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 ...
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 ...
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 ...
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 ...
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 ...
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, ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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): ...
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 ...
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 ...
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 ...
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 ...
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!, ...
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. ...
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 ...
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 ...
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 ...
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. ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
[CITATION] Inference on the quantile regression process: Appendices
R Koenker… - Working Paper, 2001 - University of Illinois at Urbana- …
[CITATION] Are there speculative bubbles in stock markets
G Wu, Z Xiao - Evidence from an alternative approach. Preprint, 2002
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
[CITATION] Inference on the Regression Quantile
R Koenker… - Econometrica, 2002
[CITATION] O+ B+ Linton, R+ J+ Carroll, & E+ Mammen~ 2003! More efficient local polynomial estimation in nonparametric regression with autocorrelated errors+
Z Xiao - Journal of the American Statistical Association
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 ...
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 ...
[CITATION] Is There Long Memory in Financial Time Series?
LR Lima… - 2006 - Mimeo
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 ...
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 ...
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 ...
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 ...
[CITATION] Efficiency Issues in stationary and nonstationary time series regression
Z Xiao - 1997 - Yale University
[CITATION] Testing Speculative Bubbles in Stock Markets
G Wu, Z Xiao - University of Michigan and University of Illinois at …, 2004
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. ...
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 ...
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 ...
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 ...
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 ...
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. ...
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 ...
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 ...
LR Lima… - 2008 - en.scientificcommons.org
NCS Sim, Z Xiao - Australian Conference of …, 2009 - digital.library.adelaide.edu.au
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ( ...
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 ...
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 ...
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 ...
[CITATION] Recent advances in nonstationary time series: A festschrift in honor of Peter CB Phillips
RS Mariano, Z Xiao… - Journal of Econometrics, 2012 - Elsevier
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 ...
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 ...
[CITATION] COWLES FOUNDATION FOR RESEARCH IN ECONOMICS YALE UNIVERSITY
T Juhl… - 2002
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 ...
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 ...
[CITATION] Persistency in Economic Time Series”
LR Lima… - 2004
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 ...
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 ( ...
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 ...
[CITATION] More efficient local polynomial estimation in nonparametric regression with autocorrelated errors
E Mammen, R Carroll, O Linton… - Journal of the American …, 2007 - Assoc. NS
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