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A Bootstrap Cointegration Rank Test for Panels of VAR Models

Callot, Laurent A.F. - School of Economics and Management, University of Aarhus - 2010

. It shows how a panel of cointegrated VARs can be transformed in a set of independent individual models. The likelihood … function of the transformed panel is the sum of the likelihood functions of the individual Cointegrated VARs (CVAR) models. A …. From these empirical distributions two panel trace test statistics are constructed. The satisfying small sample properties …

Persistent link: https://www.econbiz.de/10008752898

Risk, Jumps, and Diversification

Bollerslev, Tim; Law, Tzuo Hann; Tauchen, George - School of Economics and Management, University of Aarhus - 2007

We test for price discontinuities, or jumps, in a panel of high-frequency intraday returns for forty large-cap stocks …

Persistent link: https://www.econbiz.de/10005787560

Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data

Haldrup, Niels; Hylleberg, Svend; Pons, Gabriel; … - School of Economics and Management, University of Aarhus - 2005

This paper presents a new framework for coping with problems often encountered when modeling seasonal high frequency data containing both flow and stock variables. The idea is to apply a multivariate weekly representation of a daily periodic model and to exploit the possible cointegration and...

Persistent link: https://www.econbiz.de/10010851169

Improving Size and Power in Unit Root Testing

Haldrup, Niels; Jansson, Michael - School of Economics and Management, University of Aarhus - 2005

A frequent criticism of unit root tests concerns the poor power and size properties that many of such tests exhibit. However, the past decade or so intensive research has been conducted to alleviate these problems and great advances have been made. The present paper provides a selective survey...

Persistent link: https://www.econbiz.de/10010851181

Choice of Sample Split in Out-of-Sample Forecast Evaluation

Hansen, Peter Reinhard; Timmermann, Allan - School of Economics and Management, University of Aarhus - 2012

Out-of-sample tests of forecast performance depend on how a given data set is split into estimation and evaluation periods, yet no guidance exists on how to choose the split point. Empirical forecast evaluation results can therefore be difficult to interpret, particularly when several values of...

Persistent link: https://www.econbiz.de/10010851187

A unified framework for testing in the linear regression model under unknown order of fractional integration

Christensen, Bent Jesper; Kruse, Robinson; Sibbertsen, … - School of Economics and Management, University of Aarhus - 2013

We consider hypothesis testing in a general linear time series regression framework when the possibly fractional order of integration of the error term is unknown. We show that the approach suggested by Vogelsang (1998a) for the case of integer integration does not apply to the case of...

Persistent link: https://www.econbiz.de/10010851190

Stock Return and Cash Flow Predictability: The Role of Volatility Risk

Bollerslev, Tim; Xu, Lai; Zhou, Hao - School of Economics and Management, University of Aarhus - 2012

We examine the joint predictability of return and cash flow within a present value framework, by imposing the implications from a long-run risk model that allow for both time-varying volatility and volatility uncertainty. We provide new evidence that the expected return variation and the...

Persistent link: https://www.econbiz.de/10010851207

Fractional cointegration rank estimation

Lasak, Katarzyna; Velasco, Carlos - School of Economics and Management, University of Aarhus - 2013

We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a new two-step procedure which allows testing for further long-run equilibrium relations with possibly different persistence levels. The fi?rst step consists in estimating the...

Persistent link: https://www.econbiz.de/10010851231

Polynomial Regressions and Nonsense Inference

Ventosa-Santaulària, Daniel; Rodríguez-Caballero, … - School of Economics and Management, University of Aarhus - 2013

Polynomial specifications are widely used, not only in applied economics, but also in epidemiology, physics, political analysis, and psychology, just to mention a few examples. In many cases, the data employed to estimate such estimations are time series that may exhibit stochastic nonstationary...

Persistent link: https://www.econbiz.de/10010851232

On tests for linearity against STAR models with deterministic trends

Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp - School of Economics and Management, University of Aarhus - 2012

Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this paper. As opposed to recently reported results in Zhang (2012), we show that linearity tests against STAR models lead to useful results in...

Persistent link: https://www.econbiz.de/10010851237

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