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Dhrymes, P.J. - Department of Economics, School of Arts and Sciences - 1996

This paper formulates a conformity test for cointegration for a multivariate I(1) process obeying a VAR specification. The test statistic is a function of the characteristic roots of the sample covariance matrix of the cointegral vector; the latter is obtained from the unrestricted estimation of...

Persistent link: https://www.econbiz.de/10005549161

A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model.

Johansen, S. - Department of Economics, European University Institute - 2000

We derive an approximation to the expectation of the likelihood tatio test for cointegration in the vector autoregressive model. The expression depends on moments of functions of random walk, which are tabulated by simulation, and functions of the parameters, which are estimated. From this...

Persistent link: https://www.econbiz.de/10005557708

A Test for Independence Based on the Correlation Dimension.

Brock, W.A.; Dechert, W.D.; LeBaron, B.; Scheinkman, J.A. - Wisconsin Madison - Social Systems - 1995

Persistent link: https://www.econbiz.de/10005795287

Non-Nested Hypothesis and Instrumental Models.

Dhaene, G.; Gourieroux, C.; Scaillet, O. - 1996

We introduce non-nested hypothesis tests using indirect simulation-based estimation procedures. …

Persistent link: https://www.econbiz.de/10005641013

The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality.

Fiorentini, G.; Sentana, E.; Calzolari, G. - Centro de Estudios Monetarios y Financieros (CEMFI) - 2000

regression models when the conditional distribution is multivariate t. We also derive one-sided and two-sided LM tests for … tests for multivariate excess kurtosis, and show that they have power against lepkurtic alternatives. Finally, we analyse UK …

Persistent link: https://www.econbiz.de/10005475104

An Optimal Test against a Random Walk Component in a Non-Orthogonal Unobserved Components Model.

Bailey, R.W.; Taylor, A.M.R. - Department of Economics, University of Birmingham - 2000

In this paper we consider the problem of testing the null hypothesis that a series has a constant level against the alternative that the level follows a random walk. This problem has previously been studied by inter alia, Nyblom and Makelainen in the context of the orthogonal random walk plus...

Persistent link: https://www.econbiz.de/10005086690

Auction Theory and Practice Evidence from the Market for Jewellery.

Chanel, O.; Gerard-Varet, L.A. - Groupement de Recherche en Économie Quantitative … - 1996

We consider data on jewellery sold in English public auctions between June 1993 and May 1994 at Credit Municipal de Paris. We present the underlying model of this market derived from a "hedonic price equation".

Persistent link: https://www.econbiz.de/10005669489

Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model

Sentana, E.; Fiorentini, G. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1997

We investigate several important inference issues for factor models with dynamic heteroskedasticity in the common … factors. First, we show that such models are identified if we take into account the time-variation in the variances of the … factors. Our results also apply to dynamic versions of the APT, dynamic factor models, and vector autoregressions. Secondly …

Persistent link: https://www.econbiz.de/10005625772

A Simple Test for Spatial Correlation in Probit Models.

Pinkse, J.; Slade, M. - Groupement de Recherche en Économie Quantitative … - 1996

We propose a test for spatial correlation in Probit models that is a joint test for exclusion of spatially lagged …

Persistent link: https://www.econbiz.de/10005479040

A Consistent Test for Nonlinear Out of Sample Predictive Accuracy.

Corradi, V.; Swanson, N.R. - Business School, University of Exeter - 2000

), although our approach differs from his as we allow for an infinite number of competing models that may be nested. In addition …

Persistent link: https://www.econbiz.de/10008852322