This note investigates impacts of multivariate generalised autoregressive conditional heteroskedasticity (GARCH) errors on hypothesis testing for cointegrating vectors. The study reviews a cointegrated vector autoregressive model incorporating multivariate GARCH innovations and a regularity condition required for valid asymptotic inferences. Monte Carlo experiments are then conducted on a test ...

A Flexible Test for Present Bias and Time Preferences Using Land-Lease Contracts When agents have present bias, they discount more between now and the next period than between period t (> 1) and t + 1. How fast the future discount rate (evaluated today) decays is an empirical question. We show that the discount function can be non-parametrically identified with contracts that specify payments t...

We develop a new consistent conditional moment test of functional form based on nuisance parameter indexed sample moments. We reduce the nuisance parameter space to known countable sets, provide a new vantage into why existing parametric moment condition tests work, and uncover a new class of revealing weights. These results are exploited to construct a weighted average conditional moment test,...

This chapter provides an overview of pseudo-out-of-sample tests of unconditional predictive ability. We begin by providing an overview of the literature, including both empirical applications and theoretical contributions. We then delineate two distinct methodologies for conducting inference: one based on the analytics in West (1996) and the other based on those in Giacomini and White (2006). T...

This paper examines jump dynamic patterns in three Chinese medical stocks. It also compares the Value-at-Risk (VaR) forecasting performance of a newly proposed realized volatility model allowing for jumps with that of two commonly used realized volatility models, which do not account for jumps. Using the Heterogeneous Autoregressive Realized Volatility model that allows for jumps (HAR-CJN), we ...

A practice that has become widespread is that of comparing forecasts of financial return variability obtained from discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return variability modelling this raises several methodological and practical issues, which suggests an alternative framework is needed. The contribution of this study is...

We develop a specification test of predictive densities based on that the generalized residuals of correctly specified predictive density models are i.i.d. uniform. The proposed sequential test examines the hypotheses of serial independence and uniformity in two stages, wherein the first stage test of serial independence is robust to violation of uniformity. The approach of data driven smooth t...

This paper explores a theory of business cycles in which recessions and booms arise due to difficulties encountered by agents in properly forecasting the economy’s future needs in terms of capital. The idea has a long history in the macroeconomic literature, as reflected by the work of Pigou (Industrial Fluctuation, MacMillan, London, 1926). The contribution of this paper is twofold. First, we ...

We consider the standard linear regression model with all standard assumptions, except that the disturbances are not white noise, but distributed N(0,p2X(h)) where X(0)"I n . Our interest lies in testing linear restrictions using the usual F-statistic based on OLS residuals. We are not interested in "nding out whether h"0 or not. Instead we want to "nd out what the e!ect is of possibly nonzero ...

It is well known that late introduction of new Products into the CPI leads to an upward bias in the index. Moreover, improper treatment of quality improvement in the product will add to the upward bias. In this paper a hedonic elementary price index for accessing the Internet in Canada is constructed. We find that the quality-adjusted price index declines at about 15% per year. Detailed data ar...