Structure and dynamics in econometrics
نویسندگان
چکیده
منابع مشابه
Studies in Nonlinear Dynamics and Econometrics
This paper accomplishes two goals. First, it introduces a powerful nonparametric test of asymmetry to the economics literature, namely, the triples test of Randles et al. (1980). Second, it documents the presence of two specific kinds of asymmetry in U.S. macroeconomic time series. Depth, or asymmetry in the distribution of a (detrended) series, is a feature of numerous economic time series; an...
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The BDS statistic has proved to be one of several useful nonlinear diagnostics. It has been shown to have good power against many nonlinear alternatives, and its asymptotic properties as a residual diagnostic are well understood. Furthermore, extensive Monte Carlo results have proved it useful in relatively small samples. However, the BDS test is not trivial to calculate, and is even more diffi...
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The aim of this article is to show a simple way to construct asymptotic minimax lower bounds for risks based on different types of quadratic loss functions in semiparametric inference problems. For the sake of clarity, we consider the simple case of the state estimation of a dynamical system with small noise. The proofs are based on the van Trees inequality, namely, an integral-type Cramér-Rao ...
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Simulations are used to check the probability of detecting a time-varying equilibrium correction by applying the existing tests of no cointegration and parameter constancy. Smooth-transition regressions are chosen to describe the nonlinearity, and the Johansen cointegration test and the Lin and Teräsvirta parameter constancy test are applied. It turns out that both tests perform well separately...
متن کاملStudies in Nonlinear Dynamics and Econometrics
In this paper, we propose a model-selection approach to testing the expectations theory of the term structure of interest rates. Our method is based on the posterior information criterion (PIC) developed and analyzed by Phillips and Ploberger (1994, 1996) and extended to provide order estimation of cointegrating rank by Chao and Phillips (1997). This methodology has the advantage that issues of...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 1994
ISSN: 0304-4076
DOI: 10.1016/0304-4076(93)01558-4