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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach

Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - Deutsche Bundesbank - 2003

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

Persistent link: https://www.econbiz.de/10005083101

Testing for structural breaks in dynamic factor models

Breitung, Jörg; Eickmeier, Sandra - Deutsche Bundesbank - 2009

From time to time, economies undergo far-reaching structural changes. In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest test procedures for structural breaks....

Persistent link: https://www.econbiz.de/10005083187

Unit roots and cointegration in panels

Breitung, Jörg; Pesaran, Mohammad Hashem - Deutsche Bundesbank - 2005

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T), and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and...

Persistent link: https://www.econbiz.de/10005083230

Evaluating the calibration of multi-step-ahead density forecasts using raw moments

Knüppel, Malte - Deutsche Bundesbank - 2011

The evaluation of multi-step-ahead density forecasts is complicated by the serial correlation of the corresponding probability integral transforms. In the literature, three testing approaches can be found which take this problem into account. However, these approaches can be computationally...

Persistent link: https://www.econbiz.de/10009646497

Does Benford's law hold in economic research and forecasting?

Günnel, Stefan; Tödter, Karl-Heinz - Deutsche Bundesbank - 2007

First and higher order digits in data sets of natural and socio-economic processes often follow a distribution called Benford's law. This phenomenon has been used in many business and scientific applications, especially in fraud detection for financial data. In this paper, we analyse whether...

Persistent link: https://www.econbiz.de/10005059027

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Kilian, Lutz; Gonçalves, Sílvia - Deutsche Bundesbank - 2002

residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are …-toimplement alternative bootstrap proposals for stationary autoregressive processes with m.d.s. errors subject to possible conditional … heteroskedasticity of unknown form. These proposals are the fixed-design wild bootstrap, the recursive-design wild bootstrap and the …

Persistent link: https://www.econbiz.de/10005083322

A distribution-free test for outliers

Candelon, Bertrand; Metiu, Norbert - Deutsche Bundesbank - 2013

relies on a two-stage nonparametric bootstrap procedure. Monte Carlo experiments show that the proposed test has good …

Persistent link: https://www.econbiz.de/10010957131

The New Keynesian Phillips Curve in Europe: does it fit or does it fail?

Tillmann, Peter - Deutsche Bundesbank - 2005

The canonical New Keynesian model specifies inflation as the present-value of future real marginal cost. This paper tests this New Keynesian Phillips Curve and exploits projections of future real marginal cost generated by VAR models to assess the model's ability to match the behavior of actual...

Persistent link: https://www.econbiz.de/10005083208

Short-run and long-run comovement of GDP and some expenditure aggregates in Germany, France and Italy

Knetsch, Thomas A. - Deutsche Bundesbank - 2005

The paper presents empirical work on short-run and long-run comovement between the German, French and Italian aggregates of private consumption, business investment, exports, imports, GDP, and changes in inventories. In country-specific data sets, cointegration analyses are carried out both to...

Persistent link: https://www.econbiz.de/10005083307

Understanding global liquidity

Eickmeier, Sandra; Gambacorta, Leonardo; Hofmann, Boris - Deutsche Bundesbank - 2013

We explore the concept of global liquidity based on a factor model estimated using a large set of financial and macroeconomic variables from 24 advanced and emerging market economies. We measure global liquidity conditions based on the common global factors in the dynamics of liquidity...

Persistent link: https://www.econbiz.de/10010957104