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Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters
Demetrescu, Matei; Hanck, Christoph; Kruse‐Becher, … - In: Journal of Applied Econometrics 37 (2022) 5, pp. 1010-1030
prove a wild bootstrap implementation to restore asymptotically pivotal inference for the above and new CUSUM‐ and Cramér … ability: wild bootstrap inference typically yields convincing evidence for advantages of the SPF, while tests using non …
Persistent link: https://www.econbiz.de/10013383877
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Testing for vector autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - 2002
In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which … is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any … Monte Carlo investigation empirical size and power properties of the new method are illustrated. We compare the bootstrap …
Persistent link: https://www.econbiz.de/10010310809
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Statistical Methods for Distributional Analysis
Cowell, Franck A.; Flachaire, Emmanuel - 2015
This Chapter is about the techniques, formal and informal, that are commonly used to give quantitative answers in the field of distributional analysis - covering subjects including inequality, poverty and the modelling of income distributions. It deals with parametric and non-parametric...
Persistent link: https://www.econbiz.de/10011167286
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Improved tests for spatial correlation
Robinson, Peter M.; Rossi, Francesca - London School of Economics (LSE) - 2013
be attained. We thus develop tests with more accurate size properties, by means of Edgeworth expansions and the bootstrap …
Persistent link: https://www.econbiz.de/10011126356
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Testing for vector autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 2002
In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which … is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any … Monte Carlo investigation empirical size and power properties of the new method are illustrated. We compare the bootstrap …
Persistent link: https://www.econbiz.de/10010956345
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Identification, Weak Instruments and Statistical Inference in Econometrics
Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2003
We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...
Persistent link: https://www.econbiz.de/10005100952
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Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates
Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003
This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the adjustment toward PPP is symmetric from above and below. Using alternative nonlinear models, our results support mean reversion and asymmetric adjustment dynamics. We find differences...
Persistent link: https://www.econbiz.de/10005769039
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Regional Financial Spillovers Across Europe; A Global VAR Analysis
Sgherri, Silvia; Galesi, Alessandro - International Monetary Fund (IMF) - 2009
The recent financial crisis raises important issues about the transmission of financial shocks across borders. In this paper, a global vector autoregressive (GVAR) model is constructed to assess the relevance of international spillovers following a historical slowdown in U.S. equity prices. The...
Persistent link: https://www.econbiz.de/10005604825
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Time-Varying Thresholds; An Application to Purchasing Power Parity
Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003
This paper introduces a time-varying threshold autoregressive model (TVTAR), which is used to examine the persistence of deviations from PPP. We find support for the stationary TVTAR against the unit root hypothesis; however, for some developing countries, we do not reject the TVTAR with a unit...
Persistent link: https://www.econbiz.de/10005604859
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Nonparametric Least Squares Regression and Testing in Economic Models
Yatchew, Adonis; Bos, Len - University of Toronto, Department of Economics - 1997
Persistent link: https://www.econbiz.de/10005827282