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Goodness-of-fit test for specification of semiparametric copula dependence models

Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - 2013

This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first propose a new test constructed via the comparison between "in-sample" and "out-of-sample" pseudolikelihoods, which avoids the use of any probability integral transformations. Under...

Persistent link: https://www.econbiz.de/10009789426

Normality tests for latent variables

Almuzara, Martín; Amengual, Dante; Sentana, Enrique - In: Quantitative economics : QE ; journal of the … 10 (2019) 3, pp. 981-1017

We exploit the rationale behind the Expectation Maximization algorithm to derive simple to implement and interpret LM normality tests for the innovations of the latent variables in linear state space models against generalized hyperbolic alternatives, including symmetric and asymmetric Student...

Persistent link: https://www.econbiz.de/10012049323

An alternative conditional asymmetry specification for stock returns

Brännäs, Kurt; Nordman, Niklas - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the … NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a … skewness that varies between sizeable negative skewness and almost symmetry. The conditional variance and skewness measures are …

Persistent link: https://www.econbiz.de/10011398115

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...

Persistent link: https://www.econbiz.de/10009767120

Variable Selection, Estimation and Inference for Multi-Period Forecasting Problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2011

This paper conducts a broad-based comparison of iterated and direct multi-period forecasting approaches applied to both univariate and multivariate models in the form of parsimonious factor-augmented vector autoregressions. To account for serial correlation in the residuals of the multi-period...

Persistent link: https://www.econbiz.de/10014042344

Non-Stationary and No Moments Asymptotics of the Arch Model

Rahbek, Anders; Jensen, Soren Tolver - 2002

We establish consistency and asymptotic normality of the quasi-maximum likelihood estimator in the linear ARCH model. Contrary to existing literature we allow the parameters to be in the region where no stationary version of the process exists

Persistent link: https://www.econbiz.de/10014104835

A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter

Tsay, Wen-jen - 2017

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

Persistent link: https://www.econbiz.de/10012966243

Modeling Time Series with Both Permanent and Transient Components Using the Partially Autoregressive Model

Clegg, Matthew - 2015

A time series model is discussed that incorporates both permanent and transient effects. Estimation techniques are given, and the power of the likelihood ratio test is assessed. When applied to the monthly price/earnings series of the S&P 500 over the period 1871-2013, both permanent and...

Persistent link: https://www.econbiz.de/10013029325

Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...

Persistent link: https://www.econbiz.de/10014024953

A Difference Estimator for Testing Equality of Variances for Paired Time Series

Cooil, Bruce; Froeb, Luke M. - 2012

A difference estimator of the standard error for the difference in variances of paired time series is proposed. The difference estimator uses the independence of periodogram ordinates to remove nuisance parameters. The difference estimator is easier to compute than one centered on the smoothed...

Persistent link: https://www.econbiz.de/10014026201