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Testing for Serial Correlation in the of Dynamic Heteroscedasticity.
Silvapulle, P.; Evans, M. - Department of Econometrics and Business Statistics, … - 1996
The main objective of this study is to investigate the rebustness of the popular Durbin-Watson (DW), Langrage multiplier (LM), Box-Pierce (BP) and Ljung-Box (LB) tests and their corrected versions against autoregressive distrurbances in the presence of dynamic heteroscedastic disturbances with...
Persistent link: https://www.econbiz.de/10005581120
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A Comparative Analysis of Different Estimatiors for Dynamic Panel data Models.
Harris, M.N.; Matyas, L. - Department of Econometrics and Business Statistics, … - 1996
In this paper two new estimators are offred (one each for the fixed random effects specifications), and small sample performance compared with that of all the existing estimators.
Persistent link: https://www.econbiz.de/10005581132
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Using the EM Algorithm with Complete, but Scrambled, data.
Kalb, G. - Department of Econometrics and Business Statistics, … - 1996
In this paper the EM algorithm, which has been used successfully with censored and incomplete data sets, is adapted to the problem of scrambled data. The performance of the method is assayed using an artificially constructed data set. The relevance of the results for a real world labour market...
Persistent link: https://www.econbiz.de/10005149045
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Business Forecasting with Exponential Smoothing : Computation of Prediction Intervals.
Snyder, R.D.; Grose, S. - Department of Econometrics and Business Statistics, … - 1996
The problem considered in this paper is how to find reliable prediction intervals with simple exponential smoothing and trend corrected exponential smoothing. Methods for constructing prediction intervals based on linear approximation and bootstrapping are proposed.
Persistent link: https://www.econbiz.de/10005087580
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Estimation of Regression Disturbances Based on Minimum Message Length.
Laskar, M.R.; King, M.L. - Department of Econometrics and Business Statistics, … - 1996
This paper derives six different forms of message length functions for general linear regression model. In so doing, two different prior densities and the idea of parameter orthogonality are employed.
Persistent link: https://www.econbiz.de/10005087586
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The Robustness of Estimators for Dynamic Panel Data Models to Misspecification.
Harris, M.N.; Longmire, R.J.; Matyas, L. - Department of Econometrics and Business Statistics, … - 1996
It is well known that the usual techniques for estimating random and fixed effects panel data models are inconsistent in the dynamic setting. As a consequence, numerous consistent estimators have been proposed in the literature. However, all such estimators rely on certain well defined...
Persistent link: https://www.econbiz.de/10005087599
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Bayesian semiparametric GARCH models
Zhang, Xibin; King, Maxwell L. - Department of Econometrics and Business Statistics, … - 2011
value-at-risk (VaR) estimation. The contribution of the paper is to construct the likelihood and posterior of model and …This paper aims to investigate a Bayesian sampling approach to parameter estimation in the semiparametric GARCH model …
Persistent link: https://www.econbiz.de/10009366291
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A Bayesian approach to parameter estimation for kernel density estimation via transformations
Liu, Qing; Pitt, David; Zhang, Xibin; Wu, Xueyuan - Department of Econometrics and Business Statistics, … - 2010
kernel density estimation of bivariate insurance claim data via transformations. Our data set consists of two types of auto …
Persistent link: https://www.econbiz.de/10008679042
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Bayesian Adaptive Bandwidth Kernel Density Estimation of Irregular Multivariate Distributions
Hu, Shuowen; Poskitt, D.S.; Zhang, Xibin - Department of Econometrics and Business Statistics, … - 2010
Kernel density estimation is an important technique for understanding the distributional properties of data. Some … investigations have found that the estimation of a global bandwidth can be heavily affected by observations in the tail. We propose … the estimation of the bivariate density of daily stock-index returns observed from the U.S. and Australian stock markets …
Persistent link: https://www.econbiz.de/10008763786
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Bayesian estimation of bandwidths for a nonparametric regression model with a flexible error density
Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - Department of Econometrics and Business Statistics, … - 2011
All Ordinaries return, and therefore, a distribution-free value-at-risk is obtained. The proposed Gaussian component …-price density estimation proposed by Aït-Sahalia and Lo (1998). …
Persistent link: https://www.econbiz.de/10009275517