Browsing Τμήμα Οικονομικών / Department of Economics by Author "Kasparis, Ioannis"
Now showing items 1-11 of 11
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Article
The Bierens test for certain nonstationary models
Kasparis, Ioannis (2010)We adapt the Bierens (1990) test to the I-regular models of Park and Phillips (2001). Bierens (1990) defines the test hypothesis in terms of a conditional moment condition. Under the null hypothesis, the moment condition ...
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Article
Detection of functional form misspecification in cointegrating relations
Kasparis, Ioannis (2008)A simple specification test based on fully modified residuals and the cumulative sum (CUSUM) test for cointegration of Xiao and Phillips (2002, Journal of Econometrics, 108, 43-61) are considered as means of testing for ...
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Article
Dynamic misspecification in nonparametric cointegrating regression
Kasparis, Ioannis; Phillips, Peter C. B. (2012)Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The limit properties of the Nadaraya-Watson (NW) ...
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Book
Dynamic misspecification in nonparametric cointegrating regression
Kasparis, Ioannis; Phillips, Peter C. B. (2009)Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The requisite limit theory involves sample covariances ...
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Article
Functional form misspecification in regressions with a unit root
Kasparis, Ioannis (2011)We examine the limit properties of the nonlinear least squares (NLS) estimator under functional form misspecification in regression models with a unit root. Our theoretical framework is the same as that of Park and Phillips ...
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Doctoral Thesis
Functional form misspecification in regressions with integrated time series
Kasparis, Ioannis (2004)
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Book
Non-linearity induced weak instrumentation
Kasparis, Ioannis; Phillips, Peter C. B.; Magdalinos, Tassos (2012)
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Article
Nonlinearity Induced Weak Instrumentation
Kasparis, Ioannis; Phillips, Peter C. B.; Magdalinos, Tassos (2014)In regressions involving integrable functions we examine the limit properties of instrumental variable (IV) estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be ...
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Article
Nonparametric predictive regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. (2015)A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are ...
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Book
Nonparametric predictive regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. (2013)
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Book
Nonparametric predictive regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. (2012)