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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

Manipulation in political stock markets : preconditions and evidence

Hansen, Jan; Schmidt, Carsten; Strobel, Martin - 2001

Political stock markets (PSM) are sometimes seen as substitutes for opinion polls. On the bases of a behavioral model, specific preconditions were drawn out under which manipulation in PSM can weaken this argument. Evidence for manipulation is reported from the data of two separate PSM during...

Persistent link: https://www.econbiz.de/10009614875

Some nonparametric tests for unit roots and cointegration

Breitung, Jörg - 1999

Following Bierens (1997a,b) and Vogelsang (1998a,b), unit root tests can be constructed which are asymptotically invariant to parameters involved by the short run dynamics of the process. Such an approach is called nonparametric by Bierens (1997b) and can be used to test a wide range of...

Persistent link: https://www.econbiz.de/10009580478

Unit root tests for time series with a structural break : when the break point is known

Lütkepohl, Helmut; Müller-Kademann, Christian; … - 1999

Unit root tests for time series with level shifts are considered. The level shift is assumed to occur at a known time point. In contrast to some other proposals the level shift is modeled as part of the intercept term of the stationary component of the data generation process which is separated...

Persistent link: https://www.econbiz.de/10009580481

Testing for unit roots in time series with level shifts

Saikkonen, Pentti; Lütkepohl, Helmut - 1999

Tests for unit roots in univariate time series with level shifts are proposed and investigated. The level shift is assumed to occur at a known time. It may be a simple one-time shift which can be captured by a dummy variable or it may have a more general form which can be modeled by some general...

Persistent link: https://www.econbiz.de/10009580487

Testing for a unit root in a time series with a level shift at unknown time

Saikkonen, Pentti; Lütkepohl, Helmut - 1999

step and apply standard unit root tests to the residuals. The estimation of the nuisance parameters is done in such a way …

Persistent link: https://www.econbiz.de/10009581100

The local power of some unit root tests for panel data

Breitung, Jörg - 1999

To test the hypothesis of a difference stationary time series against a trend stationary alternative, Levin and Lin (1993) and Im, Pesaran and Shin (1997) suggest bias adjusted t-statistics. Such corrections are necessary to account for the nonzero mean of the t-statistic in the case of an OLS...

Persistent link: https://www.econbiz.de/10009581103

Rank tests for unit roots

Breitung, Jörg; Gouriéroux, Christian - 1996

In order to obtain exact distributional results without imposing restrictive parametric assumptions, several rank counterparts of the Dickey-Fuller statistic are considered. In particular, a rank counterpart of the score statistic is suggested which appears to have attractive theoretical...

Persistent link: https://www.econbiz.de/10009630543

Modelling seasonality with fractionally integrated processes

Gil-Alaña, Luis A. - 2000

We propose in this article the use of a particular version of the tests of Robinson (1994) for testing seasonally fractionally integrated processes. The tests have standard null and local limit distributions and allow us to test unit and fractional seasonal roots even with different amplitudes...

Persistent link: https://www.econbiz.de/10009582382

Comparison of unit root tests for time series with level shifts

Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti - 1999

previously suggested tests of this sort are analyzed and a range of modifications is proposed which take into account estimation … errors in the nuisance parameters. An important result is that estimation under the null hypothesis is preferable to … estimation under local alternatives. This contrasts with results obtained by other authors for time series without level shifts. …

Persistent link: https://www.econbiz.de/10009582419