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Is momentum due to data-snooping?
Ericsson, Johan (contributor);  … - 2003 - [Elektronische Ressource]
This paper explores the profitability of portfolio-based momentum strategies. The data consists of all NYSE, AMEX, and NASDAQ stocks on the CRSP database. The analysis considers the period July 1963 to December 2002 and the tests are performed on portfolios formed on industry, size and...
Persistent link: https://www.econbiz.de/10001883186
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Testing for unit roots in nonlinear dynamic heterogeneous panels
He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource]
In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section …
Persistent link: https://www.econbiz.de/10002595402
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Parametric covariance matrix modeling in Bayesian panel regression
Salabasis, Mickael (contributor) - 2004 - [Elektronische Ressource], Rev. February 16, 2005
illustrated. -- Bayesian panel regression ; parametric covariance ; model selection …
Persistent link: https://www.econbiz.de/10002595455
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Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed
He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 18, 2005
In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The …, finite sample properties of the test are examined. We highlight scenarios under which the traditional panel unit root tests … by Harris and Tzavalis have inferior or reasonable power compared to our test. -- Dynamic nonlinear panel ; Smooth …
Persistent link: https://www.econbiz.de/10002577852
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Likelihood-based cointegration tests in heterogeneous panels
Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael - 1998
Persistent link: https://www.econbiz.de/10000991637
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A flexible adjustment model of employment with application to Zimbabwe's manufacturing industries
Ncube, Mthuli; Heshmati, Almas - 1998
Persistent link: https://www.econbiz.de/10000995372
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An econometric model of employment in Zimbabwe's manufacturing industries
Ncube, Mthuli; Heshmati, Almas - 1998
Persistent link: https://www.econbiz.de/10000995377