Simulation analysis of the impact of volatility clustering upon the finite-sample distribution of threshold cointegration tests

Applied Financial Economics Letters ◽

10.1080/17446540701367485 ◽

2008 ◽

Vol 4 (1) ◽

pp. 59-63

Author(s):

Steven Cook

Keyword(s):

Simulation Analysis ◽

Threshold Cointegration ◽

Finite Sample ◽

Sample Distribution ◽

Volatility Clustering ◽

Cointegration Tests ◽

Finite Sample Distribution

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The Exact Finite Sample Distribution of a Nonconsistent Structural Variance Estimator

Econometrica ◽

10.2307/1913882 ◽

1973 ◽

Vol 41 (1) ◽

pp. 41 ◽

Author(s):

R. L. Basmann ◽

D. H. Richardson

Keyword(s):

Variance Estimator ◽

Finite Sample ◽

Sample Distribution ◽

Finite Sample Distribution

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The Finite Sample Distribution of Theil's Mixed Regression Estimator and a Related Problem

Revue de l Institut International de Statistique / Review of the International Statistical Institute ◽

10.2307/1402143 ◽

1970 ◽

Vol 38 (2) ◽

pp. 202 ◽

Author(s):

J. S. Mehta ◽

P. A. V. B. Swamy

Keyword(s):

Related Problem ◽

Regression Estimator ◽

Finite Sample ◽

Sample Distribution ◽

Mixed Regression ◽

Finite Sample Distribution

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Finite-sample distribution of the augmented Dickey–Fuller test with lag optimization

Applied Economics ◽

10.1080/00036846.2012.724159 ◽

2013 ◽

Vol 45 (24) ◽

pp. 3495-3511 ◽

Author(s):

Pui Sun Tam

Keyword(s):

Finite Sample ◽

Sample Distribution ◽

Augmented Dickey Fuller ◽

Finite Sample Distribution

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Corrigenda: Remarks Concerning the Application of Exact Finite Sample Distribution Functions of GCL Estimators in Econometric Statistical Inference

Journal of the American Statistical Association ◽

10.2307/2282644 ◽

1964 ◽

Vol 59 (308) ◽

pp. 1296

Author(s):

R. L. Basmann

Keyword(s):

Statistical Inference ◽

Distribution Functions ◽

Finite Sample ◽

Sample Distribution ◽

Finite Sample Distribution

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The Exact Finite Sample Distribution Function of the Limited Information Maximum Likelihood Identifiability Test Statistic

Econometrica ◽

10.2307/1913858 ◽

1972 ◽

Vol 40 (6) ◽

pp. 1109 ◽

Author(s):

James B. McDonald

Keyword(s):

Distribution Function ◽

Maximum Likelihood ◽

Limited Information ◽

Finite Sample ◽

Test Statistic ◽

Sample Distribution ◽

Finite Sample Distribution

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The exact finite-sample distribution of the median absolute deviation about the median of continuous random variables

Statistics & Probability Letters ◽

10.1016/j.spl.2012.12.023 ◽

2013 ◽

Vol 83 (4) ◽

pp. 999-1005

Author(s):

Hideki Nagatsuka ◽

Hiroshi Kawakami ◽

Toshinari Kamakura ◽

Hisashi Yamamoto

Keyword(s):

Random Variables ◽

Median Absolute Deviation ◽

Finite Sample ◽

Absolute Deviation ◽

Sample Distribution ◽

Finite Sample Distribution

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Characterization of the exact finite-sample distribution of a routine test statistic for non-nested regressions

Statistics & Probability Letters ◽

10.1016/0167-7152(95)00150-6 ◽

1996 ◽

Vol 29 (1) ◽

pp. 9-14 ◽

Author(s):

J. Szroeter

Keyword(s):

Finite Sample ◽

Routine Test ◽

Test Statistic ◽

Sample Distribution ◽

Finite Sample Distribution

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Identifying All Distinct Sample P-P Plots, with an Application to the Exact Finite Sample Distribution of the L1-FCvM Test Statistic

SSRN Electronic Journal ◽

10.2139/ssrn.1669207 ◽

2010 ◽

Author(s):

Jeroen Hinloopen ◽

Rien Wagenvoort

Keyword(s):

Finite Sample ◽

Test Statistic ◽

Sample Distribution ◽

Finite Sample Distribution

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On the finite-sample distribution of modified portmanteau tests for radomness of a Gaussian time series

10.1093/biomet/83.4.938 ◽

1996 ◽

Vol 83 (4) ◽

pp. 938-943 ◽

Author(s):

A. Kwan

Keyword(s):

Time Series ◽

Finite Sample ◽

Sample Distribution ◽

Portmanteau Tests ◽

Gaussian Time ◽

Gaussian Time Series ◽

Finite Sample Distribution

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Remarks concerning the Application of Exact Finite Sample Distribution Functions of Gcl Estimators in Econometric Statistical Inference

Journal of the American Statistical Association ◽

10.1080/01621459.1963.10480680 ◽

1963 ◽

Vol 58 (304) ◽

pp. 943-976 ◽

Author(s):

R. L. Basmann

Keyword(s):

Statistical Inference ◽

Distribution Functions ◽

Finite Sample ◽

Sample Distribution ◽

Finite Sample Distribution

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