Matches in SemOpenAlex for { <https://semopenalex.org/work/W4377029492> ?p ?o ?g. }
Showing items 1 to 71 of
71
with 100 items per page.
- W4377029492 abstract "This paper aims to address the issue of semiparametric efficiency for cointegration rank testing in finite-order vector autoregressive models, where the innovation distribution is considered an infinite-dimensional nuisance parameter. Our asymptotic analysis relies on Le Cam's theory of limit experiment, which in this context takes the form of Locally Asymptotically Brownian Functional (LABF). By leveraging the structural version of LABF, an Ornstein-Uhlenbeck experiment, we develop the asymptotic power envelopes of asymptotically invariant tests for both cases with and without a time trend. We propose feasible tests based on a nonparametrically estimated density and demonstrate that their power can achieve the semiparametric power envelopes, making them semiparametrically optimal. We validate the theoretical results through large-sample simulations and illustrate satisfactory size control and excellent power performance of our tests under small samples. In both cases with and without time trend, we show that a remarkable amount of additional power can be obtained from non-Gaussian distributions." @default.
- W4377029492 created "2023-05-19" @default.
- W4377029492 creator A5011877804 @default.
- W4377029492 date "2023-05-13" @default.
- W4377029492 modified "2023-09-29" @default.
- W4377029492 title "Semiparametrically Optimal Cointegration Test" @default.
- W4377029492 doi "https://doi.org/10.48550/arxiv.2305.08880" @default.
- W4377029492 hasPublicationYear "2023" @default.
- W4377029492 type Work @default.
- W4377029492 citedByCount "0" @default.
- W4377029492 crossrefType "posted-content" @default.
- W4377029492 hasAuthorship W4377029492A5011877804 @default.
- W4377029492 hasBestOaLocation W43770294921 @default.
- W4377029492 hasConcept C105795698 @default.
- W4377029492 hasConcept C112401455 @default.
- W4377029492 hasConcept C114614502 @default.
- W4377029492 hasConcept C119047807 @default.
- W4377029492 hasConcept C121332964 @default.
- W4377029492 hasConcept C126255220 @default.
- W4377029492 hasConcept C145162277 @default.
- W4377029492 hasConcept C149782125 @default.
- W4377029492 hasConcept C151730666 @default.
- W4377029492 hasConcept C159877910 @default.
- W4377029492 hasConcept C163716315 @default.
- W4377029492 hasConcept C164226766 @default.
- W4377029492 hasConcept C181789720 @default.
- W4377029492 hasConcept C185429906 @default.
- W4377029492 hasConcept C194531419 @default.
- W4377029492 hasConcept C2779343474 @default.
- W4377029492 hasConcept C28826006 @default.
- W4377029492 hasConcept C33923547 @default.
- W4377029492 hasConcept C62520636 @default.
- W4377029492 hasConcept C65778772 @default.
- W4377029492 hasConcept C86803240 @default.
- W4377029492 hasConceptScore W4377029492C105795698 @default.
- W4377029492 hasConceptScore W4377029492C112401455 @default.
- W4377029492 hasConceptScore W4377029492C114614502 @default.
- W4377029492 hasConceptScore W4377029492C119047807 @default.
- W4377029492 hasConceptScore W4377029492C121332964 @default.
- W4377029492 hasConceptScore W4377029492C126255220 @default.
- W4377029492 hasConceptScore W4377029492C145162277 @default.
- W4377029492 hasConceptScore W4377029492C149782125 @default.
- W4377029492 hasConceptScore W4377029492C151730666 @default.
- W4377029492 hasConceptScore W4377029492C159877910 @default.
- W4377029492 hasConceptScore W4377029492C163716315 @default.
- W4377029492 hasConceptScore W4377029492C164226766 @default.
- W4377029492 hasConceptScore W4377029492C181789720 @default.
- W4377029492 hasConceptScore W4377029492C185429906 @default.
- W4377029492 hasConceptScore W4377029492C194531419 @default.
- W4377029492 hasConceptScore W4377029492C2779343474 @default.
- W4377029492 hasConceptScore W4377029492C28826006 @default.
- W4377029492 hasConceptScore W4377029492C33923547 @default.
- W4377029492 hasConceptScore W4377029492C62520636 @default.
- W4377029492 hasConceptScore W4377029492C65778772 @default.
- W4377029492 hasConceptScore W4377029492C86803240 @default.
- W4377029492 hasLocation W43770294921 @default.
- W4377029492 hasOpenAccess W4377029492 @default.
- W4377029492 hasPrimaryLocation W43770294921 @default.
- W4377029492 hasRelatedWork W1501209119 @default.
- W4377029492 hasRelatedWork W1521335428 @default.
- W4377029492 hasRelatedWork W1597567466 @default.
- W4377029492 hasRelatedWork W2006652868 @default.
- W4377029492 hasRelatedWork W2231451337 @default.
- W4377029492 hasRelatedWork W2900278465 @default.
- W4377029492 hasRelatedWork W2985619941 @default.
- W4377029492 hasRelatedWork W3125931951 @default.
- W4377029492 hasRelatedWork W3139706696 @default.
- W4377029492 hasRelatedWork W3124898210 @default.
- W4377029492 isParatext "false" @default.
- W4377029492 isRetracted "false" @default.
- W4377029492 workType "article" @default.