Testing For Random Coefficient Autoregressive And Stochastic Unit Root Models

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Testing for Random Coefficient Autoregressive and Stochastic Unit Root Models

Author : Daisuke Nagakura
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Testing for Random Coefficient Autoregressive and Stochastic Unit Root Models by : Daisuke Nagakura

Download or read book Testing for Random Coefficient Autoregressive and Stochastic Unit Root Models written by Daisuke Nagakura and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The random coefficient autoregressive model has been utilized for modeling financial time series because it possesses features that are often observed in financial time series. When the mean of the random autoregressive coefficient is one, it is called the stochastic unit root model. This paper proposes two Lagrange multiplier tests for the null hypothesis of random coefficient autoregressive and stochastic unit root models against a more general model. We apply our Lagrange multiplier tests to several stock index data, and find that the stochastic unit root model is rejected, whereas the random coefficient autoregressive model is not. This result indicates that it is important to check the validity of the stochastic unit root model prior to applying it to financial time series data, which may be better modeled by the random coefficient autoregressive model with the mean being not equal to one.

Inconsistency of a Unit Root Test Against a Stochastic Unit Root Process

Author : Daisuke Nagakura
Publisher :
ISBN 13 :
Total Pages : 11 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Inconsistency of a Unit Root Test Against a Stochastic Unit Root Process by : Daisuke Nagakura

Download or read book Inconsistency of a Unit Root Test Against a Stochastic Unit Root Process written by Daisuke Nagakura and published by . This book was released on 2017 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article, we develop the asymptotic theory of Hwang and Basawa (2005) for explosive random coefficient autoregressive (ERCA) models. Applying the theory, we prove that a locally best invariant (LBI) test in McCabe and Tremayne (1995), which is for the null of a unit root (UR) process against the alternative of a stochastic unit root (STUR) process, is inconsistent against a class of ERCA models. This class includes a class of STUR processes as special cases. We show, however, that the well-known Dickey-Fuller(DF) UR tests and a LBI test of Lee (1998) are consistent against a particular case of this class of ERCA models.

Inconsistency of a Unit Root Test Against Stochastic Unit Root Processes

Author : Daisuke Nagakura
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Inconsistency of a Unit Root Test Against Stochastic Unit Root Processes by : Daisuke Nagakura

Download or read book Inconsistency of a Unit Root Test Against Stochastic Unit Root Processes written by Daisuke Nagakura and published by . This book was released on 2009 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: "In this paper, we develop the asymptotic theory of Hwang and Basawa (2005) for explosive random coefficient autoregressive (ERCA) models. Applying the theory, we prove that a locally best invariant (LBI) test in McCabe and Tremayne (1995), which is for the null of a unit root (UR) process against the alternative of a stochastic unit root (STUR) process, is inconsistent against a class of ERCA models. This class includes a class of STUR processes as special cases. We show, however, that the well-known Dickey-Fuller (DF) UR tests and an LBI test of Lee (1998) are consistent against a particular case of this class of ERCA models."--Author's abstract.

Testing for Coefficient Stability of AR(1) Model When the Null is an Integrated or a Stationary Process

Author : Daisuke Nagakura
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Testing for Coefficient Stability of AR(1) Model When the Null is an Integrated or a Stationary Process by : Daisuke Nagakura

Download or read book Testing for Coefficient Stability of AR(1) Model When the Null is an Integrated or a Stationary Process written by Daisuke Nagakura and published by . This book was released on 2009 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we propose a test for coefficient stability of an AR(1) model against the random coefficient autoregressive model of order 1 neither assuming a stationary nor a non-stationary process under the null hypothesis of a constant coefficient. The proposed test is obtained as a modification of the locally best invariant (LBI) test by Lee (1998). We examine finite sample properties of the proposed test by Monte Carlo experiments comparing with other existing tests, in particular, the LBI test by McCabe and Tremayne (1995), which is for the null of a unit root process against the alternative of a stochastic unit root process.

Random Coefficient Autoregressive Models: An Introduction

Author : D.F. Nicholls
Publisher : Springer Science & Business Media
ISBN 13 : 1468462733
Total Pages : 160 pages
Book Rating : 4.4/5 (684 download)

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Book Synopsis Random Coefficient Autoregressive Models: An Introduction by : D.F. Nicholls

Download or read book Random Coefficient Autoregressive Models: An Introduction written by D.F. Nicholls and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this monograph we have considered a class of autoregressive models whose coefficients are random. The models have special appeal among the non-linear models so far considered in the statistical literature, in that their analysis is quite tractable. It has been possible to find conditions for stationarity and stability, to derive estimates of the unknown parameters, to establish asymptotic properties of these estimates and to obtain tests of certain hypotheses of interest. We are grateful to many colleagues in both Departments of Statistics at the Australian National University and in the Department of Mathematics at the University of Wo110ngong. Their constructive criticism has aided in the presentation of this monograph. We would also like to thank Dr M. A. Ward of the Department of Mathematics, Australian National University whose program produced, after minor modifications, the "three dimensional" graphs of the log-likelihood functions which appear on pages 83-86. Finally we would like to thank J. Radley, H. Patrikka and D. Hewson for their contributions towards the typing of a difficult manuscript. IV CONTENTS CHAPTER 1 INTRODUCTION 1. 1 Introduction 1 Appendix 1. 1 11 Appendix 1. 2 14 CHAPTER 2 STATIONARITY AND STABILITY 15 2. 1 Introduction 15 2. 2 Singly-Infinite Stationarity 16 2. 3 Doubly-Infinite Stationarity 19 2. 4 The Case of a Unit Eigenvalue 31 2. 5 Stability of RCA Models 33 2. 6 Strict Stationarity 37 Appendix 2. 1 38 CHAPTER 3 LEAST SQUARES ESTIMATION OF SCALAR MODELS 40 3.

Testing for Random Walk Coefficients in Regression and State Space Models

Author : Martin Moryson
Publisher : Springer Science & Business Media
ISBN 13 : 3642997996
Total Pages : 326 pages
Book Rating : 4.6/5 (429 download)

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Book Synopsis Testing for Random Walk Coefficients in Regression and State Space Models by : Martin Moryson

Download or read book Testing for Random Walk Coefficients in Regression and State Space Models written by Martin Moryson and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: Regression and state space models with time varying coefficients are treated in a thorough manner. State space models are introduced as a means to model time varying regression coefficients. The Kalman filter and smoother recursions are explained in an easy to understand fashion. The main part of the book deals with testing the null hypothesis of constant regression coefficients against the alternative that they follow a random walk. Different exact and large sample tests are presented and extensively compared based on Monte Carlo studies, so that the reader is guided in the question which test to choose in a particular situation. Moreover, different new tests are proposed which are suitable in situations with autocorrelated or heteroskedastic errors. Additionally, methods are developed to test for the constancy of regression coefficients in situations where one knows already that some coefficients follow a random walk, thereby one is enabled to find out which of the coefficients varies over time.

Unit Roots, Cointegration, and Structural Change

Author : G. S. Maddala
Publisher : Cambridge University Press
ISBN 13 : 9780521587822
Total Pages : 528 pages
Book Rating : 4.5/5 (878 download)

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Book Synopsis Unit Roots, Cointegration, and Structural Change by : G. S. Maddala

Download or read book Unit Roots, Cointegration, and Structural Change written by G. S. Maddala and published by Cambridge University Press. This book was released on 1998 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive review of unit roots, cointegration and structural change from a best-selling author.

The Econometric Modelling of Financial Time Series

Author : Terence C. Mills
Publisher : Cambridge University Press
ISBN 13 : 1139470817
Total Pages : 411 pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis The Econometric Modelling of Financial Time Series by : Terence C. Mills

Download or read book The Econometric Modelling of Financial Time Series written by Terence C. Mills and published by Cambridge University Press. This book was released on 2008-03-20 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.

Testing for a Unit Root Against Transitional Autoregressive Models

Author : Joon Y. Park
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Testing for a Unit Root Against Transitional Autoregressive Models by : Joon Y. Park

Download or read book Testing for a Unit Root Against Transitional Autoregressive Models written by Joon Y. Park and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article develops a novel test for a unit root in general transitional autoregressive models, which is based on the infimum of t-ratios for the coefficient of a parametrized transition function. Our test allows for very flexible specifications of the transition function and short-run dynamics and is significantly more powerful than all the other existing tests. Moreover, we develop a large sample theory general enough to deal with randomly drifting parameter spaces, which is essential to properly test for a unit root against stationary transitional models. An empirical application of our test to the exchange rate data is also provided.

Testing for a Unit Root in a Random Coefficient Panel Data Model

Author : Joakim Westerlund
Publisher :
ISBN 13 :
Total Pages : 51 pages
Book Rating : 4.:/5 (495 download)

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Book Synopsis Testing for a Unit Root in a Random Coefficient Panel Data Model by : Joakim Westerlund

Download or read book Testing for a Unit Root in a Random Coefficient Panel Data Model written by Joakim Westerlund and published by . This book was released on 2009 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Random Coefficient Autoregressive Models

Author : D. F. Nicholls
Publisher :
ISBN 13 : 9781468462746
Total Pages : 164 pages
Book Rating : 4.4/5 (627 download)

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Book Synopsis Random Coefficient Autoregressive Models by : D. F. Nicholls

Download or read book Random Coefficient Autoregressive Models written by D. F. Nicholls and published by . This book was released on 1982-09-13 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Issues in Statistics, Decision Making, and Stochastics: 2011 Edition

Author :
Publisher : ScholarlyEditions
ISBN 13 : 1464967059
Total Pages : 288 pages
Book Rating : 4.4/5 (649 download)

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Book Synopsis Issues in Statistics, Decision Making, and Stochastics: 2011 Edition by :

Download or read book Issues in Statistics, Decision Making, and Stochastics: 2011 Edition written by and published by ScholarlyEditions. This book was released on 2012-01-09 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues in Statistics, Decision Making, and Stochastics: 2011 Edition is a ScholarlyEditions™ eBook that delivers timely, authoritative, and comprehensive information about Statistics, Decision Making, and Stochastics. The editors have built Issues in Statistics, Decision Making, and Stochastics: 2011 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Statistics, Decision Making, and Stochastics in this eBook to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in Statistics, Decision Making, and Stochastics: 2011 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.

Recursive and Sequential Tests of the Unit Root and Trend Break Hypotheses

Author : Anindya Banerjee
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis Recursive and Sequential Tests of the Unit Root and Trend Break Hypotheses by : Anindya Banerjee

Download or read book Recursive and Sequential Tests of the Unit Root and Trend Break Hypotheses written by Anindya Banerjee and published by . This book was released on 1990 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Bayesian Statistics 6

Author : J. M. Bernardo
Publisher : Oxford University Press
ISBN 13 : 9780198504856
Total Pages : 886 pages
Book Rating : 4.5/5 (48 download)

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Book Synopsis Bayesian Statistics 6 by : J. M. Bernardo

Download or read book Bayesian Statistics 6 written by J. M. Bernardo and published by Oxford University Press. This book was released on 1999-08-12 with total page 886 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian statistics is a dynamic and fast-growing area of statistical research and the Valencia International Meetings provide the main forum for discussion. These resulting proceedings form an up-to-date collection of research.

Unit Root Tests in Time Series and Stochastic Volatility Models

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (656 download)

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Book Synopsis Unit Root Tests in Time Series and Stochastic Volatility Models by :

Download or read book Unit Root Tests in Time Series and Stochastic Volatility Models written by and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Providing appropriate forecasts of time series data into the future depends crucially on whether the time series under consideration is non-stationary (i.e. has a unit root) or stationary. In the context of a Stochastic Volatility Model (SVM), the presence of a unit root in financial data has important implications for the pricing of various financial instruments. We propose a unit root test for the volatility process based on the Simulation-Extrapolation (SIMEX) approach. We express the SVM as a measurement error model and propose a Simulation-Extrapolation (SIMEX)-based approach to test for the unit root hypothesis. The asymptotic theory of the Ordinary Least Squares (OLS) and Weighted Symmetric (WS) estimators are exploited to obtain SIMEX-based tests and simulation studies are provided to demonstrate that the SIMEX-based test compares favorably with some of the well known unit root tests already available in the literature. We also propose a unit root test based on the maximum order statistic in a simple autoregressive (AR) model of order 1. The asymptotic distribution of the test statistic under the null hypothesis is derived and the approximate percentiles are also provided. Through simulation studies, the proposed test is compared with the Dickey-Fuller (DF) test under various specifications for the error distributions. In the final chapter of this dissertation, we propose a procedure to test the null hypothesis of stationarity in AR (1) models. The procedure is based on the Intersection-Union tests used in Bio-Equivalence studies. The performance of the test based on finite sample percentiles as well as asymptotic percentiles is assessed using simulation studies.

Analysis of Integrated and Cointegrated Time Series with R

Author : Bernhard Pfaff
Publisher : Springer Science & Business Media
ISBN 13 : 0387759670
Total Pages : 193 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Analysis of Integrated and Cointegrated Time Series with R by : Bernhard Pfaff

Download or read book Analysis of Integrated and Cointegrated Time Series with R written by Bernhard Pfaff and published by Springer Science & Business Media. This book was released on 2008-09-03 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.

Frequentist and Bayesian Unit Root Tests in Stochastic Volatility Models

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (656 download)

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Book Synopsis Frequentist and Bayesian Unit Root Tests in Stochastic Volatility Models by :

Download or read book Frequentist and Bayesian Unit Root Tests in Stochastic Volatility Models written by and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In stochastic volatility models, the unit root test on the time series of the unobserved log-volatilities may be performed by applying the commonly usedfrequentist unit root tests. For instance, augmented Dickey Fuller tests based on the log-squared meancorrected returns can be used. The log-squared meancorrected returns have the same second order properties as that of an autoregressive moving average process. However, we observed that the moving average parameter of the resulting process (based on the log-squared meancorrected returns) is typically close to the autoregressive parameter. For this reason, the unit root tests applied to stochastic volatility models tend to reject theunit root in finite samples. We propose a method for performing thefrequentist unit root tests in stochastic volatility models based on the finite sampling distribution of the well known test statistics. In addition to the frequentist testing procedures, Bayesian unit root testscan be used to test for a unit root in stochastic volatility models as well. A Bayesian test based on the Bayes factor has been suggested by So and Li (1999). In this approach, they work with the mean corrected returns instead of thelog-squared mean corrected returns. They treat the unobserved log-volatilitiesas missing observations. The prior densities they use for the autoregressiveparameter are continuous densities defined on an interval that does not include the value beingtested. Such prior densities for the autoregressive parameterare not suitable where one's main concern is to test for a unit root inlog-volatilities. We introduce a new prior density for this parameter that puts a positive mass on thepoint being tested. We also consider continuous prior densities defined on an interval that includes thepoint one. These prior densities allow us to use the posterior interval ofthe autoregressive parameter as a testing criterion. The advantage of our method is that it is simple and useful. The performance of these t.