Narrow search
Showing 1 - 10 of 44
Cover Image
Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks
Gil-Alaña, Luis A. - 2000
Tests for unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article to the Nelson and Plosser's (1982) series. The tests can be expressed in a way allowing for structural breaks under both the null and the alternative hypotheses. When...
Persistent link: https://www.econbiz.de/10009582385
Cover Image
Reducing size distortions of parametric stationarity tests
Lanne, Markku; Saikkonen, Pentti - 2000
recent parametric tests this is caused by estimation errors which result when the autoregressive parameters used to describe …
Persistent link: https://www.econbiz.de/10009582386
Cover Image
Testing for linear autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - 1998
One puzzling behavior of asset returns for various frequencies is the often observed positive autocorrelation at lag 1 …
Persistent link: https://www.econbiz.de/10009579187
Cover Image
Testing for vector autoregressive dynamics under heteroskedasticity
Hafner, Christian M.; Herwartz, Helmut - 2002
In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any parametric specification of the volatility process and...
Persistent link: https://www.econbiz.de/10009663846
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
Die Wettbewerbsstellung der deutschen Landwirtschaft in der EG : Stand und Folgerungen ; Vorträge der DLG-Herbsttagung am 6. September 1988 in Mainz
Rümker, Just-Hinrich von (contributor) - 1989
Persistent link: https://www.econbiz.de/10000092286