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Social and Behavioral Sciences Commons

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Singapore Management University

Series

2009

Consistency

Articles 1 - 2 of 2

Full-Text Articles in Social and Behavioral Sciences

A Nonparametric Goodness-Of-Fit-Based Test For Conditional Heteroskedasticity, Liangjun Su, Aman Ullah Oct 2009

A Nonparametric Goodness-Of-Fit-Based Test For Conditional Heteroskedasticity, Liangjun Su, Aman Ullah

Research Collection School Of Economics

In this paper we propose a nonparametric test for conditional heteroskedasticity based on a new measure of nonparametric goodness-of-fit (R2). In analogy with the ANOVA tools for classical linear regression models, the nonparametric R2 is obtained for the local polynomial regression of the residuals from a parametric regression on some covariates. It is close to 0 under the null hypothesis of conditional homoskedasticity and stays away from 0 otherwise. Unlike most popular parametric tests in the literature, the new test does not require the correct specification of parametric conditional heteroskedasticity form and thus is able to detect all kinds of …


Semiparametric Cointegrating Rank Selection, Xu Cheng, Peter C. B. Phillips Jan 2009

Semiparametric Cointegrating Rank Selection, Xu Cheng, Peter C. B. Phillips

Research Collection School Of Economics

Some convenient limit properties of usual information criteria are given for cointegrating rank selection. Allowing for a non-parametric short memory component and using a reduced rank regression with only a single lag, standard information criteria are shown to be weakly consistent in the choice of cointegrating rank provided the penalty coefficient C(n) -> infinity and C(n)/n -> 0 as n -> 8. The limit distribution of the AIC criterion, which is inconsistent, is also obtained. The analysis provides a general limit theory for semiparametric reduced rank regression under weakly dependent errors. The method does not require the specification of a …