Narrow search
Showing 1 - 10 of 159
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Test No. 111: Hydrolysis as a Function of pH
2004
This Test Guideline describes a laboratory test method to assess abiotic hydrolytic transformations of chemicals in aquatic systems at pH values normally found in the environment (pH 4 – 9). This Guideline is designed as a tiered approach; each tier is triggered by the results of the previous...
Persistent link: https://www.econbiz.de/10012441941
Cover Image
Test No. 315: Bioaccumulation in Sediment-dwelling Benthic Oligochaetes
2008
This Test Guideline describes a method to assess bioaccumulation of sediment-associated chemicals in endobenthic oligochaetes worms. It applies to stable, neutral organic chemicals having log Kow values between 3.0 and 6.0, superlipophilic substances that show a log Kow of more than 6.0, or...
Persistent link: https://www.econbiz.de/10012442038