Econometrics Journal最新文献_第10页

Nonparametric bootstrap tests for independence of generalized errors 广义误差独立性的非参数自举检验

IF 1.9 4区经济学

Econometrics Journal Pub Date : 2016-02-02 DOI: 10.1111/ectj.12059

Zaichao Du

{"title":"Nonparametric bootstrap tests for independence of generalized errors","authors":"Zaichao Du","doi":"10.1111/ectj.12059","DOIUrl":"10.1111/ectj.12059","url":null,"abstract":"<div>\u0000 \u0000 <p>In this paper, we develop a general method of testing for independence when unobservable generalized errors are involved. Our method can be applied to testing for serial independence of generalized errors, and testing for independence between the generalized errors and observable covariates. The former can serve as a unified approach to testing the adequacy of time series models, as model adequacy often implies that the generalized errors obtained after a suitable transformation are independent and identically distributed. The latter is a key identification assumption in many nonlinear economic models. Our tests are based on a classical sample dependence measure, the Hoeffding–Blum–Kiefer–Rosenblatt-type empirical process applied to generalized residuals. We establish a uniform expansion of the process, thereby deriving an explicit expression for the parameter estimation effect, which causes our tests not to be nuisance-parameter-free. To circumvent this problem, we propose a multiplier-type bootstrap to approximate the limit distribution. Our bootstrap procedure is computationally very simple as it does not require a re-estimation of the parameters in each bootstrap replication. Simulations and empirical applications to daily exchange rate data highlight the merits of our approach.</p></div>","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":"19 1","pages":"55-83"},"PeriodicalIF":1.9,"publicationDate":"2016-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12059","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115643956","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 14

Validity of Edgeworth expansions for realized volatility estimators 已实现波动估计的Edgeworth展开式的有效性

IF 1.9 4区经济学

Econometrics Journal Pub Date : 2016-01-28 DOI: 10.1111/ectj.12058

Ulrich Hounyo, Bezirgen Veliyev

{"title":"Validity of Edgeworth expansions for realized volatility estimators","authors":"Ulrich Hounyo, Bezirgen Veliyev","doi":"10.1111/ectj.12058","DOIUrl":"10.1111/ectj.12058","url":null,"abstract":"<div>\u0000 \u0000 <p>The main contribution of this paper is to establish the formal validity of Edgeworth expansions for realized volatility estimators. First, in the context of no microstructure effects, our results rigorously justify the Edgeworth expansions for realized volatility derived in Gonçalves and Meddahi (2009, <i>Econometrica 77</i>, 283–306). Second, we show that the validity of the Edgeworth expansions for realized volatility might not cover the optimal two-point distribution wild bootstrap proposed by Gonçalves and Meddahi. Then, we propose a new optimal nonlattice distribution, which ensures the second-order correctness of the bootstrap. Third, in the presence of microstructure noise, based on our Edgeworth expansions, we show that the new optimal choice proposed in the absence of noise is still valid in noisy data for the pre-averaged realized volatility estimator proposed by Podolskij and Vetter (2009, <i>Bernoulli 15</i>, 634–658). Finally, we show how confidence intervals for integrated volatility can be constructed using these Edgeworth expansions for noisy data. Our Monte Carlo simulations show that the intervals based on the Edgeworth corrections have improved the finite sample properties relatively to the conventional intervals based on the normal approximation.</p></div>","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":"19 1","pages":"1-32"},"PeriodicalIF":1.9,"publicationDate":"2016-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ectj.12058","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128825108","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 10

Index to The Econometrics Journal Volume 18 计量经济学期刊第18卷索引

IF 1.9 4区经济学

Econometrics Journal Pub Date : 2015-12-23 DOI: 10.1111/ectj.12057

引用次数: 0

Residuals-based tests for cointegration with generalized least-squares detrended data 基于残差的广义最小二乘非趋势数据协整检验

IF 1.9 4区经济学

Econometrics Journal Pub Date : 2015-11-13 DOI: 10.1111/ectj.12056

Pierre Perron, Gabriel Rodríguez

引用次数: 12

Testing exogeneity in nonparametric instrumental variables identified by conditional quantile restrictions 检验由条件分位数限制确定的非参数工具变量的外生性

IF 1.9 4区经济学

Econometrics Journal Pub Date : 2015-10-21 DOI: 10.1920/WP.CEM.2015.6815

J. Fu, J. Horowitz, M. Parey

{"title":"Testing exogeneity in nonparametric instrumental variables identified by conditional quantile restrictions","authors":"J. Fu, J. Horowitz, M. Parey","doi":"10.1920/WP.CEM.2015.6815","DOIUrl":"https://doi.org/10.1920/WP.CEM.2015.6815","url":null,"abstract":"This paper presents a test for exogeneity of explanatory variables in a nonparametric instrumental variables (IV) model whose structural function is identified through a conditional quantile restriction. Quantile regression models are increasingly important in applied econometrics. As with mean-regression models, an erroneous assumption that the explanatory variables in a quantile regression model are exogenous can lead to highly misleading results. In addition, a test of exogeneity based on an incorrectly specified parametric model can produce misleading results. This paper presents a test of exogeneity that does not assume the structural function belongs to a known finite-dimensional parametric family and does not require nonparametric estimation of this function. The latter property is important because, owing to the ill-posed inverse problem, a test based on a nonparametric estimator of the structural function has low power. The test presented here is consistent whenever the structural function differs from the conditional quantile function on a set of non-zero probability. The test has non-trivial power uniformly over a large class of structural functions that differ from the conditional quantile function by O(n-1/2) . The results of Monte Carlo experiments illustrate the usefulness of the test.","PeriodicalId":50555,"journal":{"name":"Econometrics Journal","volume":"1 1","pages":""},"PeriodicalIF":1.9,"publicationDate":"2015-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68010918","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Confidence sets for the break date based on optimal tests 基于最佳测试的中断日期置信度集

IF 1.9 4区经济学

Econometrics Journal Pub Date : 2015-09-24 DOI: 10.1111/ectj.12055

Eiji Kurozumi, Yohei Yamamoto

引用次数: 12

Royal Economic Society Annual Conference 2012 Special Issue on Econometrics of Forecasting 2012年英国皇家经济学会年会预测计量经济学特刊

IF 1.9 4区经济学

Econometrics Journal Pub Date : 2015-07-14 DOI: 10.1111/ectj.12052

Richard J. Smith

引用次数: 0

Novel panel cointegration tests emending for cross-section dependence with N fixed 修正N固定时截面相关性的新型面板协整检验