develop bootstrap implementations of the (pseudo-) likelihood ratio [PLR] co-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted parameter estimates...

Persistent link: https://www.econbiz.de/10014166032

Bootstrap Sequential Determination of the Co-Integration Rank in VAR Models

Cavaliere, Giuseppe - 2010

Determining the co-integrating rank of a system of variables has become a fundamental aspect of applied research in macroeconomics and finance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank f Johansen (1996) can be unreliable in small samples with...

Persistent link: https://www.econbiz.de/10013147987

Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions

Boswijk, Herman Peter - 2013

potentially unreliable. Solutions to this inference problem based on Wald tests (using a "sandwich" estimator of the variance …

Persistent link: https://www.econbiz.de/10013072501

Co-Integration Rank Testing under Conditional Heteroskedasticity

Cavaliere, Giuseppe - 2009

We analyse the properties of the conventional Gaussian-based co-integrating rank tests of Johansen (1996) in the case where the vector of series under test is driven by globally stationary, conditionally heteroskedastic (martingale difference) innovations. We first demonstrate that the limiting...

Persistent link: https://www.econbiz.de/10013159424

Inference on co-integration parameters in heteroskedastic vector autoregressions

Boswijk, Herman Peter; Cavaliere, Giuseppe; Rahbek, Anders - 2013

potentially unreliable. Solutions to this inference problem based on Wald tests (using a "sandwich" estimator of the variance …

Persistent link: https://www.econbiz.de/10010225789

Bootstrap co-integration rank testing : the effect of bias-correcting parameter estimates

Cavaliere, Giuseppe; Taylor, Robert; Trenkler, Carsten - 2013

In this paper we investigate bootstrap-based methods for bias-correcting the first-stage parameter estimates used in some recently developed bootstrap implementations of the co-integration rank tests of Johansen (1996). In order to do so we adapt the framework of Kilian (1998) which estimates...

Persistent link: https://www.econbiz.de/10011490238

Inference in VARs with conditional heteroskedasticity of unknown form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - 2014

We derive a framework for asymptotically valid inference in stable vector autoregressive (VAR) models with conditional … parameter estimators and address bootstrap inference as well. Our results are important for correct inference on VAR statistics … also show that wild and pairwise bootstrap schemes fail in the presence of conditional heteroskedasticity if inference on …

Persistent link: https://www.econbiz.de/10011490564