Related papers: Testing for Nonlinear Cointegration under Heterosk…

We develop new econometric methods for the comparison of nonparametric time trends. In many applications, practitioners are interested in whether the observed time series all have the same time trend. Moreover, they would often like to know…

We develop a Hilbert--Schmidt independence criterion (HSIC)-based framework for testing serial independence in strictly stationary time series. The proposed auto Hilbert--Schmidt independence criterion (AutoHSIC) measures dependence between…

In this work, the distributional properties of the goodness-of-fit term in likelihood-based information criteria are explored. These properties are then leveraged to construct a novel goodness-of-fit test for normal linear regression models…

We propose a nonlinear elasto-plastic model, for which a specific class of hyperbolic elasticity arises as a straight consequence of the yield criterion invariance on the plasticity level. We superimpose this nonlinear elastic (or…

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…

We consider the problem of testing the parametric form of the volatility for high frequency data. It is demonstrated that in the presence of microstructure noise commonly used tests do not keep the preassigned level and are inconsistent.…

This paper provides asymptotically valid tests for the null hypothesis of no treatment effect heterogeneity. Importantly, I consider the presence of heterogeneity that is not explained by observed characteristics, or so-called idiosyncratic…

We propose a nonparametric procedure to test for changes in correlation matrices at an unknown point in time. The new test requires only mild assumptions on the serial dependence structure and has considerable power in finite samples. We…

We set up a formal framework to characterize encompassing of nonparametric models through the L2 distance. We contrast it to previous literature on the comparison of nonparametric regression models. We then develop testing procedures for…

This paper introduces diagnostic tests for the nature of lack of fit in ordinary differential equation models (ODEs) proposed for data. We present a hierarchy of three possible sources of lack of fit: unaccounted-for stochastic variation,…

In this paper, we provide non-parametric statistical tools to test stationarity of microstructure noise in general hidden Ito semimartingales, and discuss how to measure liquidity risk using high frequency financial data. In particular, we…

The problem of testing the equality of the generating processes of two categorical time series is addressed in this work. To this aim, we propose three tests relying on a dissimilarity measure between categorical processes. Particular…

We consider infinite-dimensional Hilbert space-valued random variables that are assumed to be temporal dependent in a broad sense. We prove a central limit theorem for the moving block bootstrap and for the tapered block bootstrap, and show…

This paper uses model symmetries in the instrumental variable (IV) regression to derive an invariant test for the causal structural parameter. Contrary to popular belief, we show that there exist model symmetries when equation errors are…

The paper considers nonparametric specification tests of quantile curves for a general class of nonstationary processes. Using Bahadur representation and Gaussian approximation results for nonstationary time series, simultaneous confidence…

In this paper the nonparametric quantile regression model is considered in a location-scale context. The asymptotic properties of the empirical independence process based on covariates and estimated residuals are investigated. In particular…

A linear and lagged relationship between inflation, unemployment and labor force change rate, p(t)=A0UE(t-t0)+A1dLF(t-t1)/LF(t-t1)+ A2, where A0, A1, and A2 are empirical country-specific coefficients, was found for developed economies. The…

We propose a computationally straightforward test for the linearity of a spatial interaction function. Such functions arise commonly, either as practitioner imposed specifications or due to optimizing behaviour by agents. Our conditional…

This paper develops a consistent heteroskedasticity robust Lagrange Multiplier (LM) type specification test for semiparametric conditional mean models. Consistency is achieved by turning a conditional moment restriction into a growing…

In modern experimental science, there is a common problem of estimating the coefficients of a linear regression in a context where the variables of interest cannot be observed simultaneously. When there is a categorical variable that is…