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Consistent testing for stochastic dominance under general sampling schemes
Linton, Oliver (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001916170
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Heuristics as decision rules : Part I: the single consumer
Güth, Werner; Neuefeind, Wilhelm - 2001
Many consumption prices are highly volatile. It would certainly overburden our cognitive system to fully adjust to all these changes. Households therefore often rely on simple heuristics when deciding what to consume, e.g. in the form of a constant budget share for a specific consumption...
Persistent link: https://www.econbiz.de/10009612561
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Temporal aggregation and causality in multiple time series models
Breitung, Jörg; Swanson, Norman R. - 1998
asymptotic theory based on large aggregation intervals we derive conditions for a correspondence between both concepts. These … examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our approach is to compare … results allow us to differentiate between spurious contemporaneous correlation arising because of aggregation, and true …
Persistent link: https://www.econbiz.de/10009578029
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On the effects of aggregating cointegrated variables over time
Müller-Kademann, Christian - 2002
aggregated observations (see Working (1960)). This paper investigates the effect of aggregation on the relation between variables … (cointegration). It will be shown that aggregation does not distort the cointegration relation while some other features of the data … cointegration analysis seems to be robust against various aggregation strategies. -- cointegration ; aggregation ; time series …
Persistent link: https://www.econbiz.de/10009620772
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Co-evolution of preferences and information in simple games of trust
Güth, Werner; Kliemt, Hartmut; Peleg, Bezalel - 1998
In standard rational choice modelling decisions are made according to given information and preferences. In the model presented here the 'information technology' of individual decision makers as well as their preferences evolve in a dynamic process. In this process decisions are made rationally...
Persistent link: https://www.econbiz.de/10009578580
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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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Money demand in Europe : evidence from the past
Müller-Kademann, Christian; Hahn, Elke - 2000
both to the data sources and their aggregation, by providing a transparent account of our calculation procedure, which is … not yet common in the existing literature. -- european money demand ; monetary targeting ; aggregation …
Persistent link: https://www.econbiz.de/10009583887
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Quantile hedging
Föllmer, Hans; Leukert, Peter - 1998
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling...
Persistent link: https://www.econbiz.de/10009574876
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On model based seasonal adjustment procedures
Breitung, Jörg - 1998
In this note the unobserved component approach underlying the software package SEATS is compared with the Beveridge-Nelson type of decomposition for seasonal time series. The main strength of the SEATS approach lies in the appealing model formulation and the careful specification and adjustment...
Persistent link: https://www.econbiz.de/10009574877
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The monetary model of the exchange rate : a structural interpretation
Moersch, Mathias; Nautz, Dieter - 1998
We emphasize the importance of properly identifying the long-run relations underlying the monetary model of the exchange rate. The separate estimation of long-run money demands leads to a "structural" error correction equation which allows an interpretation of the various channels affecting the...
Persistent link: https://www.econbiz.de/10009574885