Zobrazeno 1 - 10
of 24
pro vyhledávání: '"dynamic misspecification"'
Publikováno v:
Econometrics, Vol 6, Iss 2, p 27 (2018)
Structural break tests for regression models are sensitive to model misspecification. We show—analytically and through simulations—that the sup Wald test for breaks in the conditional mean and variance of a time series process exhibits severe siz
Externí odkaz:
https://doaj.org/article/51911c965fae499f8d2d61000c7fe360
Autor:
Giovanni Angelini
A well known feature of DSGE models is that their dynamic structure is generally not consistent with agents’ forecasts when the latter are computed from ‘unrestricted’ models. The expectations correction approach tries to combine the structural
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5d506aadfd9fe5c15dca56a0b358ba0c
http://hdl.handle.net/10278/3703686
http://hdl.handle.net/10278/3703686
Akademický článek
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Publikováno v:
Econometrics, 6(2):27
Econometrics; Volume 6; Issue 2; Pages: 27
Econometrics
Econometrics, Vol 6, Iss 2, p 27 (2018)
Econometrics; Volume 6; Issue 2; Pages: 27
Econometrics
Econometrics, Vol 6, Iss 2, p 27 (2018)
Structural break tests for regression models are sensitive to model misspecification. We show—analytically and through simulations—that the sup Wald test for breaks in the conditional mean and variance of a time series process exhibits severe siz
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d263660b97caa8f5e4f29696cc683dc0
https://research.tilburguniversity.edu/en/publications/5911601c-f490-4eaf-a632-0d2d32d46433
https://research.tilburguniversity.edu/en/publications/5911601c-f490-4eaf-a632-0d2d32d46433
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
Publikováno v:
Journal of Econometrics
Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The requisite limit theory involves sample covariances of integrable transform
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2c9ad259421db05ed64f43c0a682bdbd
https://doi.org/10.1016/j.jeconom.2012.01.037
https://doi.org/10.1016/j.jeconom.2012.01.037
Autor:
Guillaume Chevillon
This paper studies the properties of multi-step projections, and forecasts that are obtained using either iterated or direct methods. The models considered are local asymptotic: they allow for a near unit root and a local to zero drift. We treat shor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eae20fe5f572d2828682f0589220093a
https://hal-essec.archives-ouvertes.fr/hal-01574650
https://hal-essec.archives-ouvertes.fr/hal-01574650
Structural break tests developed in the literature for regression models are sensitive to model misspecification. We show - analytically and through simulations - that the sup Wald test for breaks in the conditional mean and variance of a time series
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dris___01181::65214d5a00bb1aaf8fb7a150527e9b2b
https://research.tilburguniversity.edu/en/publications/3b21f21c-2cef-49d7-bb9b-ad81f5ee71f2
https://research.tilburguniversity.edu/en/publications/3b21f21c-2cef-49d7-bb9b-ad81f5ee71f2
Structural break tests developed in the literature for regression models are sensitive to model misspecification. We show - analytically and through simulations - that the sup Wald test for breaks in the conditional mean and variance of a time series
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dris___00893::e7bb0f551b99817295e20d8dae3991f2
Structural break tests developed in the literature for regression models are sensitive to model misspecification. We show - analytically and through simulations - that the sup Wald test for breaks in the conditional mean and variance of a time series
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=narcis______::6030375b6ed6d5ec57e0b1e2f8f5a93e
https://research.tilburguniversity.edu/en/publications/3b21f21c-2cef-49d7-bb9b-ad81f5ee71f2
https://research.tilburguniversity.edu/en/publications/3b21f21c-2cef-49d7-bb9b-ad81f5ee71f2