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Cointegrating smooth transition regressions with applications to the Asian currency crisis
Saikkonen, Pentti; Choi, In - 2000
This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...
Persistent link: https://www.econbiz.de/10009612025
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Semiparametric modelling of the cross-section of expected returns in the German stock market
Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - 1997
According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...
Persistent link: https://www.econbiz.de/10009661022
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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002
We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …
Persistent link: https://www.econbiz.de/10009627286
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Lag selection in subset VAR models with an application to a US monetary system
Brüggemann, Ralf; Lütkepohl, Helmut - 2000
Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...
Persistent link: https://www.econbiz.de/10009583885
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Forecasting the real output using fractionally integrated techniques
Gil-Alaña, Luis A. - 2001
The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show that the series can be specified in terms of I(d) statistical models with d...
Persistent link: https://www.econbiz.de/10009613608
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Test No. 215: Fish, Juvenile Growth Test
2000
This Test Guideline is designed to assess the effects of prolonged exposure to chemicals on the growth of juvenile fish. Juvenile fish in exponential growth phase are placed, after being weighed, in test chambers and are normally exposed to five sublethal concentrations of the test substance...
Persistent link: https://www.econbiz.de/10012441680
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Test No. 228: Determination of Developmental Toxicity of a Test Chemical to Dipteran Dung Flies(Scathophaga stercoraria L. (Scathophagidae), Musca autumnalis De Geer (Muscidae))
2008
This Test Guideline describes a method to estimate the developmental toxicity of a test chemical to the dung dwelling life stages of dung-dependent dipteran species. Two test species can be used. The test chemical is mixed with bovine faeces, to which either 10 eggs of Scathophaga stercoraria or...
Persistent link: https://www.econbiz.de/10012441715
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Test No. 227: Terrestrial Plant Test: Vegetative Vigour Test
2006
This Test Guideline is designed to assess effects on vegetative vigour of terrestrial plants following above-ground exposure by general chemicals, biocides and crop protection products. The test can be conducted in order to determine the dose-response curve, or at a single concentration/rate as...
Persistent link: https://www.econbiz.de/10012441938
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Test No. 234: Fish Sexual Development Test
2011
This Test Guideline describes an assay that assesses early life-stage effects and potential adverse consequences of putative endocrine disrupting chemicals (e.g. oestrogens, androgens and steroidogenesis inhibitors) on fish sexual development. In the test, fish are exposed, from newly fertilized...
Persistent link: https://www.econbiz.de/10012442297
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Test No. 212: Fish, Short-term Toxicity Test on Embryo and Sac-Fry Stages
1998
In this Short-term Toxicity Test on Fish Embryo and Sac-Fry Stages, the life stages from the newly fertilized egg to the end of the sac-fry stage are exposed. The embryo and sac-fry stages of fish are exposed to five concentrations of the test substance dissolved in water. A choice, depending on...
Persistent link: https://www.econbiz.de/10012442902