Kaldorf, Matthias and Wied, Dominik (2022). Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models. Stud. Nonlinear Dyn. Econom., 26 (1). S. 1 - 25. BERLIN: WALTER DE GRUYTER GMBH. ISSN 1558-3708
Full text not available from this repository.Abstract
This paper proposes parametric two-step procedures for assessing the stability of cross-sectional dependency measures in the presence of potential breaks in the marginal distributions. The procedures are based on formerly proposed sup-LR tests in which restricted and unrestricted likelihood functions are compared with each other. First, we show theoretically that standard asymptotics do not hold in this situation. We propose a suitable bootstrap scheme and derive test statistics in different commonly used settings. The properties of the test statistics and precision of the associated change-point estimator are analysed and compared with existing non-parametric methods in various Monte Carlo simulations. These studies reveal advantages in test power for higher-dimensional data and an almost uniform superiority of the sup-LR test in terms of precision of the change-point estimator. We then apply this method to equity returns of European banks during the financial crisis of 2008.
Item Type: | Journal Article | ||||||||||||
Creators: |
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URN: | urn:nbn:de:hbz:38-657615 | ||||||||||||
DOI: | 10.1515/snde-2019-0043 | ||||||||||||
Journal or Publication Title: | Stud. Nonlinear Dyn. Econom. | ||||||||||||
Volume: | 26 | ||||||||||||
Number: | 1 | ||||||||||||
Page Range: | S. 1 - 25 | ||||||||||||
Date: | 2022 | ||||||||||||
Publisher: | WALTER DE GRUYTER GMBH | ||||||||||||
Place of Publication: | BERLIN | ||||||||||||
ISSN: | 1558-3708 | ||||||||||||
Language: | English | ||||||||||||
Faculty: | Unspecified | ||||||||||||
Divisions: | Unspecified | ||||||||||||
Subjects: | no entry | ||||||||||||
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URI: | http://kups.ub.uni-koeln.de/id/eprint/65761 |
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