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Testing Serial Correlation in Semiparametric Time Series Model.
Li, D.; Stengos, T. - Department of Economics and Finance, College of … - 1999
In this paper we propose two test statistics for testing serial correlation in semiparametric time series model that could allow lagged dependent variables as explanatory variables .
Persistent link: https://www.econbiz.de/10005545299
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Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects.
Dufour, J.M.; Khalaf, L.; Bernard, J.T.; Genest, I. - Centre Interuniversitaire de Recherche en Économie … - 2001
In this paper we describe a solution to the problem of controlling the size of homoskedasticity tests in linear …
Persistent link: https://www.econbiz.de/10005346015
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Inference of bidders’ risk attitudes in ascending auctions with endogenous entry
Fang, Hanming; Tang, Xun - In: Journal of Econometrics 180 (2014) 2, pp. 198-216
transaction prices and participation decisions in ascending auctions with entry costs. Nonparametric tests are proposed for two …
Persistent link: https://www.econbiz.de/10010776913
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Convergence Controls for MCMC Algorithms with Applications to Hidden Markov Chains
Robert, C.P.; Ryden, T.; Titterington, D.M. - 1998
a series of on-line controls, which rely on classical non-parametric tests, to evaluate independence from the start …
Persistent link: https://www.econbiz.de/10005780807
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Log-Concave Probability Distributions : Theory and Statistical Testing.
An, M.Y. - School of Economics and Management, Institut for Økonomi - 1996
This paper studies the broad class of log-concave probability distributions that arise in economics of uncertainty and information.
Persistent link: https://www.econbiz.de/10005646983
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Inference of Bidders’ Risk Attitudes in Ascending Auctions with Endogenous Entry
Fang, Hanming; Tang, Xun - Department of Economics, University of Pennsylvania - 2013
transaction prices and participation decisions in ascending auctions with entry costs. Nonparametric tests are proposed for two …
Persistent link: https://www.econbiz.de/10010699855
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Do We Often Find ARCH Because of Neglected Outliers?
Van Dijk, D.; Franses, P.H. - Econometrisch Instituut, Faculteit der Economische … - 1997
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G) ARCH] in daily and weekly data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a new LM test that is resistant to additive outliers. The data...
Persistent link: https://www.econbiz.de/10005775838
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Markov Chain Test for Time Dependence and Homogeneity: An Analytical and Empirical Evaluation.
Tan, B.; Yilmaz, K. - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 1999
This paper presents a complete framework for testing procedure based on statistical theory of Markov chains.
Persistent link: https://www.econbiz.de/10005633634
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Regression-Based Tests of Predictive Ability.
West, K.D.; McCracken, M.W. - Wisconsin Madison - Social Systems - 1997
We develop regression-based tests of hypotheses about out of sample prediction errors. Representative tests include …
Persistent link: https://www.econbiz.de/10005795341
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Maximum Likelihood in the Frequency Domain: a Time to Build Example.
Christiano, L.J.; Vigfusson, R.J. - London School of Economics (LSE) - 1999
devise diagnostic methods that are useful for interpreting maximum likelihood parameter estimates and likelihood ratio tests …
Persistent link: https://www.econbiz.de/10005207535