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A primer on unit root testing

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PCB Phillips… - Journal of Economic Surveys, 1998 - Wiley Online Library
The immense literature and diversity of unit root tests can at times be confusing even to the
specialist and presents a truly daunting prospect to the uninitiated. In consequence, much
empirical work still makes use of the simplest testing procedures because it is unclear ...
Cited by 234 - Related articles - Library Search - BL Direct - All 27 versions

Inference on the quantile regression process

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R Koenker… - Econometrica, 2002 - Wiley Online Library
2. Abstract Tests based on the quantile regression process can be formulated like the
classical Kolmogorov–Smirnov and Cramér–von–Mises tests of goodness–of–fit employing
the theory of Bessel processes as in Kiefer (1959). However, it is frequently desirable to ...
Cited by 172 - Related articles - Library Search - BL Direct - All 22 versions

[PDF] Quantile autoregression

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R Koenker… - Journal of the American Statistical Association, 2006 - ASA
We consider quantile autoregression (QAR) models in which the autoregressive coefficients
can be expressed as monotone functions of a single, scalar random variable. The models
can capture systematic influences of conditioning variables on the location, scale, and ...
Cited by 90 - Related articles - View as HTML - BL Direct - All 25 versions

[PDF] Unit root quantile autoregression inference

[PDF] from amstat.org
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R Koenker… - Journal of the American Statistical Association, 2004 - ASA
We study statistical inference in quantile autoregression models when the largest
autoregressive coefficient may be unity. The limiting distribution of a quantile autoregression
estimator and its t-statistic is derived. The asymptotic distribution is not the conventional ...
Cited by 49 - Related articles - View as HTML - BL Direct - All 21 versions

[PDF] More efficient local polynomial estimation in nonparametric regression with autocorrelated errors

[PDF] from amstat.org
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Z Xiao, OB Linton, RJ Carroll… - Journal of the American Statistical …, 2003 - ASA
We propose a modification of local polynomial time series regression estimators that
improves efficiency when the innovation process is autocorrelated. The procedure is based
on a pre-whitening transformation of the dependent variable that must be estimated from ...
Cited by 44 - Related articles - View as HTML - Library Search - BL Direct - All 26 versions

An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy

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Z Xiao… - The Econometrics Journal, 1998 - Wiley Online Library
This paper proposes an Augmented Dickey-Fuller (ADF) coefficient test for detecting the
presence of a unit root in autoregressive moving average (ARMA) models of unknown order.
Although the limit distribution of the coefficient estimate depends on nuisance parameters, ...
Cited by 38 - Related articles - Library Search - BL Direct - All 21 versions

A generalized partially linear model of asymmetric volatility

[PDF] from psu.edu
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G Wu, Z Xiao - Journal of Empirical Finance, 2002 - Elsevier
In this paper we conduct a close examination of the relationship between return shocks and
conditional volatility. We do so in a framework where the impact of return shocks on
conditional volatility is specified as a general function and estimated nonparametrically ...
Cited by 36 - Related articles - All 10 versions

How to estimate autoregressive roots near unity

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PCB Phillips, HR Moon… - Econometric Theory, 2001 - Cambridge Univ Press
Abstract A new model of near integration is formulated in which the local to unity parameter
is identifiable and consistently estimable with time series data. The properties of the model
are investigated, new functional laws for near integrated time series are obtained that lead ...
Cited by 32 - Related articles - Library Search - BL Direct - All 33 versions

Testing the null hypothesis of stationarity against an autoregressive unit root alternative

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Z Xiao - Journal of Time Series Analysis, 2001 - Wiley Online Library
We propose a new test for the null hypothesis that a time series is stationary around a
deterministic trend. The test is valid under general conditions on stationarity. Asymptotic
distributions of the test statistic are derived under both the null and the alternative ...
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A CUSUM test for cointegration using regression residuals

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Z Xiao… - Journal of Econometrics, 2002 - Elsevier
We show that the conventional CUSUM test for structural change can be applied to
cointegrating regression residuals leading to a consistent residual-based test for the null
hypothesis of cointegration. The proposed tests are semiparametric and utilize fully ...
Cited by 30 - Related articles - Library Search - BL Direct - All 21 versions

Higher-order approximations for frequency domain time series regression

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Z Xiao… - Journal of Econometrics, 1998 - Elsevier
Second-order expansions and mean squared error approximations are given for efficient
frequency domain regression estimators. While bandwidth choices do not figure in first order
asymptotics for these estimators, they do influence second-order terms and it is shown ...
Cited by 27 - Related articles - All 10 versions

A residual based test for the null hypothesis of cointegration

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Z Xiao - Economics Letters, 1999 - Elsevier
This paper proposes a residual based test for the null hypothesis of cointegration based on
the recursive-estimates statistic. Limiting distributions of the test are derived under both the
null and the alternative hypotheses. The test is semiparametric, using nonparametric ...
Cited by 26 - Related articles - All 5 versions

[PDF] Are there speculative bubbles in stock markets? Evidence from an alternative approach

[PDF] from nes.ru
G Wu, Z Xiao - Preprint, 2002 - pages.nes.ru
Abstract Monte Carlo evidence [Evans (1991)] indicates that when speculative bubbles are
collapsible, the traditional cointegration approach based on unit root tests has some serious
drawbacks. We propose in this paper an alternative approach to test such bubbles. We ...
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[PDF] An analysis of risk measures

[PDF] from uh.edu
G Wu, Z Xiao - Journal of Risk, 2002 - bauer.uh.edu
Several recent articles on risk management indicate that a quantile measure of losses such
as value-at-risk may not contain enough, or the right, information for risk managers. This
paper presents a comprehensive empirical analysis of a set of left-tail measures (LTMs): ...
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Functional-coefficient cointegration models

[PDF] from nus.edu.sg
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Z Xiao - Journal of Econometrics, 2009 - Elsevier
This paper studies estimation and inference of functional coefficient cointegration models.
The proposed model offers a more flexible structure of cointegration where the value of
cointegrating coefficients may be affected by informative covariates and thus may vary ...
Cited by 17 - Related articles - All 7 versions

Efficient detrending in cointegrating regression

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Z Xiao… - Econometric Theory, 1999 - Cambridge Univ Press
This paper studies efficient detrending in cointegrating regression and develops modified
tests for cointegration that use efficient detrending procedures+ Asymptotics for these tests
are derived+ Monte Carlo experiments are conducted to evaluate the detrending ...
Cited by 17 - Related articles - BL Direct - All 18 versions

A nonparametric test for changing trends

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T Juhl… - Journal of Econometrics, 2005 - Elsevier
Many tests of parameter change in dynamic models exhibit nonmonotonic power. An
important source of the nonmonotonic power comes from the bias in estimating parameters
when there is a change in the deterministic component. To avoid this bias, we propose a ...
Cited by 16 - Related articles - All 6 versions

[PDF] Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models

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Z Xiao… - Journal of the American Statistical Association, 2009 - ASA
Conditional quantile estimation is an essential ingredient in modern risk management.
Although generalized autoregressive conditional heteroscedasticity (GARCH) processes
have proven highly successful in modeling financial data, it is generally recognized that it ...
Cited by 14 - Related articles - View as HTML - All 15 versions

A nonparametric regression estimator that adapts to error distribution of unknown form

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O Linton, Z Xiao, M Aerts, G Claeskens… - Econometric …, 2007 - Cambridge Univ Press
~ Staniswalis, 1989, Journal of the American Statistical Association 84, 276–283; Fan,
Farmen, and Gijbels, 1998, Journal of the Royal Statistical Society, Series B 60, 591–608;
and Fan and Chen, 1999, Journal of the Royal Statistical Society, Series B 61, 927–943!, ...
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Likelihood-based inference in trending time series with a root near unity

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Z Xiao - Econometric Theory, 2001 - Cambridge Univ Press
Abstract This paper studies likelihood-based estimation and tests for autoregressive time
series models with deterministic trends and general disturbance distributions. In particular, a
joint estimation of the trend coefficients and the autoregressive parameter is considered. ...
Cited by 13 - Related articles - BL Direct - All 9 versions

Testing covariance stationarity

[PDF] from fgv.br
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Z Xiao… - Econometric Reviews, 2007 - Taylor & Francis
In this paper, we show that the widely used stationarity tests such as the Kwiatkowski
Phillips, Schmidt, and Shin (KPSS) test have power close to size in the presence of time-
varying unconditional variance. We propose a new test as a complement of the existing ...
Cited by 12 - Related articles - Library Search - BL Direct - All 15 versions

Quantile cointegrating regression

[PDF] from bc.edu
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Z Xiao - Journal of Econometrics, 2009 - Elsevier
Quantile regression has important applications in risk management, portfolio optimization,
and asset pricing. The current paper studies estimation, inference and financial applications
of quantile regression with cointegrated time series. In addition, a new cointegration ...
Cited by 12 - Related articles - All 13 versions

Partially linear models with unit roots

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T Juhl… - Econometric Theory, 2005 - Cambridge Univ Press
This paper studies the asymptotic properties of a nonstationary partially linear regression
model+ In particular, we allow for covariates to enter the unit root~ or near unit root! model in
a nonparametric fashion, so that our model is an extension of the semiparametric model ...
Cited by 10 - Related articles - Library Search - BL Direct - All 22 versions

Higher order approximations for Wald statistics in time series regressions with integrated processes

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Z Xiao… - Journal of econometrics, 2002 - Elsevier
Asymptotic expansions are developed for Wald test statistics in time series regressions with
integrated processes. These expansions provide an opportunity to reduce size distortion in
testing by suitable bandwidth selection, and automated rules for doing so are calculated. ...
Cited by 9 - Related articles - Library Search - All 14 versions

Second-order approximation for adaptive regression estimators

[PDF] from lse.ac.uk
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O Linton… - Econometric Theory, 2001 - Cambridge Univ Press
Abstract We derive asymptotic expansions for semiparametric adaptive regression
estimators. In particular, we derive the asymptotic distribution of the second-order effect of an
adaptive estimator in a linear regression whose error density is of unknown functional ...
Cited by 8 - Related articles - BL Direct - All 14 versions

Power functions and envelopes for unit root tests

[PDF] from ku.edu
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T Juhl… - Econometric Theory, 2003 - Cambridge Univ Press
This paper studies power functions and envelopes for covariate augmented unit root tests+
The power functions are calculated by integrating the characteristic function, allowing
accurate evaluation of the power envelope and the power functions+ Using the power ...
Cited by 8 - Related articles - BL Direct - All 12 versions

[PDF] Testing structural change in time-series nonparametric regression models

[PDF] from 147.46.167.195
L Su, Z Xiao - 2006 - 147.46.167.195
Abstract We propose two sets of tests for structural change in dynamic nonparametric
regression models. The first test is based upon sequential kernel estimation of the
regression function and thus termed a kernel test. The second test is a CUSUM test based ...
Cited by 6 - Related articles - View as HTML - All 7 versions

Beyond the central tendency: Quantile regression as a tool in quantitative investing

Full text - MIT Libraries
C Gowlland, Z Xiao… - The Journal of Portfolio Management, 2009 - iijournals.com
Quantitative investors frequently analyze factor performance using regression based on the
familiar ordinary least squares approach. This is highly effective for understanding the
central tendency within a dataset, but will often be less useful for assessing the behavior ...
Cited by 6 - Related articles

Do shocks last forever? Local persistency in economic time series

LR Lima… - Journal of Macroeconomics, 2007 - Elsevier
While it is recognized that many macroeconomic time series are highly persistent over
certain range, less persistent results are also found around very long horizons, indicating the
existence of local or temporary persistency. In this paper, we study locally persistent ...
Cited by 6 - Related articles - Get it from MIT Libraries - All 7 versions

Testing for cointegration using partially linear models

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T Juhl… - Journal of econometrics, 2005 - Elsevier
A partially linear model of cointegration is developed where stationary covariates enter
nonparametrically. We propose tests for cointegration using singular values of the estimated
autoregressive matrix. The tests are based on eigenvalues of standardized matrices and ...
Cited by 6 - Related articles - All 6 versions

Tests for changing mean with monotonic power

[PDF] from bc.edu
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T Juhl… - Journal of Econometrics, 2009 - Elsevier
Several widely used tests for a changing mean exhibit nonmonotonic power in finite
samples, due to “incorrect” estimation of nuisance parameters under the alternative. In this
paper, we study the issue of nonmonotonic power in testing for changing mean. We ...
Cited by 6 - Related articles - All 14 versions

[CITATION] Inference on the quantile regression process: Appendices

R Koenker… - Working Paper, 2001 - University of Illinois at Urbana- …
Cited by 5 - Related articles - Get it from MIT Libraries

[CITATION] Are there speculative bubbles in stock markets

G Wu, Z Xiao - Evidence from an alternative approach. Preprint, 2002
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Copula‐based nonlinear quantile autoregression

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X Chen, R Koenker… - The Econometrics Journal, 2009 - Wiley Online Library
Summary Parametric copulas are shown to be attractive devices for specifying quantile
autoregressive models for nonlinear time-series. Estimation of local, quantile-specific copula-
based time series models offers some salient advantages over classical global parametric ...
Cited by 6 - Related articles - All 28 versions

A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom

[PDF] from uni-muenchen.de
A Atak, O Linton… - Journal of econometrics, 2011 - Elsevier
This paper is concerned with developing a semiparametric panel model to explain the trend
in UK temperatures and other weather outcomes over the last century. We work with the
monthly averaged maximum and minimum temperatures observed at the twenty six ...
Cited by 4 - Related articles - Get it from MIT Libraries - All 17 versions

Testing unit root based on partially adaptive estimation

[PDF] from fgv.br
LR Lima… - Econometric Society 2004 Latin American …, 2004 - ideas.repec.org
This paper proposes unit root tests based on partially adaptive estimation. The proposed
tests provide an intermediate class of inference procedures that are more efficient than the
traditional OLS-based methods and simpler than unit root tests based on fully adaptive ...
Cited by 4 - Related articles - Cached - Library Search - All 7 versions

Note on bandwidth selection in testing for long range dependence

Full text - MIT Libraries
Z Xiao - Economics Letters, 2003 - Elsevier
Many tests for I (0) versus I (d) processes are standardized by long-run variance estimators,
which are estimated by nonparametric methods that entail a choice of bandwidth. Data-
dependent bandwidth choices using plug-in methods have been suggested and used in ...
Cited by 4 - Related articles - All 5 versions

Testing Stationarity Using M-Estimation

R Koenker… - Econometric theory and practice: frontiers of …, 2006 - books.google.com
There is a large body of literature in time series econometrics on the debate over whether
economic time series are best characterized as trend stationary processes or difference
stationary processes. Since the influential article by Nelson and Plosser (1982), hundreds ...
Cited by 3 - Related articles

[CITATION] Robustness of stationary tests under long-memory alternatives

[PDF] from fgv.br
LRRO Lima… - 2004 - bibliotecadigital.fgv.br
Abstract This paper investigates the presence of long memory in financial time series using
four test statistics: V/S, KPSS, KS and modified R/S. There has been a large amount of study
on the long memory behavior in ecoM nomic and financial time series. However, there is ...
Cited by 3 - Related articles - Library Search - All 8 versions

[CITATION] Inference on the Regression Quantile

Full text - MIT Libraries
R Koenker… - Econometrica, 2002
Cited by 2 - Related articles

[CITATION] O+ B+ Linton, R+ J+ Carroll, & E+ Mammen~ 2003! More efficient local polynomial estimation in nonparametric regression with autocorrelated errors+

Full text - MIT Libraries
Z Xiao - Journal of the American Statistical Association
Cited by 2 - Related articles

A semiparametric panel model for climate change in the United Kingdom

A Atak, O Linton… - 2009 - Citeseer
Abstract This paper is concerned with developing a semiparametric model to explain the
trend in UK temperatures and other weather outcomes over the last century. We work with
the monthly averaged maximum and minimum temperatures observed at the twenty six ...
Cited by 2 - Related articles - Cached - All 3 versions

Semiparametric quantile regression estimation in dynamic models with partially varying coefficients

[PDF] from bc.edu
Z Cai… - Journal of Econometrics, 2011 - Elsevier
We study quantile regression estimation for dynamic models with partially varying
coefficients so that the values of some coefficients may be functions of informative
covariates. Estimation of both parametric and nonparametric functional coefficients are ...
Cited by 2 - Related articles - Get it from MIT Libraries - All 7 versions

[CITATION] Is There Long Memory in Financial Time Series?

LR Lima… - 2006 - Mimeo
Cited by 1 - Related articles

[PDF] A Robust Estimator of Conditional Volatility

[PDF] from webmeets.com
Z Xiao… - Unpublished document, 2010 - webmeets.com
Abstract In this paper, we propose a novel method to robustly estimate conditional volatility
using combined quantile regressions. The proposed method utilizes the distributional
information of data and is robust against non&Gaussian innovations, and finite activity ...
Cited by 1 - Related articles - View as HTML

A Research on Safety Monitoring and Managing System of Chinese Edible Farm Products

Z Laijun, T Xiaoping… - Contemporary Economy & …, 2008 - en.cnki.com.cn
Food safety is crucial to people health, society stabilization and economic development.
Insuring edible farm products safe is urgent because the problem of edible farm produce
safety in China is tremendously serious. Authors firstly analyze actuality and problems of ...
Cited by 1 - Related articles - Cached

[BOOK] More efficient kernel estimation in nonparametric regression with autocorrelated errors

[PDF] from lse.ac.uk
RJ Carroll, OB Linton, E Mammen, Z Xiao… - 2002 - papers.ssrn.com
Abstract: We propose a modification of kernel time series regression estimators that
improves efficiency when the innovation process is autocorrelated. The procedure is based
on a pre-whitening transformation of the dependent variable that has to be estimated from ...
Cited by 1 - Related articles - Get it from MIT Libraries - Library Search - All 9 versions

Is there long memory in financial time series?

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LR Lima… - Applied Financial Economics, 2010 - Taylor & Francis
There has been a large amount of research on long memory in economic and financial time
series. However, there is still no consensus on its presence in these series. We argue in this
article that spurious short memory may be found because of the use of bandwidth ...
Cited by 1 - Related articles - All 7 versions

[CITATION] Efficiency Issues in stationary and nonstationary time series regression

Z Xiao - 1997 - Yale University
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[CITATION] Testing Speculative Bubbles in Stock Markets

G Wu, Z Xiao - University of Michigan and University of Illinois at …, 2004
Cited by 1 - Related articles

[PDF] Higher order approximations for Wald statistics in cointegrating regressions

[PDF] from yale.edu
Z Xiao, PCB Phillips… - COWLES …, 1998 - dido.wss.yale.edu
Abstract Asymptotic expansions are developed for Wald test statistics in coin0 tegrating
regression models. These expansions provide an opportunity to reduce size distortion in
testing by suitable bandwidth selection, and auto0 mated rules for doing so are calculated. ...
Cited by 1 - Related articles - View as HTML - Library Search - BL Direct - All 11 versions

[PDF] Recent Advances in Panel Data, Nonlinear and Nonparametric Models: A Festschrift in Honor of Peter CB Phillips

[PDF] from mysmu.edu
RS Mariano, Z Xiao… - Journal of Econometrics, 2012 - mysmu.edu
On July 14-15, 2008, the School of Economics and the Sim Kee Boon Institute for Financial
Economics at Singapore Management University (SMU) co-hosted a conference honoring
Peter Phillips' contribution to econometrics and statistics in celebration of his 60th birthday ...
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On bootstrapping regressions with unit root processes

Full text - MIT Libraries
H Li… - Statistics & probability letters, 2000 - Elsevier
This paper studies the bootstrap procedures for time-series regressions with unit root
processes. It is shown that the suggested bootstrap approximation to the distribution of least-
squares estimator is asymptotically valid. Simulation results indicate that the bootstrap ...
Related articles - All 8 versions

The Pretty Good Analyst

D Bernhardt, Z Xiao… - 2012 - papers.ssrn.com
Abstract: We use MCMC methods to estimate a dynamic model of financial analysts'
recommendations. We find overwhelming evidence that analysts acquire information with
persistent valuation consequences that the econometrician does not observe, and that ...
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Journal of Time Series Econometrics

LR Lima… - degruyter.com
Abstract This paper proposes unit root tests based on partially adaptive estimation. The
proposed tests provide an intermediate class of inference procedures that are more efficient
than the traditional OLS-based methods and simpler than unit root tests based on fully ...

[PDF] Efficient Regressions via Optimally Combining Quantile Information

[PDF] from illinois.edu
Z Zhao… - 2011 - economics.illinois.edu
Abstract We study efficient estimation of regression models via quantile regression. Both the
classical parametric linear regression model and the nonparametric regression model are
investigated. We argue that it is crucial to optimally combine information over quantiles. ...
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[PDF] MONOTONIC POWER IN TESTS FOR CHANGING MEAN

[PDF] from nd.edu
TED JUHL… - nd.edu
Abstract. Many tests for a changing mean in a time series require the estimation of a long run
variance. Recent research of Crainiceanu and Vogelsang (2001) suggests that tests
involving a long run variance estimate exhibit non-monotonic power. We propose an ...
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The Multiple Quantile Regression on Quantile Ranges Model

CM Kuan, C Michalopoulos… - 2011 - papers.ssrn.com
Abstract: Motivated by the fact that a linear specification in a quantile regression setting is
unable to describe the non-linear relations among economic variables, well documented in
the empirical econometrics literature, we formulate and analyze a multiple threshold ...
Related articles

[CITATION] Are There Long-Range Dependence In Financial Time Series?

LR Lima… - 2008 - en.scientificcommons.org
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[CITATION] Modeling quantile dependence: Estimating the correlations of international stock returns

NCS Sim, Z Xiao - Australian Conference of …, 2009 - digital.library.adelaide.edu.au
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Estimation of and Inference about the Expected Shortfall for Time Series with Infinite Variance

O Linton… - 2011 - papers.ssrn.com
Abstract: We study estimation and inference of Expected Shortfall (ES) for time series with
Infinite variance. The rate of convergence is determined by the tail thickness parameter and
the limiting distribution is in the stable class with parameters depending on the tail ...
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COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and AM …

Full text - MIT Libraries
Z Xiao - Econometric Theory, 2009 - Cambridge Univ Press
I congratulate Harvey, Leybourne, and Taylor on writing a truly interesting and stimulating
paper on an important issue in practice: how to conduct unit root tests. The authors provided
a simple practical guide that should prove very useful in time series applications. I find ...
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Estimating average economic growth in time series data with persistency

Full text - MIT Libraries
Z Xiao - Journal of Macroeconomics, 2004 - Elsevier
This paper studies estimation of average economic growth in time series models with
persistency. In particular, a joint estimation of the trend coefficient and the autoregressive
parameter is considered. An analysis on the proposed estimator is provided. Our analysis ...
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[PDF] Weak Instruments Estimation and Inference in the Presence of Parameter Instability

[PDF] from brandeis.edu
H Li… - people.brandeis.edu
Abstract The paper considers time series models when (i) some or all of the parameters are
weakly identified and (ii) some or all of the parameters are time varying. Following the
previous literature, the weak correlations between the instruments and the relevant first ...
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[PDF] FRACTILES ON QUANTILE REGRESSION WITH APPLICATIONS

[PDF] from mysmu.edu
AK BERA, A GHOSH… - 2011 - mysmu.edu
Abstract. This year celebrates the 50th aniversary of Fractile Graphical Analy& sis proposed
by Prashanta Chandra Mahalanobis (Mahalanobis, 1961) in a series of papers and
seminars as a method for comparing two distributions controlling for the rank of a ...
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[PDF] QUANTILE REGRESSION OF COINTEGRATED TIME SERIES

[PDF] from ku.edu
Z Xiao - 2004 - economics.ku.edu
Quantile regression of cointegrated time series has interesting and important applications in
economics and finance. In this paper, we study estimation, inference, and applications of
quantile regression of cointegrated time series. Limiting distribution of the regression ...
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Robust inference in nonstationary time series models

[PDF] from smu.edu.sg
Z Xiao - Journal of Econometrics, 2012 - Elsevier
Abstract This paper studies robust inference in unit root and cointegration models. The
analysis covers a range of important inference problems including testing stationarity
against unit roots, testing for structure change in nonstationary regressions, and testing for ...
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Quantile Regression on Quantile Ranges

[PDF] from ntu.edu.tw
CM Kuan, C Michalopoulos… - 2010 - papers.ssrn.com
Abstract: Motivated by the fact that a linear specification in a quantile regression setting is
unable to describe the non-linear relations among economic variables, well documented in
the empirical econometrics literature, we formulate a threshold quantile regression model ...
Related articles - All 2 versions

[PDF] Conditional Quantile Estimation for GARCH Models (Preliminary)

[PDF] from ku.edu
Z Xiao… - 2008 - economics.ku.edu
Abstract Conditional quantile is an essential ingredient in various risk measures, and the
GARCH process has proven to be highly successful in modelling financial data. In this
paper, we study estimation of conditional quantiles for GARCH Models using quantile ...
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[PDF] N-CONSISTENT SEMIPARAMETRIC REGRESSION: UNIT ROOT TESTS WITH NONLINEARITIES

[PDF] from bc.edu
T Juhl… - fmwww.bc.edu
Abstract. We develop unit root tests using additional time series as suggested in Hansen
(1995). However, we allow for the covariate to enter the model in a nonlinear fashion, so that
our model is an extension of the semiparametric model analyzed in Robinson (1988). It is ...
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[PDF] Adaptive Nonparametric Regression with Conditional Heteroskedasticity

[PDF] from xmu.edu.cn
L SU, S JIN… - 2006 - wise.xmu.edu.cn
Abstract We extend the nonparametric adaptive estimation of Linton and Xiao (2005) to
allow for conditional heteroskedasticity of unknown form. We demonstrate that both the
conditional mean and conditional variance functions in a nonparametric regression model ...
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N-Consistent Semiparametric Regression: Partially Linear Models with Unit Roots

T Juhl… - … Society World Congress 2000 Contributed Papers, 2000 - ideas.repec.org
We develop unit root tests using additional stationary covariates as suggested in Hansen
(1995). However, we allow for the covariates to enter the model in a nonparametric fashion,
so that our model is an extension of the semiparametric model analyzed in Robinson ( ...
Cached - All 4 versions

[DOC] BOOTSTRAPPING THE PHILLIPS-PERRON UNIT ROOT TEST

[DOC] from nccu.edu.tw
H Li… - iceb.nccu.edu.tw
Abstract Most unit root tests are asymptotic tests. A well-documented fact of unit root tests is
that these asymptotic procedures usually have serious size distortions when the root of the
error process is large. A direction in which the subject is presently moving is the ...
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[PDF] Quantile Regression with Integrated Time Series

[PDF] from utoronto.ca
Z Xiao - 2005 - homes.chass.utoronto.ca
Abstract This paper studies quantile regression with integrated time series. Asymp# totic
properties of the proposed model and limiting distribution of the cointe# grating regression
quantiles are derived. In the presence of endogenous regres# sors, fully# modified ...
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[PDF] Likelihood Based Inference in Trending Time Series Models with a Root Near Nfinity

[PDF] from yale.edu
Z Xiao - 1999 - madrid-cls-holder.wss.yale.edu
Abstract This paper considers likelihood0based estimation and hypothesis tests for
autoregressive time series models with unknown deterministic trends and general
disturbance distributions. Asymptotic analysis on the M esti0 mators for both the trend coe ...
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[CITATION] Recent advances in nonstationary time series: A festschrift in honor of Peter CB Phillips

RS Mariano, Z Xiao… - Journal of Econometrics, 2012 - Elsevier
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[PDF] Empirical Applications to the US Economy

[PDF] from yale.edu
Z Xiao… - 1997 - cowles.econ.yale.edu
Abstract This paper proposes an ADF coefiicient test for detecting the presence of a unit root
in ARMA models of unknown order. Our approach is fully parametric. Vi/hen the time series
has an unknown deterministic trend, we propose a modified version of the ADF coefficient ...
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An analysis of risk for defaultable bond portfolios

[PDF] from uh.edu
Full text - MIT Libraries
H Guo, G Wu… - Journal of Risk Finance, The, 2007 - emeraldinsight.com
Purpose–The purpose of this article is to estimate value at risk (VaR) using quantile
regression and provide a risk analysis for defaultable bond portfolios. Design/methodology/
approach–The method proposed is based on quantile regression pioneered by Koenker ...
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[CITATION] COWLES FOUNDATION FOR RESEARCH IN ECONOMICS YALE UNIVERSITY

T Juhl… - 2002
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[PDF] Bootstrap-Based Test for Stationarity and Cointegration

[PDF] from nccu.edu.tw
H Li… - iceb.nccu.edu.tw
Abstract This paper investigates the small sample properties of a bootstrap-based test for the
null of trend stationarity and cointegration. We consider the KPSS test for stationarity by
Kwiatkowski, Phillips, Schmidt, and Shin [16] and the residual-based test for cointegration ...
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[CITATION] Nonparametric and robust methods in econometrics

Full text - MIT Libraries
LR Lima, M Moreira, J Porter… - Journal of Econometrics, 2009 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to
view it first. Information about this may be contained in the File-Format links below. In case of
further problems read the IDEAS help page. Note that these files are not on the IDEAS site ...
Cached - Library Search - All 5 versions

[CITATION] Persistency in Economic Time Series”

LR Lima… - 2004
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Smooth Test For Testing Equality Of Two Densities

Z Xiao, AK Bera… - Econometric Society 2004 Far Eastern …, 2004 - ideas.repec.org
It has been a conventional wisdom that the two-sample version of the goodness-of-fit test
like the Kolmogorov-Smirnov, Cramé r-von Mises and Anderson-Darling tests fail to have
good power particularly against very specific alternatives. We show that a modified ...
Cached - All 4 versions

[CITATION] Purchasing power parity and the unit root tests: A robust analysis

[PDF] from fgv.br
Z Xiao… - 2004 - bibliotecadigital.fgv.br
Abstract Empirical evidence suggests that real exchange rate is characterized by the
presence of nearMunity root and additive outliers. Recent studies have found evidence in
favor of PPP reversion by using the quasiMdifferencing (Elliott et al., 1996) unit root test ( ...
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[CITATION] Do shocks permanently change output? Local persistency in economic time series

[PDF] from fgv.br
LRRO Lima… - 2004 - bibliotecadigital.fgv.br
Abstract While it is recognized that output fluctuations are highly persistent over certain
range, less persistent results are also found around very long horizons (Conchrane, 1988),
indicating the existence of local or temporary persistency. In this paper, we study time ...
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[CITATION] More efficient local polynomial estimation in nonparametric regression with autocorrelated errors

Full text - MIT Libraries
E Mammen, R Carroll, O Linton… - Journal of the American …, 2007 - Assoc. NS

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