Related papers: Testing for threshold regulation in presence of me…

In this paper we consider the problem of detecting a change in the parameters of an autoregressive process, where the moments of the innovation process do not necessarily exist. An empirical likelihood ratio test for the existence of a…

We consider bootstrap-based testing for threshold effects in non-linear threshold autoregressive (TAR) models. It is well-known that classic tests based on asymptotic theory tend to be oversized in the case of small, or even moderate sample…

Many macroeconomic time series are characterised by nonlinearity both in the conditional mean and in the conditional variance and, in practice, it is important to investigate separately these two aspects. Here we address the issue of…

This paper develops tests of the null hypothesis of linearity in the context of autoregressive models with Markov-switching means and variances. These tests are robust to the identification failures that plague conventional likelihood-based…

As a common step in refining their scientific inquiry, investigators are often interested in performing some screening of a collection of given statistical hypotheses. For example, they may wish to determine whether any one of several…

We tackle the stationarity issue of an autoregressive path with a polynomial trend, and we generalize some aspects of the LMC test, the testing procedure of Leybourne and McCabe. First, we show that it is possible to get the asymptotic…

The issue addressed in this paper is that of testing for common breaks across or within equations of a multivariate system. Our framework is very general and allows integrated regressors and trends as well as stationary regressors. The null…

Suppose (standardized) measurements or statistics are monitored to raise an alarm when a threshold is exceeded. Often, the underlying population is heterogenous with respect to important discrete variables and thus samples may consist of…

Testing for regime switching when the regime switching probabilities are specified either as constants (`mixture models') or are governed by a finite-state Markov chain (`Markov switching models') are long-standing problems that have also…

We derive a new class of statistical tests for generalized linear models based on thresholding point estimators. These tests can be employed whether the model includes more parameters than observations or not. For linear models, our tests…

This paper revisits the Lagrange multiplier type test for the null hypothesis of no cross-sectional dependence in large panel data models. We propose a unified test procedure and its power enhancement version, which show robustness for a…

We consider the problem of testing a null hypothesis defined by equality and inequality constraints on a statistical parameter. Testing such hypotheses can be challenging because the number of relevant constraints may be on the same order…

Change point analysis has become an important research topic in many fields of applications. Several research work has been carried out to detect changes and its locations in time series data. In this paper, a nonparametric method based on…

In high-dimensional time series, the component processes are often assembled into a matrix to display their interrelationship. We focus on detecting mean shifts with unknown change point locations in these matrix time series. Series that…

It is an important task in the literature to check whether a fitted autoregressive moving average (ARMA) model is adequate, while the currently used tests may suffer from the size distortion problem when the underlying autoregressive models…

Threshold autoregressive moving-average (TARMA) models are popular in time series analysis due to their ability to parsimoniously describe several complex dynamical features. However, neither theory nor estimation methods are currently…

In this paper, in order to test whether changes have occurred in a nonlinear parametric regression, we propose a nonparametric method based on the empirical likelihood. Firstly, we test the null hypothesis of no-change against the…

This paper proposes a sequential test procedure for determining the number of regimes in nonlinear multivariate autoregressive models. The procedure relies on linearity and no additional nonlinearity tests for both multivariate smooth…

This paper proposes novel tests for the absence of jumps in a univariate semimartingale and for the absence of common jumps in a bivariate semimartingale. Our methods rely on ratio statistics of power variations based on irregular…

This paper studies the validity of nonparametric tests used in the regression discontinuity design. The null hypothesis of interest is that the average treatment effect at the threshold in the so-called sharp design equals a pre-specified…