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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. 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
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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
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Test No. 417: Toxicokinetics
2010
studies performed with the substance (normally the rat, a minimum of 4 animals of one sex for each dose). Initial estimation …
Persistent link: https://www.econbiz.de/10012442261