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Testing for ARCH in the Presence of Additive Outliners

Van Dijk, D.; Franses, P.H.; Lucas, A. - Econometrisch Instituut, Faculteit der Economische … - 1996

In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliners (AO's). We show analytically that both the asymptotic size and power are adversely...

Persistent link: https://www.econbiz.de/10005775796

Goodness of Fit for the Constancy of a Classical Statistical Model Over Time

Koning, A.J. - Econometrisch Instituut, Faculteit der Economische … - 1996

The classical statistical model relates to n independent random variables having a common distribution. In this paper we consider the situation where the common distribution involves an unknown parameter, and where at time 0<t<1 only the first [nt] random variables are observed.

Persistent link: https://www.econbiz.de/10005775803

A Probabilistic Feasibility and Value Analysis of the Generalized Assignment Problem

Romijn, H.E.; Piersma, N. - Econometrisch Instituut, Faculteit der Economische … - 1996

We study the generalized assignment problem, under a probabilistic model for its cost and requirement parameters. First we address the issue of feasibility by deriving a tight condition on the probabilistic model that ensures that the corresponding problem instances are feasible with the...

Persistent link: https://www.econbiz.de/10005775805

Equality Restricted Random Variables: Densities and Sampling Algorithms

Kleibergen, F. - Econometrisch Instituut, Faculteit der Economische … - 1996

Many common statistical models can be specified as linear models with restrictions imposed on the parameters. A large … amount of these models impose restrictions which do not allow for the analytical construction of the probability density …

Persistent link: https://www.econbiz.de/10005660914

On the Interpretation of Seasonally Adjusted Data.

Franses, PH.H.B.F. - Econometrisch Instituut, Faculteit der Economische … - 1999

This paper suveys several recently proposed regression-based methods that can be used to evaluate the usefulness of seasonally adjusted data, with specific focus on Census X-12 adjustment. These methods examine whether seasonality has indeed been removed and whether key properties (like a trend...

Persistent link: https://www.econbiz.de/10005775831

Forecasting Volatility with Switching Persistence GARCH Models.

Franses, P.H.; Neele, J.; van Dijk, D. - Econometrisch Instituut, Faculteit der Economische … - 1998

In this paper we examine the forecasting performance of five nonlinear GARCH(1,1) models. Four of these have recently … been proposed in literature, while the fifth model is a new one. All five models allow for switching persistence of shocks …, depending on the value and/or sign of recent returns. We consider the models for weekly data on 5 major stock markets. Our …

Persistent link: https://www.econbiz.de/10005207500

Reduced Rank Regression Using Generalized Method of Moments Estimators, with Extensions to Structural Breaks in Cointegration Models.

Kleibergen, F. - Econometrisch Instituut, Faculteit der Economische … - 1997

Generalized Method of Moments (GMM) Estimators are derived for Reduced Rank Regression Models, the Error Corrections …

Persistent link: https://www.econbiz.de/10005660875

Modelling Multiple Regimes in the Business Cycle.

Van Dijk, D.; Franses, P.H. - Econometrisch Instituut, Faculteit der Economische … - 1997

Transition Autoregressive [STAR] models. A possible limitation of STAR models as they are currently used is that essentially they … accommodated. It is demonstrated that the class of Multiple Regime STAR [MRSTAR] models can be obtained from the two-regime model …

Persistent link: https://www.econbiz.de/10005660893

Bayesian and Classical Approaches to Instrumental Variable Regression.

Kleibergen, F.; Zivot, E. - Econometrisch Instituut, Faculteit der Economische … - 1998

We establish the relationships between certain Bayesian and classical approaches to instrumental variable regression. We determine the form of priors that lead to posteriors for structural parameters that have similar properties as classical 2SLS and LIML and in doing so provide some new insight...

Persistent link: https://www.econbiz.de/10005660912

THE POSTERIOR DISTRIBUTION OF ROOTS IN MULTIVARIATE AUTOREGRESSIONS.

GEWEKE, J. - Econometrisch Instituut, Faculteit der Economische … - 1989

Persistent link: https://www.econbiz.de/10005619201