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However, because a primary purpose of PCVA is to search for the absence of multivariate time-varying conditional het- eroskedasticity in vector time series, it would have been
From the plots, the impact of using the filter on the estimation of no- ARCH linear combination is negligible As a matter of fact, the correlation between the two sample
If model ( 13 ) was estimated by OLS rather than WLS regression on the pooled data of periods 0 and t , then in the matched- items case the time dummy index would equal the
(2007), “Long Run Variance Estimation and Robust Regression Testing Using Sharp Origin Kernels With No Trun- cation,” Journal of Statistical Planning and Inference , 137,
(erf) of the tests LR1, LR2, and LR3 and of the overall “LR1 → LR2 → LR3” testing strategy; the column “Asymptotic” reports the erf computed using the asymptotic critical
This corroborates our finding from Section 4.1 that the pricing performance of the EZ model is rather similar to the ambiguity sensitive models, that is, an ambiguity neutral
Our main finding is that the information contained in the covariates is useful when testing for a unit root in panel data, and that the power of the PCADF test can be
Herein, we define a nontrivial block Toeplitz matrix in the vein of Pe˜na and Rodr´ıguez ( 2002 ) and Mahdi and McLeod ( 2012 ) for use in the setting of testing for independence
