Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
From MaRDI portal
Recommendations
- Inference when a nuisance parameter is weakly identified under the null hypothesis
- Inference in TAR Models
- Testing for threshold autoregression with conditional heteroscedasticity
- scientific article; zbMATH DE number 4159917
- Bounds for inference with nuisance parameters present only under the alternative
Cited in
(only showing first 100 items - show all)- Behavioral heterogeneity in stock prices
- Tree-structured smooth transition regression models
- Asymptotics for argmin processes: convexity arguments
- Business cycle durations
- Testing for GARCH effects: A one-sided approach
- Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
- Consistent model specification tests for time series econometric models
- Bayes factors and nonlinearity: Evidence from economic time series
- MIDAS Regressions: Further Results and New Directions
- Autoregressive conditional heteroskedasticity and changes in regime
- A floor and ceiling model of US output
- Threshold effects in non-dynamic panels: Estimation, testing, and inference
- Empirically relevant critical values for hypothesis tests: A bootstrap approach
- Testing for structural change in conditional models
- Trade as a threshold variable for multiple regimes
- Forecast dominance testing via sign randomization
- Currency misalignments in the BRIICS countries: fixed vs. floating exchange rates
- Are discoveries spurious? Distributions of maximum spurious correlations and their applications
- A continuous threshold expectile model
- Mixture of distribution hypothesis: analyzing daily liquidity frictions and information flows
- Testing for neglected nonlinearity using artificial neural networks with many randomized hidden unit activations
- Asymptotic theory for regressions with smoothly changing parameters
- Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
- Panel kink regression with an unknown threshold
- Threshold autoregressive models for interval-valued time series data
- Nonlinear mean reversion in real exchange rates.
- Misspecified structural change, threshold, and Markov-switching models.
- External bootstrap tests for parameter stability.
- Superconsistent estimation and inference in structural econometric models using extreme order statistics.
- A nonlinear long memory model, with an application to US unemployment.
- Testing for two-regime threshold cointegration in vector error-correction models.
- Estimation and model selection based inference in single and multiple threshold models.
- A consistent test for nonlinear out of sample predictive accuracy.
- Evaluating GARCH models.
- Testing for neglected nonlinearity in regression models based on the theory of random fields
- Testing for the effects of omitted power transformations
- Optimal inferences for proportional hazards model with parametric covariate transformations
- Inference when a nuisance parameter is weakly identified under the null hypothesis
- Trade as a threshold variable for multiple regimes: a comment
- On the econometrics of the geometric lag model
- How does monetary policy influence capital markets? Using a threshold regression model
- Robust variable selection and estimation in threshold regression model
- Fiscal policy in good and bad times
- Robust inference for threshold regression models
- Robust uniform inference for quantile treatment effects in regression discontinuity designs
- Nowcasting causality in mixed frequency vector autoregressive models
- Testing for observation-dependent regime switching in mixture autoregressive models
- Detection of EXPAR nonlinearity in the presence of a nuisance unidentified under the null hypothesis
- Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
- The moderate deviation principle for minimizers of convex processes
- Inference in partially identified heteroskedastic simultaneous equations models
- Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
- Panel threshold models with interactive fixed effects
- The great Gatsby curve in education with a kink
- An alternative procedure to test for cointegration in STAR models
- Bootstrapping structural change tests
- Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model
- Panel threshold regressions with latent group structures
- Chasing volatility. A persistent multiplicative error model with jumps
- Generalised density forecast combinations
- A new nonlinearity test to circumvent the limitation of Volterra expansion with application
- Modeling and forecasting interval time series with threshold models
- Modeling tick-by-tick realized correlations
- Testing for unit roots in bounded time series
- A unified approach to validating univariate and multivariate conditional distribution models in time series
- Multivariate rotated ARCH models
- Bootstrap specification tests for diffusion processes
- The dynamic invariant multinomial probit model: identification, pretesting and estimation
- Panel threshold spatial Durbin models with individual fixed effects
- A new stochastic dominance criterion for dependent random variables with applications
- Bank characteristics and the interbank money market: a distributional approach
- State-dependent effects of fiscal policy
- Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand
- Testing for structural changes in large dimensional factor models via discrete Fourier transform
- Outliers and persistence in threshold autoregressive processes
- Public debt and macroeconomic activity: a predictive analysis for advanced economies
- Effects of filtering data on testing asymmetry in threshold autoregressive models
- Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach
- Flexible Fourier form for volatility breaks
- Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples
- A hidden Markov regime-switching smooth transition model
- Regression discontinuity designs with unknown state-dependent discontinuity points: estimation and testing
- Dynamics between the budget deficit and the government debt in the United States: a nonlinear analysis
- The non-linear effects of the Fed asset purchases
- Multiple structural breaks in cointegrating regressions: a model selection approach
- Time-varying threshold cointegration with an application to the Fisher hypothesis
- Buffered vector error-correction models: an application to the U.S. Treasury bond rates
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- Bootstrap testing for the null of no cointegration in a threshold vector error correction model
- Riesz estimators
- Endogeneity in threshold nonlinearity tests
- Tests for linearity in star models: SupWald and LM-type tests
- Structural threshold regression
- Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
- Higher-order approximations for testing neglected nonlinearity
- Contemporaneous threshold autoregressive models: estimation, testing and forecasting
- Generalized empirical likelihood testing in semiparametric conditional moment restrictions models
- Nonparametric simultaneous testing for structural breaks
- The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
- Large shocks vs. small shocks. (Or does size matter? May be so.)
This page was built for publication: Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5690044)
