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Estimation and testing for varying coefficients in additive models with marginal integration

Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002

regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate …

Persistent link: https://www.econbiz.de/10009627286

Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the hurst coefficient

Hall, Peter; Härdle, Wolfgang; Kleinow, Torsten; … - 1999

the price of a commodity, currency or similar quantity. Interval estimation and hypothesis testing for H are central to …

Persistent link: https://www.econbiz.de/10009581110

Semiparametric modelling of the cross-section of expected returns in the German stock market

Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - 1997

a comparable data set for Germany for the time period 1968-1990. We analyze this data set in order to identify a "best …/French for US stock returns is almost the best one in Germany. The book-to-market-ratio turns out to be the variable with highest …

Persistent link: https://www.econbiz.de/10009661022

Forecasting the real output using fractionally integrated techniques

Gil-Alaña, Luis A. - 2001

The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of …

Persistent link: https://www.econbiz.de/10009613608

Nonparametric specification testing for continuous-time models with application to spot interest rates

Hong, Yongmiao; Li, Haitao - 2002

; Parameter estimation uncertainty ; Probability integral transform ; Quadratic form ; Short-term interest rate ; Transition …

Persistent link: https://www.econbiz.de/10009621413

Reducing size distortions of parametric stationarity tests

Lanne, Markku; Saikkonen, Pentti - 2000

recent parametric tests this is caused by estimation errors which result when the autoregressive parameters used to describe …

Persistent link: https://www.econbiz.de/10009582386

Lag selection in subset VAR models with an application to a US monetary system

Brüggemann, Ralf; Lütkepohl, Helmut - 2000

Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...

Persistent link: https://www.econbiz.de/10009583885

Deterministic seasonality versus seasonal fractional integration

Gil-Alaña, Luis A. - 2000

We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality versus seasonal fractional integration. A new test statistic is developed to simultaneously test both, the order of integration of the seasonal component and the need of seasonal...

Persistent link: https://www.econbiz.de/10009612017

Local power of likelihood ratio tests for the cointegrating rank of a VAR process

Saikkonen, Pentti; Lütkepohl, Helmut - 1997

Likelihood ratio (LR) tests for the cointegrating rank of a vector autoregressive (VAR) process have been developed under different assumptions regarding deterministic terms. For instance, nonzero mean terms and linear trends have been accounted for in some of the tests. In this paper we provide...

Persistent link: https://www.econbiz.de/10009659070

Consistency of a least squares orthonormal series estimator for a regression function

Delecroix, Michel; Protopopescu, Camelia - 2000

This paper establishes the almost. sure consistency of least. squares regression series estimators, in the L2-norm and the sup-norm, under very large assumptions on the underlying model. Three examples are considered in order to illustrate the general results: trigonometric series, Legendre...

Persistent link: https://www.econbiz.de/10009582391