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Panel cointegration testing in the presence of a time trend
Droge, Bernd; Örsal, Deniz Dilan Karaman - 2009
The purpose of this paper is to propose a new likelihood-based panel cointegration test in the presence of a linear … & Lütkepohl (2000) for trend-adjusted data to the panel data framework, and is called the panel SL test. The idea is first to take … power in small samples. -- Panel cointegration Test ; likelihood ratio ; time trend ; Monte Carlo study …
Persistent link: https://www.econbiz.de/10003796158
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A correction function approach to solve the incidental parameter problem
Li, Guangjie; Leon-Gonzalez, Roberto - 2009
under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is … unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental … in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter …
Persistent link: https://www.econbiz.de/10003817215
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Testing for Granger causality in large mixed-frequency VARs
Götz, Thomas B.; Hecq, Alain W. J.; Smeekes, Stephan - 2015
We analyze Granger causality testing in a mixed-frequency VAR, where the difference in sampling frequencies of the variables is large. Given a realistic sample size, the number of high-frequency observations per low-frequency period leads to parameter proliferation problems in case we attempt to...
Persistent link: https://www.econbiz.de/10011415576
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A Bayesian approach to backtest overfitting
Witzany, Jiří - 2017
Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical technique to prevent model overfitting such as out-sample back-testing turns out to be unreliable in the situation when selection is based on...
Persistent link: https://www.econbiz.de/10011722180
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Testing part of a DSGE model by indirect inference
Minford, Patrick; Wickens, Michael R.; Xu, Yongdeng - 2016
We propose a new type of test. Its aim is to test subsets of the structural equations of a DSGE model. The test draws on the statistical inference for limited information models and the use of indirect inference to test DSGE models. Using Monte Carlo experiments on two subsets of equations of...
Persistent link: https://www.econbiz.de/10011688786
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Detecting serial dependence in tail events
Diks, Cees G. H. - 2002
A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...
Persistent link: https://www.econbiz.de/10011327543
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Simulated classical tests in the multiperiod multinomial probit model
Ziegler, Andreas - 2002
This paper compares different versions of the simulated counterparts of the Wald test, the score test, and the likelihood ratio test in the multiperiod multinomial probit model. Monte Carlo experiments show that the simple form of the simulated likelihood ratio test delivers the most favorable...
Persistent link: https://www.econbiz.de/10011447384
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Some exact tests for manifest properties of latent trait models
Gooijer, Jan G. de; Yuan, Ao - 2010 - Version 23 April 2010
Item response theory is one of the modern test theories with applications in educational and psychological testing. Recent developments made it possible to characterize some desired properties in terms of a collection of manifest ones, so that hypothesis tests on these traits can, in principle,...
Persistent link: https://www.econbiz.de/10011380175
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Simple tests for exogeneity of a binary explanatory variable in count data regression models
Staub, Kevin E. - 2009
This article investigates power and size of some tests for exogeneity of a binary explanatory variable in count models by conducting extensive Monte Carlo simulations. The tests under consideration are Hausman contrast tests as well as univariate Wald tests, including a new test of notably easy...
Persistent link: https://www.econbiz.de/10003894183
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Testing for threshold effect in ARFIMA models : application to US unemployment rate data
Lahiani, Amine; Scaillet, Olivier - 2008
Macroeconomic time series often involve a threshold effect in their ARMA representation, and exhibit long memory features. In this paper we introduce a new class of threshold ARFIMA models to account for this. The threshold effect is introduced in the autoregressive and/or the fractional...
Persistent link: https://www.econbiz.de/10003966199