搜索结果: 1-6 共查到“数量经济学 Testing”相关记录6条 . 查询时间(0.046 秒)
This paper develops three asymptotically equivalent tests for examining the validity of imposing
linear inequality restrictions on the parameters of linear econometric models. First we consider the ...
LOCAL AND GLOBAL TESTING OF LINEAR AND NONLINEAR INEQUALITY CONSTRAINTS IN NONLINEAR ECONOMETRIC MODELS
LOCAL AND GLOBAL TESTING NONLINEAR INEQUALITY
2015/7/31
This paper considers a general nonlinear econometric model framework that
contains a large class of estimators defined as solutions to optimization
problems. For this framework we derive several a...
Low-Frequency Robust Cointegration Testing
stochastic trends persistence size distortion interest rates term spread
2014/3/18
Standard inference in cointegrating models is fragile because it relies on an assumption of an I (1) model for the common stochastic trends, which may not accurately describe the dataís persistence. T...
TESTING FOR COINTEGRATION WHEN SOME OF THE COINTEGRATING VECTORS ARE PRESPECIFIE
TESTING FOR COINTEGRATION THE COINTEGRATING VECTORSPRESPECIFIE
2014/3/18
Many economic models imply that ratios, simple differences, or "spreads" of variables are I(O). In these models, cointegrating vectors are composed of l's, O's, and - l's and ...
Testing for Common Trends
Cointegration Factor models Integrated processes Multiple time series Unit roots Yield curv
2014/3/18
Cointegrated multiple time series share at least one common trend. Two tests are developed for the number of common stochastic trends (i.e., for the order of cointegration) i...
TESTING FOR REGRESSION COEFFICIENT STABILITY WITH A STATIONARY AR(1) ALTERNATIVE
Regression Coefficient Stability Stationary AR(1) Alternative
2014/3/18
We discuss the problem of testing for constant versus time varying regression coefficients. Our alternative hypothesis allows the coefficients to follow a stationary AR(1) process...