6 papers · 1 filter
Uniform Critical Values for Likelihood Ratio Tests in Boundary Problems
Giuseppe Cavaliere, Adam McCloskey, Rasmus S. Pedersen +1
Limit distributions of likelihood ratio statistics are well-known to be discontinuous in the presence of nuisance parameters at the boundary of the parameter space, which lead to s…
Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations
Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek +1
Integrated autoregressive conditional duration (ACD) models serve as natural counterparts to the well-known integrated GARCH models used for financial returns. However, despite the…
MinP Score Tests with an Inequality Constrained Parameter Space
Giuseppe Cavaliere, Zeng-Hua Lu, Anders Rahbek +1
Score tests have the advantage of requiring estimation alone of the model restricted by the null hypothesis, which often is much simpler than models defined under the alternative h…
Specification tests for GARCH processes
Giuseppe Cavaliere, Indeewara Perera, Anders Rahbek
This paper develops tests for the correct specification of the conditional variance function in GARCH models when the true parameter may lie on the boundary of the parameter space.…
Bootstrap Inference for Hawkes and General Point Processes
Giuseppe Cavaliere, Ye Lu, Anders Rahbek +1
Inference and testing in general point process models such as the Hawkes model is predominantly based on asymptotic approximations for likelihood-based estimators and tests. As an…
Bootstrapping Non-Stationary Stochastic Volatility
H. Peter Boswijk, Giuseppe Cavaliere, Anders Rahbek +1
In this paper we investigate how the bootstrap can be applied to time series regressions when the volatility of the innovations is random and non-stationary. The volatility of many…