作者：ERICSSON, NR
摘要：Using Monte Carlo methodology, this paper investigates the effect of dynamics and simultaneity on the finite sample properties of instrumental variables statistics for testing nested and non-nested hypotheses. Simple numerical-analytical formulae (response surfaces) are obtained which closely approximate the statistics' unknown size and power functions for a dynamic simultaneous equations model. The analysis illustrates the value and limitations of asymptotic theory in interpreting finite samp...
作者：LO, AW
摘要：A test for long-run memory that is robust to short-range dependence is developed. It is an extension of the range over standard deviation or R/S statistic, for which the relevant asymptotic sampling theory is derived via functional central limit theory. This test is applied to daily and monthly stock returns indexes over several time periods and, contrary to previous findings, there is no evidence of long-range dependence in any of the indexes over any sample period or sub-period once short-ra...
