Related papers: Testing for threshold effects in the TARMA framewo…
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…
Autoregressive and moving-average (ARMA) models with stable Paretian errors is one of the most studied models for time series with infinite variance. Estimation methods for these models have been studied by many researchers but the problem…
This paper investigates the (conditional) quasi-likelihood ratio test for the threshold in MA models. Under the hypothesis of no threshold, it is shown that the test statistic converges weakly to a function of the centred Gaussian process.…
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 article proposes omnibus portmanteau tests for contrasting adequacy of time series models. The test statistics are based on combining the autocorrelation function of the conditional residuals, the autocorrelation function of the…
This paper introduces a new class of robust estimates for ARMA models. They are M-estimates, but the residuals are computed so the effect of one outlier is limited to the period where it occurs. These estimates are closely related to those…
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…
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…
In this paper we consider portmanteau tests for testing the adequacy of multiplicative seasonal autoregressive moving-average (SARMA) models under the assumption that the errors are uncorrelated but not necessarily independent.We relax the…
This paper focuses on testing for the presence of alpha in time-varying factor pricing models, specifically when the number of securities N is larger than the time dimension of the return series T. We introduce a maximum-type test that…
This paper introduces a likelihood ratio (LR)-type test that possesses the robustness properties of \(C(\alpha)\)-type procedures in an extremum estimation setting. The test statistic is constructed by applying separate adjustments to the…
This paper develops a consistent series-based specification test for semiparametric panel data models with fixed effects. The test statistic resembles the Lagrange Multiplier (LM) test statistic in parametric models and is based on a…
It is well known that the finite-sample null distribution of the Jarque-Bera Lagrange Multiplier (LM) test for normality and its adjusted version (ALM) introduced by Urzua differ considerably from their asymptotic chi^2(2) limit. Here, we…
This paper examines nonparametric regression with an exogenous threshold variable, allowing for an unknown number of thresholds. Given the number of thresholds and corresponding threshold values, we first establish the asymptotic properties…
In this paper, we provide finite sample results to assess the consistency of Generalized Pareto regression trees, as tools to perform extreme value regression. The results that we provide are obtained from concentration inequalities, and…
In this paper we consider a Lagrange Multiplier-type test (LM) to detect change in the mean of time series with heteroskedasticity of unknown form. We derive the limiting distribution under the null, and prove the consistency of the test…
Strong mixing property holds for a broad class of linear and nonlinear time series models such as ARMA and GARCH models. In this article we study correlation structure of strong mixing sequences, and some asymptotic properties are…
We consider a nonlinear polynomial regression model in which we wish to test the null hypothesis of structural stability in the regression parameters against the alternative of a break at an unknown time. We derive the extreme value…
We develop a class of optimal tests for a structural break occurring at an unknown date in infinite and growing-order time series regression models, such as AR($\infty$), linear regression with increasingly many covariates, and…