DWK Andrews… - Econometrica: Journal of the Econometric …, 1994 - JSTOR
This paper derives asymptotically optimal tests for testing problems in which a nuisance
parameter exists under the alternative hypothesis but not under the null. For example, the
results apply to tests of one-time structural change with unknown change-point. Several ...
W Ploberger, W Krämer… - Journal of Econometrics, 1989 - Elsevier
Abstract We propose a new test for the constancy of regression coefficients in linear models.
The test does not require that possible change points be known. We derive the limiting null
distribution of the test statistic, prove that the test has non-trivial power against many local ...
W Ploberger… - Econometrica: Journal of the Econometric Society, 1992 - JSTOR
We show that the CUSUM test of the stability over time of the coefficients of a linear
regression model, which is usually based on recursive residuals, can also be applied to
ordinary least squares residuals. We derive the limiting null distribution of the resulting test ...
HJ Bierens… - Econometrica: Journal of the Econometric …, 1997 - JSTOR
In this paper we derive the asymptotic distribution of the test statistic of a generalized version
of the integrated conditional moment (ICM) test of Bierens (1982, 1984), under a class of n-
local alternatives, where n is the sample size. The generalized version involved includes ...
DWK Andrews, I Lee… - Journal of Econometrics, 1996 - Elsevier
This paper determines a class of finite-sample optimal tests for the existence of a
changepoint at an unknown time in a normal linear multiple regression model with known
variance. Optimal tests for multiple changepoints are also derived. It is shown that the ...
W Krämer, W Ploberger… - Econometrica: Journal of the Econometric …, 1988 - JSTOR
The well known CUSUM test for structural change is investigated when there are lagged
dependent variables among the regressors in a linear model. We show that both a modified
CUSUM test, suggested by Dufour (1982), and the straightforward CUSUM test retain their ...
PCB Phillips… - Econometric Theory, 1994 - Cambridge Univ Press
The Kalman filter is used to derive updating equations for the Bayesian data density in
discrete time linear regression models with stochastic regressors. The implied" Bayes
model" has time varying parameters and conditionally heterogeneous error variances. A< ...
PCB Phillips… - Econometrica: Journal of the Econometric …, 1996 - JSTOR
This paper develops an asymptotic theory of Bayesian inference for time series. A limiting
representation of the Bayesian data density is obtained and shown to be of the same
general exponential form for a wide class of likelihoods and prior distributions. Continuous ...
DWK Andrews… - The Annals of Statistics, 1995 - JSTOR
This paper establishes the asymptotic admissibility of the likelihood ratio (LR) test for a
general class of testing problems in which a nuisance parameter is present only under the
alternative hypothesis. The paper also establishes the finite sample admissibility of the LR ...
M Carrasco, L Hu… - Econometric Society 2004 …, 2004 - econ.sinica.edu.tw
Abstract We propose a new class of tests for the stability of parameters. We cover the class
of Hamilton models, where regime changes are driven by an unobservable Markov chain.
We derive a class of information matrix-type tests and show that they are equivalent to the ...
W Ploberger… - Econometrica, 2003 - Wiley Online Library
This paper characterizes empirically achievable limits for time series econometric modeling
and forecasting. The approach involves the concept of minimal information loss in time
series regression and the paper shows how to derive bounds that delimit the proximity of ...
W Ploberger… - Journal of Econometrics, 1996 - Elsevier
We discuss the null distribution and local power of an OLS-based version of the CUSUM test
and show that this, contrary to other tests for structural change like, eg, the Ploberger-
Kontrus-Krämer fluctuation test, can also be applied to trending data.
W Ploberger, W Krämer… - Empirical Economics, 1989 - Springer
We consider testing for structural change in a dynamic linear regression model, and show
that the well known CUSUM test, which has been initially devised only for the standard static
model, can easily be modified such as to remain asymptotically valid also in this ...
W Ploberger… - Economics Letters, 1986 - Elsevier
Economics Letters 20 (1986) 341-344 341 North-Holland ON STUDENTIZING A TEST FOR STRUCTURAL
CHANGE Werner PLOBERGER Technical University, A-1040 Vienna, Austria Walter KRER University
of Hannover, D-3000 Hannover 91, FRG Received 17 September 1985 Accepted 7 ...
W Ploberger - Journal of econometrics, 2004 - Elsevier
We construct an asymptotically complete class of tests (ie for a test not within this class one
can find a test within the class that has a better or equal asymptotical power function) for
testing one parametric restriction, when the likelihood function can be approximated by a ...
W Ploberger, PCB Phillips… - 1999 - fmwww.bc.edu
Abstract This paper seeks to characterize empirically achievable limits for time series
econometric modeling. The approach involves the concept of minimal information loss in
time series regression and the paper shows how to derive bounds that delimit the ...
[CITATION] The local power of the CUSUM-SQ test against heteroskedasticity
W Ploberger - International Institute for Applied Systems Analysis, …, 1989
W Ploberger, PCB Phillips… - COWLES …, 1998 - 128.36.236.35
Abstract In a typical empirical modeling context, the data generating process (DGP) of a time
series is assumed to be known up to a finite0dimensional parameter. In such cases,
Rissanen* s (1986) theorem provides a lower bound for the empir0 ically achievable ...
W Ploberger - Econometric Theory, 2008 - Cambridge Univ Press
Abstract This paper investigates the asymptotic behavior of tests in situations where the
likelihood is locally asymptotically quadratic. Necessary and sufficient conditions are given
for a test to be admissible. Even without these restrictive parametric assumptions, it is ...
W Ploberger… - Economics Letters, 1987 - Elsevier
Economics Letters 25 (1987) 255-258 255 North-Holland MEAN ADJUSTMENT AND THE CUSUM
TEST FOR STRUCTURAL CHANGE Werner PLOBERGER Technische Unioersit Wien, 1040
Vienna, Austria Walter KRAMER Universit Hannover, 3000 Hannover 91, FRG Received ...
W Ploberger… - Journal of Econometrics, 2012 - Elsevier
Abstract We analyze optimality properties of maximum likelihood (ML) and other estimators
when the problem does not necessarily fall within the locally asymptotically normal (LAN)
class, therefore covering cases that are excluded from conventional LAN theory such as ...
T Lee… - 2009 - homes.eco.auckland.ac.nz
Abstract Suppose one has given a sample of high-frequency intra-day discrete observations
of a continuous-time random process (eg stock market data) and wants to test for the
presence of jumps. We show that the power of any test of this hypothesis depends on the ...
[CITATION] vA Trent) Resistant Test for Structural Change Based on Ols Residualsv
P Werner… - Journal of Econometrics, 1996
W Ploberger, M Deistler, J Rissanen… - Econometric …, 1988 - Cambridge Univ Press
Professor Bierens' approach is definitely original and interesting. We think it might become
important, in particular, for testing correct specification of models (even nonlinear) in the time
series context. For example, his test in Section 6 is (to our knowledge) the first test of ...
DWK Andrews, X Liu… - COWLES FOUNDATION …, 1996 - cowles.econ.yale.edu
ABSTRACT This paper considers tests for seasonal and non-seasonal serial correlation in
time series and in the errors of regression models. The problem of testing for white noise
against multiplicative seasonal ARMA (1, 1)-ARMA (1, 1) alternatives is investigated. This ...
PCB Phillips… - Cowles Foundation Discussion …, 1999 - ideas.repec.org
This paper seeks to characterize empirically achievable limits for time series econometric
modeling. The approach involves the concept of minimal information loss in time series
regression and the paper shows how to derive bounds that delimit the proximity of ...
W Ploberger, HJ Bierens… - 1995 - arno.uvt.nl
In Bierens and Ploberger (1994) we have analyzed the local power of the ICM test. In
particular, we showed that the ICM test has nontrivial asymptotic power against√ n-local
alternatives. These results are briefly reviewed in section 2. Note that, next to the ...
HJ Bierens, W Ploberger… - 1995 - opengrey.eu
Asymptotic theory of integrated conditional tests. Herman J Bierens, Werner Ploberger, University
of St. Andrews. Centre for Research into Industry, Enterprise, Finance and the Firm University
of St. Andrews, Centre for Research into Industry, Enterprise, and the Firm, 1995.
X Liu… - 1996 - 128.36.236.35
ABSTRACT This paper considers tests for seasonal and non~ seasonal serial correlation in
time series and in the errors of regression models. The problem of testing for white noise
against multiplicative sea-sonal ARMA (1, 1)—ARMA (1, 1) alternatives is investigated. ...
DWK Andrews, HJ Bierens, RAL Carter… - Econometric …, 1990 - Cambridge Univ Press
Page 1. CUMULATIVE INDEX ECONOMETRIC THEORY VOLUME 6, 1990 ARTICLES
Andrews, Donald WK Additive Interactive Regression Models: Circumvention of the
Curse of Dimensionality 466 Bierens, Herman J. Model ...
S Coate, P Economics, J Galli… - …, 1999 - Wiley Online Library
Economists, including those who are not now members of the Econometric Society, are
invited to submit papers for presentation at the Congress. It is hoped that papers presented
at the Congress will represent a broad spectrum of applied and theoretical economics and ...
[CITATION] 2002 NORTH AMERICAN WINTER MEETING OF THE ECONOMETRIC SOCIETY
L Ausubel, S Berry, U Yale, A Case, PA Chiappori… - Econometrica, 1933 - G. Banta
W Ploberger - Econometric Society World Congress 2000 …, 2000 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks. Empirical
Limits for Time Series Models. Werner Ploberger. No 1909, Econometric Society World Congress
2000 Contributed Papers from Econometric Society. Abstract: No abstract. ...
W Ploberger - HT014602036, 2004 - eldorado.uni-dortmund.de
This paper analyzes linear models. It investigates the difference between the sum of squares
of the residuals and the sum of squares of the prediction errors when the parameter is
estimated consecutively: In case the regressors are" fractionally integrated"(in a very ...
T Lee… - 2009 - webmeets.com
Abstract We investigate the properties of pre% averaging estimators of integrated volatility,
first considered by Podolskij and Vetter (2009). We relax their assumptions on the properties
of market microstructure noise in order to include realistic and empirically relevant ...
[CITATION] Inferences about Threshold Effects in Macroeconomic Relationships
L Donayre, J Morley, S Fazzari… - 2008
W Ploberger… - Oxford Bulletin of Economics and …, 2003 - Wiley Online Library
Ploberger and Phillips (Econometrica, Vol. 71, pp. 627–673, 2003) proved a result that
provides a bound on how close a fitted empirical model can get to the true model when the
model is represented by a parameterized probability measure on a finite dimensional ...
WK Newey, JL Powell, DB Nelson… - Econometric …, 1990 - Cambridge Univ Press
Cambridge Journals. Home; CJO Mobile; Contact Us; Site Map; Help; FAQ; Accessibility;
Register. Basket; Log in. User Log-in; Athens Log-in; Institutional Log-in. Username or
Email Address: Password: Remember me. Forgot your Password? ...
[CITATION] Pre% averaging Estimator of Realized Variance
T Lee… - 2009
[CITATION] A Complete Class of Tests When Nuisance Parameter is Present Only Under the Alternative
L Hu… - 2004
W Krämer, W Ploberger… - … Fakultät der Universität Hannover, 1987 - ideas.repec.org
No abstract is available for this item. ... To our knowledge, this item is not available for
download. To find whether it is available, there are three options: 1. Check below under "Related
research" whether another version of this item is available online. 2. Check on the ...
W Ploberger - Econometric Society 2004 North American Winter …, 2004 - ideas.repec.org
In this paper it is shown that" classical" tests can become asymptotically inadmissible (ie we
show that there exist uniformly better tests) if the information matrix becomes stochastic: A
typical example is the augmented Dickey-Fuller test for unit roots (in case of no ...
PCB Phillips… - Econometric Theory, 1994 - Cambridge Univ Press
Page 1. Contents continued from back cover Peter CB Phillips and Werner Ploberger Posterior
Odds Testing for a Unit Root with Data-Based Model Selection 774 YALE-NSF CONFERENCE
SERIES Conference Program: "Bayes Methods and Unit Roots" 809 CORRIGENDUM ...
P Boswijk, J Davidson, N Haldrup… - …, 2000 - Wiley Online Library
SANTIAGO DE COMPOSTELA, SPAIN 29 AUGUST 1 SEPTEMBER, 1999 ... Andrew
Chesher, University College London, London Chair Peter Boswijk, University of Amsterdam,
Amsterdam James Davidson, University of Wales Russell Davidson, GREQAM Miguel ...
[CITATION] Inferences about Structural Instability in Macroeconomics
Y Eo, J Morley, J Bullard, S Fazzari…
W Ploberger… - 1997 - books.google.com
The twin notions of 'simplicity'and 'complexity'affect modelling throughout the social and
physical sciences and are recognized as being important in most modelling methodologies,
even though there may be no general agreement on methodological principles ...
PCB Phillips… - 1991 - 128.36.236.35
Some econometricians, notably Sims (1988) and Sims and Uhlig [1988/1991) have argued
recently that time series models provide important examples where Bayesian and classical
methods differ fundamentally. Phillips (1991) showed that some aspects of the differences ...
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