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A Simultaneous Confidence Corridor for Varying Coefficient Regression with Sparse Functional Data
Gu, Lijie; Wang, Li; Härdle, Wolfgang Karl; Yang, Lijian - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
We consider a varying coefficient regression model for sparse functional data, with time varying response variable depending linearly on some time independent covariates with coefficients as functions of time dependent covariates. Based on spline smoothing, we propose data driven simultaneous...
Persistent link: https://www.econbiz.de/10010734528
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Measuring changes in preferences and perception due to the entry of a new brand with choice data
Hildebrandt, Lutz; Kalweit, Lea - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
context effects caused by a new product in scanner panel data, and to discriminate between alternative theoretical …
Persistent link: https://www.econbiz.de/10005677901
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An empirical test of theories of price valuation using a semiparametric approach, reference prices, and accounting for heterogeneity
Boztug, Yasemin; Hildebrandt, Lutz - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
In this paper we estimate and empirically test different behavioral theories of consumer reference price formation. Two major theories are proposed to model the reference price reaction: assimilation contrast theory and prospect theory. We assume that different consumer segments will use...
Persistent link: https://www.econbiz.de/10005677909
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Comparison of Panel Cointegration Tests
Örsal, Deniz Dilan Karaman - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-p, the … power properties a mong the five panel cointegration test statistics evaluated. Finally, the Fisher Hypothesis is tested … group-p, the panel-t, the group-t statistics of Pedroni (1999) and the standardized LR-bar statistic of Larsson et al. (2001 …
Persistent link: https://www.econbiz.de/10005784848
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Correlated Trades and Herd Behavior in the Stock Market
Jurkatis, Simon; Kremer, Stephanie; Nautz, Dieter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
Herd behavior is often viewed as a signicant threat for the stability and eciency of nancial markets. This paper sheds new light on the relevance of herd behavior for observed correlation of trades. We introduce numerical simulations of a herd model to derive theory-guided predictions regarding...
Persistent link: https://www.econbiz.de/10010549030
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Herding of Institutional Traders
Kremer, Stephanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
institutions is not intentional but results from sharing the same preference and investment style. Fourth, a panel analysis shows …
Persistent link: https://www.econbiz.de/10008565802
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Why Do Financial Market Experts Misperceive Future Monetary Policy Decisions?
Schmidt, Sandra; Nautz, Dieter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
panel random coefficient model, we show that financial experts have systematically misperceived the ECB's in- terest rate …
Persistent link: https://www.econbiz.de/10008568493
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What Drives the Relationship Between Inflation and Price Dispersion? Market Power vs. Price Rigidity
Becker, Sascha S. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
panel of European countries, this paper contributes to the literature by testing the empirical relevance of these two …
Persistent link: https://www.econbiz.de/10008873325
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Inflation, Price Dispersion and Market Integration through the Lens of a Monetary Search Model
Becker, Sascha S.; Nautz, Dieter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
Monetary search theory implies that the real effects of inflation via its impact on price dispersion depend on the level of search costs and, thus, on the level of market integration. For less integrated markets, the inflation-price dispersion nexus is predicted to be asymmetrically V-shaped...
Persistent link: https://www.econbiz.de/10008740237
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Spatial Dependencies in German Matching Functions
Schulze, Franziska - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
This paper proposes a spatial panel model for German matching functions to avoid possibly biased and inefficient …
Persistent link: https://www.econbiz.de/10008693138