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On the Applicability of the Sieve Bootstrap in Time series Panels

Stephan, Smeekes; Jean-Pierre, Urbain - Graduate School of Business and Economics (GSBE), … - 2011

In this paper we investigate the validity of the univariate autoregressive sieve bootstrap appliedto time series panels characterized by general forms of cross-sectional dependence, including butnot restricted to cointegration. Using the final equations approach we show that while it ispossible...

Persistent link: https://www.econbiz.de/10011146929

Fitting dynamic factor models to non-stationary time series

Michael, Eichler; Giovanni, Motta; von, Sachs Rainer - Graduate School of Business and Economics (GSBE), … - 2009

Factor modelling of a large time series panel has widely proven useful to reduce its cross-sectional dimensionality. This is done by explaining common co-movements in the panel through the existence of a small number of common components, up to some idiosyncratic behaviour of each individual...

Persistent link: https://www.econbiz.de/10011146934

Fitting semiparametric Markov regime-switching models to electricity spot prices

Michael, Eichler; Dennis, Tuerk - Graduate School of Business and Economics (GSBE), … - 2012

Recently regime-switching models have become the standard tool for modeling electricity prices.These models capture the main properties of electricity spot prices well but estimation of themodel parameters requires computer intensive methods. Moreover, the distribution of the pricespikes must be...

Persistent link: https://www.econbiz.de/10011146941

Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility

Giuseppe, Cavaliere; Phillips Peter C.B.; Stephan, Smeekes - Graduate School of Business and Economics (GSBE), … - 2011

implementation of the) augmented Dickey-Fuller tests under the alternative. Thenew lag selection criteria we propose are shown to … corresponding tests based onconventional lag selection methods when the shocks are homoskedastic. …

Persistent link: https://www.econbiz.de/10011146943

Bootstrap Sequential Tests to Determine the Stationary Units in a Panel

Stephan, Smeekes - Graduate School of Business and Economics (GSBE), … - 2011

We propose an approach to investigate the stationarity properties of individual units in a panel based on testing user-defined increasing proportions of hypothesized stationary units sequentially. Asymptotically valid critical values are obtained using the block bootstrap. This sequential...

Persistent link: https://www.econbiz.de/10011146950

Cross sectional averages or principal components?

Joakim, Westerlund; Jean-Pierre, Urbain - Graduate School of Business and Economics (GSBE), … - 2011

In spite of the increased use of factor-augmented regressions in recent years, little is knownregarding the relative merits of the two main approaches to estimation and inference, namely, thecross-sectional average and principal components estimators. As a response to this, the currentpaper...

Persistent link: https://www.econbiz.de/10011146983

Modeling spike occurrences in electricity spot prices for forecasting

Michael, Eichler; Oliver, Grothe; Dennis, Tuerk; Hans, … - Graduate School of Business and Economics (GSBE), … - 2012

Predicting the occurrence of extreme prices, so-called spikes, is one of the greatest challengeswhen modeling electricity spot prices. Despite the fact that recently new insights have beenachieved, the contemporaneous literature seems to be still at its beginning of understanding...

Persistent link: https://www.econbiz.de/10011146986

Detrending Bootstrap Unit Root Tests

Stephan, Smeekes - Graduate School of Business and Economics (GSBE), … - 2009

The role of detrending in bootstrap unit root tests is investigated. When bootstrapping, detrending must not only be … the two points should be treated separately. Asymptotic validity of sieve bootstrap ADF unit root tests is shown for test … used to obtain the test statistic should be based on the power properties of the corresponding asymptotic tests. …

Persistent link: https://www.econbiz.de/10011146989

Bootstrap Union Tests for Unit Roots in the Presence of Nonstationary Volatility

Stephan, Smeekes; Robert, Taylor A. M. - Graduate School of Business and Economics (GSBE), … - 2010

, Leybourne and Taylor (2010, Journal of Econometrics, forthcoming) propose decision rules based on a four-way union of rejections … of QD and OLS detrended tests, both with and without allowing for a linear trend, to deal with the first two problems … of the volatility process, making tests based on the standard asymptotic critical values invalid. We construct bootstrap …

Persistent link: https://www.econbiz.de/10011147003

A preference foundation for constant loss aversion

Hans, Peters - Graduate School of Business and Economics (GSBE), … - 2010

Following prospect theory we consider decision making under risk in which the decision maker''s preferences depend on a reference outcome. An outcome below this reference outcome is regarded as resulting from a loss: a loss decreases the decision maker''s basic utility more than a comparable...

Persistent link: https://www.econbiz.de/10011147011