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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

Backtesting value at risk and expected shortfall

Roccioletti, Simona - 2016 - 1st ed. 2016

Persistent link: https://www.econbiz.de/10011411468

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

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

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

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

Test No. 239: Water-Sediment Myriophyllum Spicatum Toxicity Test

2014

This Test Guideline is designed to assess the toxicity of chemicals on the growth of the rooted aquatic plants (Myriophyllum spicatum) growing in water-sediment system. Shoot apices of healthy and non-flowering plant are potted in standardised, artificial sediment supplemented with additional...

Persistent link: https://www.econbiz.de/10012448789

Test No. 238: Sediment-Free Myriophyllum Spicatum Toxicity Test

2014

This Test Guideline is designed to assess the toxicity of chemicals on the growth of submerged aquatic plants Myriophyllum spicatum growing in a sediment-free test system. In a modified Andrews’ medium Myriophyllum spicatum plant cultures are exposed to at least five different concentrations...

Persistent link: https://www.econbiz.de/10012448807

Test No. 203: Fish, Acute Toxicity Test

1992

The fish are exposed to the test substance preferably for a period of 96 hours. Mortalities are recorded at 24, 48, 72 and 96 hours and the concentrations which kill 50 per cent of the fish (LC50) are determined where possible. One or more species may be used, the choice being at the discretion...

Persistent link: https://www.econbiz.de/10012444053

Test No. 477: Genetic Toxicology: Sex-Linked Recessive Lethal Test in Drosophila melanogaster

1984

Persistent link: https://www.econbiz.de/10012444141

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