Ignacio N Lobato
Biographic Data
| ID | 8920827 |
|---|---|
| NAME | Ignacio N Lobato |
| GIVEN NAMES | Ignacio N |
| FAMILY NAME | Lobato |
| SIGNATURE | LOBATO I N |
| AFFILIATIONS | Instituto Tecnológico Autónomo de México |
| ORCID | 0000-0001-7893-0564 |
| VERIFIED | Yes |
| TOTAL WORKS | 5 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 5 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1998 |
| LATEST PUBLICATION YEAR | 2024 |
| H-INDEX | 0 |
Evidence of non-fundamentalness in OECD capital stocks
Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models
This article introduces an automatic test for the correct specification of a vector autoregression (VAR) model. The proposed test statistic is a Portmanteau statistic with an automatic selection of the order of the residual serial correlation tested. The test presents several attractive characteristics: simplicity, robustness, and high power in finite samples. The test is simple to implement since the researcher does not need to specify the order…
Testing for Nonlinear Autoregression
This article considers consistent testing the null hypothesis that the conditional mean of an economic time series is linear in past values. Two specific tests are discussed, the Cramér–von Mises and the Kolmogorov–Smirnov tests. The particular feature of the proposed tests is that the bootstrap is used to estimate the nonstandard asymptotic distributions of the test statistics considered. The tests are justified theoretically by asymptotics, and…
Long Memory in Stock-Market Trading Volume
This article examines consistent estimation of the long-memory parameters of stock-market trading volume and volatility. The analysis is carried out in the frequency domain by tapering the data instead of detrending them. The main theoretical contribution of the article is to prove a central limit theorem for a multivariate two-step estimator of the memory parameters of a nonstationary vector process. Using robust semiparametric procedures, the l…
Real and Spurious Long-Memory Properties of Stock-Market Data
We test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure of Lobato and Robinson. Spurious results can be produced by nonstationarity and aggregation. We address these problems by analyzing subperiods of returns and using individual stocks. The test results show no evidence of long memory in the returns. By contrast, there is strong evidence in the squared returns
No prominent works on this page.
Real and Spurious Long-Memory Properties of Stock-Market Data
We test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure of Lobato and Robinson. Spurious results can be produced by nonstationarity and aggregation. We address these problems by analyzing subperiods of returns and using individual stocks. The test results show no evidence of long memory in the returns. By contrast, there is strong evidence in the squared returns
Long Memory in Stock-Market Trading Volume
This article examines consistent estimation of the long-memory parameters of stock-market trading volume and volatility. The analysis is carried out in the frequency domain by tapering the data instead of detrending them. The main theoretical contribution of the article is to prove a central limit theorem for a multivariate two-step estimator of the memory parameters of a nonstationary vector process. Using robust semiparametric procedures, the l…
Testing for Nonlinear Autoregression
This article considers consistent testing the null hypothesis that the conditional mean of an economic time series is linear in past values. Two specific tests are discussed, the Cramér–von Mises and the Kolmogorov–Smirnov tests. The particular feature of the proposed tests is that the bootstrap is used to estimate the nonstandard asymptotic distributions of the test statistics considered. The tests are justified theoretically by asymptotics, and…
Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models
This article introduces an automatic test for the correct specification of a vector autoregression (VAR) model. The proposed test statistic is a Portmanteau statistic with an automatic selection of the order of the residual serial correlation tested. The test presents several attractive characteristics: simplicity, robustness, and high power in finite samples. The test is simple to implement since the researcher does not need to specify the order…
Evidence of non-fundamentalness in OECD capital stocks
Econometrics (5 works) · Market Dynamics and Volatility (5 works) · Economics (4 works) · Mathematics (4 works) · Statistics (4 works) · Complex Systems and Time Series Analysis (3 works) · Financial economics (3 works) · Financial Risk and Volatility Modeling (3 works) · Monetary Policy and Economic Impact (3 works) · Autoregressive model (2 works)