Showing 1 - 10 of 31,066
Macroeconomic time series often involve a threshold effect in their ARMA representation, and exhibit long memory features. In this paper we introduce a new class of threshold ARFIMA models to account for this. The threshold effect is introduced in the autoregressive and/or the fractional...
This paper analyses the properties of jackknife estimators of the first-order autoregressive coefficient when the time series of interest contains a unit root. It is shown that, when the sub-samples do not overlap, the sub-sample estimators have different limiting distributions from the...
Modelling the growth rate of economic time series with a Markov switching process in their mean and/or their variance allows to take account of two facts that are often encountered in such series, namely that the periods in which each mean is prevailing differ in their duration and that the...
In this paper we consider GMM based estimation and inference for the panel AR(1) model when the data are persistent and the time dimension of the panel is fixed. We find that the nature of the weak instruments problem of the Arellano-Bond estimator depends on the distributional properties of the...
This paper proposes bias-adjusted normal approximation versions of Lagrange multiplier (NLM) test of error cross section independence of Breusch and Pagan (1980) in the case of panel models with strictly exogenous regressors and normal errors. The exact mean and variance of the Lagrange...
Quantile regression (QR) models have been increasingly employed in many applied areas in economics. At the early stage, applications in the quantile regression literature have usually used cross-sectional data, but the recent development has seen an increase in the use of quantile regression in...
Detecting structural changes in volatility is important for understanding volatility dynamics and stylized facts observed for financial returns such as volatility persistence. We propose modified CUSUM and LM tests that are built on a robust estimator of the long-run variance of squared series....
Quantile regression (QR) models have been increasingly employed in many applied areas in economics. At the early stage, applications took place usually using cross-section data, but recent development has seen a surge of the use of quantile regression in both time-series and panel datasets....
We show that the CUSUM and LM tests for structural change in the volatility process enjoy monotonic power. The framework is general including many recently proposed non-stationary GARCH-type models. The result is in contrast to the well-known issue of non-monotonic power for the CUSUM-based...
We propose a (trend) stationarity test with a good finite sample size even when a process is (trend) stationary with strong persistence; this is useful for distinguishing between a (trend) stationary process with strong persistence and a unit root process. It could be considered as a modified...