Economics - Research Publications

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Start date: 2001 × End date: 2009 × Subject: C12 - Hypothesis Testing ×

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Now showing 1 - 5 of 5
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    Testing for a level effect in short-term interest rates
    HENRY, OT ; SUARDI, S (Department of Economics, The University of Melbourne, 2004)
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    Equity return and short-term interest rate volatility: level effects and asymmetric dynamics
    Henry, Olan T. ; OLEKALNS, NILSS ; Suardi, Sandy ( 2005-07)
    Evidence suggests that short-term interest rate volatility peakswith the level of short rates, while equity volatility responds asymmetricallyto positive and negative shocks. We present an LM basedtest that distinguishes between level effects and asymmetry in volatilitywhich is robust to the presence of unidentified nuisance parametersunder the null. There is strong evidence of a level effect and asymmetricresponse in the relationship between S&P 500 Index returns and3-month US Treasury Bills. The conditional covariance depends onthe level of the short rate which has implications for hedging equityreturns against short term interest rate movements.
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    Testing for asymmetry in interest rate volatility in the presence of a neglected level effect
    HENRY, OT ; SUARDI, S (Department of Economics, The University of Melbourne, 2005)
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    Survival on the Titantic: Illustrating Waldand LM Tests for Proportions and Logits
    DIXON, ROBERT ; GRIFFITHS, WILLIAM ( 2006-06)
    Students are very interested in lecture examples and class exercisesinvolving data connected to the maiden voyage and the sinking of the liner Titanic.Information on the passengers and their fate can be used to explore relationshipsbetween various tests for differences in survival rates between different groups ofpassengers. Among the concepts examined are tests for differences of proportionsusing a normal distribution, a chi-square test for independence, a test for the equalityof two logits and a test for the significance of the coefficient of a binary variable inlogit model. The relationship between Wald and LM test statistics is also examined.Two related examples are given, one to be used for step by step instructional purposesand one to be given as an exercise to students.
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    Small Concentration Asymptotics andInstrumental Variables Inference
    Poskitt, D. S. ; Skeels, Christopher L. ( 2005-09)
    Poskitt and Skeels (2005) provide a new approximation to the sampling distributionof the IV estimator in a simultaneous equations model, the approximation isappropriate when the concentration parameter associated with the reduced formmodel is small. We present approximations to the sampling distributions of variousfunctions of the IV estimator based upon small-concentration asymptotics, andinvestigate hypothesis testing procedures and confidence region construction usingthese approximations. We explore the relationship between our work and the Kstatistic of Kleibergen (2002) and demonstrate that our results can be used to explainthe sampling behaviour of the K statistic in simultaneous equations modelswhere identification is weak.