Zobrazeno 1 - 10 of 45 pro vyhledávání: '"Leslie G. Godfrey"'
1
Bootstrap HAC Tests for Ordinary Least Squares Regression*
Autor: Francesco Bravo, Leslie G. Godfrey
Publikováno v: Oxford Bulletin of Economics and Statistics. 74:903-922
There is a need for tests that are derived from the ordinary least squares (OLS) estimators of regression coefficients and are useful in the presence of unspecified forms of heteroskedasticity and autocorrelation. A method that uses the moving block
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::0282decca6f0339a6925bdf85a165c86
https://doi.org/10.1111/j.1468-0084.2011.00671.x
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2
Robust Non-nested Testing for Ordinary Least Squares Regression when Some of the Regressors are Lagged Dependent Variables*
Autor: Leslie G. Godfrey
Publikováno v: Oxford Bulletin of Economics and Statistics. 73:651-668
The problem of testing non-nested regression models that include lagged values of the dependent variable as regressors is discussed. It is argued that it is essential to test for error autocorrelation if ordinary least squares and the associated J an
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::3ed8c28aad0d4c732ac05f2d64f41b0b
https://doi.org/10.1111/j.1468-0084.2010.00630.x
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4
Testing for Heteroskedasticity and Predictive Failure in Linear Regression Models
Autor: Leslie G. Godfrey
Publikováno v: Oxford Bulletin of Economics and Statistics. 70:415-429
It is argued that, when researchers wish to carry out a Chow test of the significance of prediction errors, it is necessary to assume homoskedasticity because standard results on heteroskedasticity‐robust tests are not available. The effects of het
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::dac70523f7f15715729f8ce3ef23dae7
https://doi.org/10.1111/j.1468-0084.2007.00498.x
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5
A note on variable addition tests for linear and log-linear models
Autor: J.M.C. Santos Silva, Leslie G. Godfrey
Publikováno v: Economics Letters. 95:422-427
Results on variable addition tests for linear and log-linear models are unified using an instrumental variables framework, which allows the identification of the specific alternatives for which well-known tests are optimal.
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::12687100b45a008a8b60cda9479968b0
https://doi.org/10.1016/j.econlet.2006.11.018
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6
Improvement of the quasi-likelihood ratio test in ARMA models: some results for bootstrap methods
Autor: Leslie G. Godfrey, Anadi Canepa
Publikováno v: Journal of Time Series Analysis. 28:434-453
Quasi-likelihood ratio tests for autoregressive moving-average (ARMA) models are examined. The ARMA models are stationary and invertible with white-noise terms that are not restricted to be normally distributed. The white-noise terms are instead subj
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::8106926ba4c1ae4411281da8e0fb2586
https://doi.org/10.1111/j.1467-9892.2006.00518.x
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7
On the asymptotic validity of a bootstrap method for testing nonnested hypotheses
Autor: Leslie G. Godfrey
Publikováno v: Economics Letters. 94:408-413
Bootstrap methods have been used to approximate the p -value of the uncentred log likelihood ratio statistic when a model is tested against a nonnested alternative. The purpose of this paper is to question the asymptotic validity of this approach.
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::81017e432b4f676c4518e5dc76ab23c5
https://doi.org/10.1016/j.econlet.2006.08.031
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8
Tests for regression models with heteroskedasticity of unknown form
Autor: Leslie G. Godfrey
Publikováno v: Computational Statistics & Data Analysis. 50:2715-2733
Evidence is presented on the finite sample performance of tests that are robust to heteroskedasticity. In contrast to previous work, the focus is on testing several restrictions on the coefficients of a linear regression model, rather than on a quasi
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::51f2816e9cf8e269dfbb8527a7726686
https://doi.org/10.1016/j.csda.2005.04.004
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9
Simulation‐based tests for heteroskedasticity in linear regression models: Some further results
Autor: Chris D. Orme, Leslie G. Godfrey, J.M.C. Santos Silva
Publikováno v: The Econometrics Journal. 9:76-97
As shown by the results of Dufour, Khalaf, Bernard and Genest (2004, Journal of Econometrics 122, 317--347), exact tests for heteroskedasticity in linear regression models can be obtained, by using Monte Carlo (MC) techniques, if either (i) it is ass
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::11e303268c56e2342bbd26c2d9a5243f
https://doi.org/10.1111/j.1368-423x.2006.00177.x
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10
The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
Autor: Leslie G. Godfrey, A. R. Tremayne
Publikováno v: Computational Statistics & Data Analysis. 49:377-395
Conditional heteroskedasticity is a common feature of financial and macroeconomic time series data. When such heteroskedasticity is present, standard checks for serial correlation in dynamic regression models are inappropriate. In such circumstances,
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::5472d53dd6a16a9ab86b9be5ecbb963e
https://doi.org/10.1016/j.csda.2004.05.020
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