Ignacio Lobato
Instituto Tecnologico Autonomo de Mexico, Economics/CIE, Faculty Member
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This paper discusses estimates of the parameter which governs the shape of the spectral density near zero frequency of a long memory time series. The estimates are semiparametric in the sense that the spectral density is parameterized... more
This paper discusses estimates of the parameter which governs the shape of the spectral density near zero frequency of a long memory time series. The estimates are semiparametric in the sense that the spectral density is parameterized only within a neighborhood of zero frequency. ...
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Page 1. Testing That a Dependent Process Is Uncorrelated Ignacio N. Lobato An analysis is presented of a new testing procedure for the null hypothesis that a stochastic process is uncorrelated when the process is possibly dependent. ...
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In this paper we consider testing that an economic time series follows a martingale difference process. The martingale difference hypothesis has typically been tested using information contained in the second moments of a process, that... more
In this paper we consider testing that an economic time series follows a martingale difference process. The martingale difference hypothesis has typically been tested using information contained in the second moments of a process, that is, using test statistics based on the sample autocovariances or periodograms. Tests based on these statistics are inconsistent since they cannot detect nonlinear alternatives. In
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Page 1. Testing for Nonlinear Autoregression Ignacio N. Lobato Centro de Investigación Económica, Instituto Tecnológico Autónomo de México, Av. Camino Sta. Teresa #930, México DF 10700, Mexico (ilobato@itam.mx) This ...
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The problem addressed in this paper is to test the null hypothesis that a time series process is uncorrelated up to lag K in the presence of statistical dependence. We propose a robust test that is asymptotically distributed as chi-square... more
The problem addressed in this paper is to test the null hypothesis that a time series process is uncorrelated up to lag K in the presence of statistical dependence. We propose a robust test that is asymptotically distributed as chi-square when the null is true. The test is based on a consistent ...
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Page 1. Automatic Specification Testing For Vector Autoregressions 1 Juan Carlos Escanciano Indiana University, Bloomington, USA Ignacio N. Lobato2 Instituto Tecnológico Autónomo de México, México DF, Mexico Lin Zhu Indiana University,... more
Page 1. Automatic Specification Testing For Vector Autoregressions 1 Juan Carlos Escanciano Indiana University, Bloomington, USA Ignacio N. Lobato2 Instituto Tecnológico Autónomo de México, México DF, Mexico Lin Zhu Indiana University, Bloomington, USA ...
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There is frequently interest in testing that a scalar or vector time series is I(0), possibly after first-differencing or other detrending, while the I(0) assumption is also taken for granted in autocorrelation-consistent variance... more
There is frequently interest in testing that a scalar or vector time series is I(0), possibly after first-differencing or other detrending, while the I(0) assumption is also taken for granted in autocorrelation-consistent variance estimation. We propose a test for I(0) against ...
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Downloadable! This paper considers testing that an economic time series follows a martingale difference process. The martingale difference hypothesis has been typically tested using information contained in the second moments of a... more
Downloadable! This paper considers testing that an economic time series follows a martingale difference process. The martingale difference hypothesis has been typically tested using information contained in the second moments of a process, that is, using test statistics based ...