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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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Nonlinear error correction and the efficient market hypothesis : the case of German dual-class shares
Breitung, Jörg; Wulff, Christian - 1999
The efficient market hypothesis implies that asset prices cannot be cointegrated. On the other hand, arbitrage processes prevent prices of fundamentally related assets from drifting far away. An attractive model that reconciles these two conflicting facts is the nonlinear error correction...
Persistent link: https://www.econbiz.de/10009581105
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Fractional cointegration and tests of present value models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations are conducted to evaluate the power and size...
Persistent link: https://www.econbiz.de/10009582383
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Measurement and estimation of credit migration matrices
Schuermann, Til (contributor); Jafry, Yusuf (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001754507
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A model specification test
Bartels, Knut - 1998
A general model specification test of a parametric model against a nonparametric or semiparametric alternative is studied. The test statistic employs a fixed kernel, not varying by a bandwidth. This test is proved to be consistent, the asymptotic distribution is derived and shown to be...
Persistent link: https://www.econbiz.de/10009578557
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Canonical correlation statistics for testing the cointegration rank in a reversed order
Breitung, Jörg - 1998
In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r r0. Such a test flips the null and alternative hypotheses of Johansen's LR test and can be used jointly with the LR test to construct a confidence set for the cointegration rank....
Persistent link: https://www.econbiz.de/10009578561
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Parametric versus nonparametric goodness of fit : another view
Läuter, Henning; Nikulin, Michail S. - 1999
We consider chi-squared type tests for testing the hypothesis H 0 that a density f of observations X1,..., Xn lies in a parametric class of densities F. We consider a version of chi-squared type test using kernel estimates for the density. The main result is, following Liero, Läuter and Konakov...
Persistent link: https://www.econbiz.de/10009579178
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An adaptive, rate-optimal test of a parametric model against a nonparametric alternative
Horowitz, Joel; Spokojnyj, Vladimir G. - 1999
We develop a new test of a parametric model of a conditional mean function against a nonparametric alternative. The test adapts to the unknown smoothness of the alternative model and is uniformly consistent against alternatives whose distance from the parametric model converges to zero at the...
Persistent link: https://www.econbiz.de/10009579179