Stability of Long-run Relationships for Countries in Transition: A Hansen Test Study
AbstractThe results of a Monte Carlo research for the Hansen Lc, MeanF and SupF stability tests for long-run relationships are reported. The tests are related to the Phillips-Hansen and Hansen semiparametric methods, which involve kernel density estimation of the long-run covariance matrix. We compare the effect of the choice of kernel on the performance of the tests, and also check the effect of misspecification of the model (lags for the disturbances) on the behaviour of test statistics, and behaviour of percentiles. The results indicate that the best – both in terms of efficiency and robustness to misspecification error – is the Parzen kernel.
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Bibliographic InfoPaper provided by Department of Applied Econometrics, Warsaw School of Economics in its series Working Papers with number 58.
Date of creation: 04 Dec 2011
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Hansen stability tests; Phillips-Hansen estimators; long-run covariance matrix; spectral analysis; semiparametric estimates;
Other versions of this item:
- Ewa M. Syczewska, . "Stability of Long-Run Relationships for Countries in Transition: A Hansen Test Study," Ace Project Memoranda 96/4, Department of Economics, University of Leicester.
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
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