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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 … additional condition on the parameters, we show that the optimal value, normalized by dividing by the number of jobs, converges …

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 … function (pdf) of the parameters given the restrictions. This is often implicitly assumed which leads to an inconsistency as …

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

On the On-Line Scheduling Algorithm RLS.

Chen, B.; Van Vliet, A. - Econometrisch Instituut, Faculteit der Economische … - 1993

Persistent link: https://www.econbiz.de/10005775798

Asymptotic Distribution for Sums of Intermediate Order Statistics.

Cheng, S. - Econometrisch Instituut, Faculteit der Economische … - 1993

Persistent link: https://www.econbiz.de/10005775799

Worst-Case Analysis of Heuristic Algorithms for Two-Machine Open Shop Scheduling Problem with Route-Dependent Processing Times.

Strusevich, V.A.; Waart, Van de; Dekker, R. - Econometrisch Instituut, Faculteit der Economische … - 1993

Persistent link: https://www.econbiz.de/10005775800

On Wieand's Theorem.

Kallenberg, W.C.M.; Koning, A.J. - Econometrisch Instituut, Faculteit der Economische … - 1993

Persistent link: https://www.econbiz.de/10005775801

A Note on State Space Method in Time Series Modelling.

Heij, C.H. - Econometrisch Instituut, Faculteit der Economische … - 1992

Persistent link: https://www.econbiz.de/10005775806

On the Sensitivity of Unit Root Inference to Nonlinear Data Transformations

Franses, P.H.; Koop, G. - Econometrisch Instituut, Faculteit der Economische … - 1996

In this paper we analyze the sensitivity of unit root inference to nonlinear transformations through Bayesian techniques. We make joint inference about the Box-Cox transformation, which includes the cases yt and log(yt), and the unit root. When we apply our method to the fourteen Nelson-Plosser...

Persistent link: https://www.econbiz.de/10005775811