Results 271 to 280 of about 6,418,207 (320)

Residual-based tests for cointegration in models with multi-breaks

Applied Economics Letters, 2008
In this article, we propose residual-based tests for cointegration in models with multi-breaks. Cointegration can be tested regardless of whether there exist structural breaks. For a one-point break, we usually use the test proposed by Gregory and Hansen (1996). However, this test has not been considered in the case of multistructural breaks. Therefore,
Junya Masuda
openaire   +2 more sources

Testing conditional asymmetry: A residual-based approach

Journal of Economic Dynamics and Control, 2007
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lambert, Philippe, Laurent, Sébastien, Veredas, Davis   +2 more
openaire   +1 more source

Residual-based CUSUM of squares test for Poisson integer-valued GARCH models

Journal of Statistical Computation and Simulation, 2019
This study considers the problem of testing for a parameter change in integer-valued time series models in which the conditional density of current observations is assumed to follow a Poisson distribution.
Sangyeol Lee
semanticscholar   +1 more source

Residual-based block bootstrap for cointegration testing

Applied Economics Letters, 2010
We propose a new testing procedure to determine the rank of cointegration. This new method is based on the nonparametric resampling procedure, so-called Residual-Based Block Bootstrap (RBB), which is developed by Paparoditis and Politis (2003) in the context of unit root testing.
Rosa Badillo, Jorge Belaire-Franch, Carmelo Reverte   +2 more
openaire   +1 more source

A Residual-Based LM Test for Fractional Cointegration [PDF]

, 2002
Nonstationary fractionally integrated time series may possibly be fractionally cointegrated. In this paper we propose a test for the null hypothesis of no cointegration. It builds on a static cointegration regression of the levels of the variables as a first step.
Hassler, Uwe, Breitung, Jörg
openaire   +2 more sources

Data-driven Q-matrix validation using a residual-based statistic in cognitive diagnostic assessment.

British Journal of Mathematical & Statistical Psychology, 2019
In a cognitive diagnostic assessment (CDA), attributes refer to fine-grained knowledge points or skills. The Q-matrix is a central component of CDA, which specifies the relationship between items and attributes.
Xiaofeng Yu, Ying Cheng
semanticscholar   +1 more source

Residual based tests for cointegration

Economics Letters, 1993
Abstract This paper compares seven residual based tests for cointegration with the Monte Carlo method. First-order moving average components lead to substantial size distortions for all tests. Among the tests considered, Engle and Granger's ( Econometrica , 1987, 55, 251–276) augmented Dickey-Fuller (ADF) test show the least size distortions.
openaire   +1 more source

Residual based tests for cointegration in dependent panels

Journal of Econometrics, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chang, Yoosoon, Nguyen, Chi Mai
openaire   +2 more sources

Residual-based tests forcointegration with gradual switching

Applied Economics Letters, 2008
In this article, we propose residual-based tests for cointegration in models with gradual switching.
openaire   +1 more source

Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates

Econometric Reviews, 2014
Campbell and Shiller (1987) and Hall et al. (1992) suggest that the term spread of long-term and short-term interest rates should be a stationary I(0) process. However, an empirically nonstationary term spread or rejection of cointegration between long and short term interest rates need not to be considered an empirical rejection of this theoretical ...
Dayong Zhang, Marco R. Barassi, Jijun Tan   +2 more
openaire   +1 more source