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Nonparametric estimation and testing of interaction in additive models
Sperlich, Stefan; Tjostheim, Dag; Yang, Lijian - 1998
We consider an additive model with second order interaction terms. It is shown how the components of this model can be estimated using marginal integration, and the asymptotic distribution of the estimators is derived. Moreover, two test statistics for testing the presence of interactions are...
Persistent link: https://www.econbiz.de/10009574875
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Sources of German unemployment : a structural vector error correction analysis
Brüggemann, Ralf - 2001
, productivity and unemployment which is interpreted as a wage setting relation. From a Subset VECM we identify meaningful structural …
Persistent link: https://www.econbiz.de/10009613616
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Unpaid overtime in Germany : differences between East and West
Anger, Silke (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001917007
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The empirical determinants of the Euro : short and long run perspectives
Chinn, Menzie David - 2000
is provided by a productivity-based model of the real value of the euro. Some panel regression estimates of the … relationship between intercountry relative productivity differentials and real exchange rates is presented. Using these estimates … to conduct some calculations, one comes to the conclusion that unless drastic changes to productivity trends occur, there …
Persistent link: https://www.econbiz.de/10009583879
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Structural vector autoregressive models and monetary policy analysis
Holtemöller, Oliver - 2002
possibility is to adopt restrictions from economic theory. The purpose of this paper is to investigate the implications of the …
Persistent link: https://www.econbiz.de/10009620773
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Low-probability insurance decisions : the role of concern
Schade, Christian D.; Kunreuther, Howard; Kaas, Klaus Peter - 2002
On the basis of a real high stakes insurance experiment with small probabilities of losses, we demonstrate that concern is a more important driver of WTP for insurance than subjective probability estimates when there is ambiguity surrounding the estimate. Concern is still important when...
Persistent link: https://www.econbiz.de/10009621421
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The false consensus effect disappears if representative information and monetary incentives are given
Engelmann, Dirk; Strobel, Martin - 1999
In this paper we present an experiment on the false consensus effect. Unlike previous experiments, we provide monetary incentives for revealing the actual estimation of others' behavior. In each session and round sixteen subjects make a choice between two options simultaneously. Then they...
Persistent link: https://www.econbiz.de/10009581106
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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
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A fractionally integrated model with a mean shift for the US and the UK real oil prices
Gil-Alaña, Luis A. - 2000
In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally integrated processes with a mean shift. We use different versions of the tests of Robinson (1994), which have standard null and local limit distributions. The results indicate that if we model the...
Persistent link: https://www.econbiz.de/10009611543
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Modeling the US short-term interest rate by mixture autoregressive processes
Lanne, Markku; Saikkonen, Pentti - 2000
A new kind of mixture autoregressive model with GARCH errors is introduced and applied to the U.S. short-term interest rate. According to the diagnostic tests developed in the paper and further informal checks the model is capable of capturing both of the typical characteristics of the...
Persistent link: https://www.econbiz.de/10009612047