Browsing Τμήμα Οικονομικών / Department of Economics by Subject "Statistical tests"

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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) ...
    • Article  

      Residual-based rank specification tests for AR-GARCH type models 

      Andreou, Elena; Werker, Bas J. M. (2015)
      This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR-GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial ...