Numerical distribution functions for seasonal stability tests
نویسندگان
چکیده
منابع مشابه
Numerical distribution functions for seasonal unit root tests
When working with time series data observed at intervals smaller than a year, it is often necessary to test for the presence of seasonal unit roots. One of the most widely used methods for testing seasonal unit roots is that of HEGY, which provides test statistics with non-standard distributions. This paper describes a generalisation of this method for any periodicity and uses a response surfac...
متن کاملNumerical Distribution Functions ofLikelihood Ratio Tests
This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for cointegration. These are carried out in the context of the models recently proposed by Pesaran, Shin, and Smith (1997) that allow for the possibility of exogenous variables integrated of order one. The paper calculates cr...
متن کاملNumerical Distribution Functions of Likelihood Ratio Tests for Cointegration
This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for cointegration. These are carried out in the context of the models recently proposed by Pesaran, Shin, and Smith (1997) that allow for the possibility of exogenous variables integrated of order one. The paper calculates cr...
متن کاملNon-parametric k-sample tests: Density functions vs distribution functions
In this paper we introduce some tests for the comparison of k samples based on kernel density estimators (KDE), and we develope the Double Minimum method as a new and useful procedure for the crucial problem of bandwidth selection. We study, via Monte Carlo simulations, the statistical power of the proposed tests, as well as the impact of the smoothing degree and the performance of the Double M...
متن کاملComputing numerical distribution functions in econometrics
Many test statistics in econometrics have asymptotic distributions that cannot be evaluated analytically. In order to conduct asymptotic inference, it is therefore necessary to resort to simulation. Techniques that have commonly been used yield only a small number of critical values, which can be seriously inaccurate. In contrast, the techniques discussed in this paper yield enough information ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Statistics & Probability Letters
سال: 2014
ISSN: 0167-7152
DOI: 10.1016/j.spl.2013.12.002