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A Generalized Fast Algorithm for BDS-Type Statistics
Mayer-Foulkes, David - In: Studies in Nonlinear Dynamics & Econometrics 4 (2007) 1, pp. 45-50
's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram …
Persistent link: https://www.econbiz.de/10004966222
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A Fast Algorithm for the BDS Statistic
LeBaron, Blake - In: Studies in Nonlinear Dynamics & Econometrics 2 (1997) 2, pp. 53-59
The BDS statistic has proved to be one of several useful nonlinear diagnostics. It has been shown to have good power …, extensive Monte Carlo results have proved it useful in relatively small samples. However, the BDS test is not trivial to … short paper presents a fast algorithm for the BDS statistic, and outlines how these speed improvements are achieved. Source …
Persistent link: https://www.econbiz.de/10005751410
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A Generalized Fast Algorithm for BDS-Type Statistics
Mayer-Foulkes, David - In: Studies in Nonlinear Dynamics & Econometrics 4 (2000) 1, pp. 45-50
's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram …
Persistent link: https://www.econbiz.de/10005584891
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Evaluating a class of nonlinear time series models
Heinen, Florian - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2010
tests against serial correlation, no remaining nonlinearity and parameter constancy. We also consider evaluation by …
Persistent link: https://www.econbiz.de/10008620595
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Forecast accuracy and uncertainty in applied econometrics: a recommendation of specific-to-general predictor selection
Herwartz, Helmut - In: Empirical Economics 41 (2011) 2, pp. 487-510
Persistent link: https://www.econbiz.de/10009324843
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Testing a linear dynamic panel data model against nonlinear alternatives
Lee, Yoon-Jin - In: Journal of Econometrics 178 (2014) P1, pp. 146-166
The most popular econometric models in the panel data literature are the class of linear panel data models with unobserved individual- and/or time-specific effects. The consistency of parameter estimators and the validity of their economic interpretations as marginal effects depend crucially on...
Persistent link: https://www.econbiz.de/10010730138
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Volatility activity: Specification and estimation
Todorov, Viktor; Tauchen, George; Grynkiv, Iaryna - In: Journal of Econometrics 178 (2014) P1, pp. 180-193
The paper examines volatility activity and its asymmetry and undertakes further specification analysis of volatility models based on it. We develop new nonparametric statistics using high-frequency option-based VIX data to test for asymmetry in volatility jumps. We also develop methods for...
Persistent link: https://www.econbiz.de/10010730150
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An Improved Nonparametric Unit-Root Test
Gao, Jiti; King, Maxwell - Department of Econometrics and Business Statistics, … - 2012
This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined.
Persistent link: https://www.econbiz.de/10010860412
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Diagnostic testing for cointegration
Robinson, Peter - London School of Economics (LSE) - 2007
We develop a sequence of tests for specifying the cointegrating rank of, possibly fractional, multiple time series. Memory parameters of observables are treated as unknown, as are those of possible cointegrating errors. The individual test statistics have standard null asymptotics, and are...
Persistent link: https://www.econbiz.de/10010746056
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Specification Testing of Production Frontier Function in Stochastic Frontier Model
Guo, Xu; Li, Gao Rong; Wong, Wing Keung - Volkswirtschaftliche Fakultät, … - 2014
Parametric production frontier function has been commonly employed in stochas-tic frontier model but there was no proper test statistic for its plausibility. To fill into this gap, this paper develops two test statistics to test for a hypothesized parametric production frontier function based on...
Persistent link: https://www.econbiz.de/10011109434