17,215 research outputs found
Sign Tests for Long-memory Time Series
This paper proposes sign-based tests for simple and composite hypotheses on the long-memory parameter of a time series process. The tests allow for nonstationary hypothesis, such as unit root, as well as for stationary hypotheses, such as weak dependence or no integration. The proposed generalized Lagrange multiplier sign tests for simple hypotheses on the long-memory parameter are exact and locally optimal among those in their class. We also propose tests for composite hypotheses on the parameters of ARFIMA processes. The resulting tests statistics have a standard normal limiting distribution under the null hypothesis.Publicad
A new class of distribution-free tests for time series models specification
The construction of asymptotically distribution free time series model specification tests using
as statistics the estimated residual autocorrelations is considered from a general view point. We
focus our attention on Box-Pierce type tests based on the sum of squares of a few estimated
residual autocorrelations. This type of tests belong to the class defined by quadratic forms of
weighted residual autocorrelations, where weights are suitably transformed resulting in
asymptotically distribution free tests. The weights can be optimally chosen to maximize the
power function when testing in the direction of local alternatives. The optimal test in this class
against MA, AR or Bloomfield alternatives is a Box-Pierce type test based on the sum of
squares of a few transformed residual autocorrelations. Such transformations are, in fact, the
recursive residuals in the projection of the residual autocorrelations on a certain score function
The Asian Liquidity Crisis
A country's financial system is internationally illiquid if its potential short term obligations in foreign currency exceed the amount of foreign currency it can have access to in short notice. This condition may be crucial for the existence of financial crises and/or exchange rate collapses (Chang and Velasc 1998a, b). In this paper we argue that the 1997-98 crises in Asia were in fact a consequence of international illiquidity.LIQUIDITY ; BANKS ; CURRENCIES ; MONETARY CRISIS
Can Capital Mobility be Destabilizing?
In a standard two-sector neoclassical model with distortions, capital mobility can render the steady state indeterminate, in the sense that there exist infinitely many convergent paths. In the closed economy with no international capital mobility, the utility function must be linear or close to it for indeterminacy to occur, while in the open economy the shape of the utility function makes no difference. The reason is that in the no mobility case changes in aggregate investment must be matched by changes in aggregate consumption, while in the case of full capital mobility they can simply be financed by borrowing abroad. The paper provides some solid theoretical underpinnings to the concerns that de-regulating the capital account may be destabilizing.
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