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Bartels, Knut - 1998

A general model specification test of a parametric model against a nonparametric or semiparametric alternative is studied. The test statistic employs a fixed kernel, not varying by a bandwidth. This test is proved to be consistent, the asymptotic distribution is derived and shown to be...

Persistent link: https://www.econbiz.de/10009578557

An exponential model for dependent defaults

Giesecke, Kay - 2002

A thorough understanding of the joint default behavior of credit-risky securities is essential for credit risk measurement as well as the valuation of multi-name credit derivatives and Collateralized Debt Obligations. In this paper we study a simple and tractable intensity-based model for...

Persistent link: https://www.econbiz.de/10009625801

Comparison of model reduction methods for VAR processes

Brüggemann, Ralf; Krolzig, Hans-Martin; Lütkepohl, Helmut - 2002

The objective of this study is to compare alternative computerized model-selection strategies in the context of the vector autoregressive (VAR) modeling framework. The focus is on a comparison of subset modeling strategies with the general-to-specific reduction approach automated by PcGets....

Persistent link: https://www.econbiz.de/10009627281

Asymptotic properties of model selection procedures in linear regression

Droge, Bernd (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919491

Money and banks : some theory and empirical evidence for Germany

Holtemöller, Oliver - 2002

money is presented and compared to the money multiplier approach. The concept of a heterogeneous oligopoly is used to model … explained by its counterparts, especially loans. The monetary base is determined endogenously, too, and a money multiplier … are compared to the properties of the estimated VAR. It turns out that both the money multiplier approach and the …

Persistent link: https://www.econbiz.de/10009620766

Money and prices : an I(2) analysis for the euro area

Holtemöller, Oliver - 2002

The concept of integrated stochastic processes is widely used in empirical macroeconomics; and cointegration analysis is an important framework to analyze economic time series both in single equation and in system approaches. This framework is not only suited to study the relationships between...

Persistent link: https://www.econbiz.de/10009620770

Long-memory analysis

Teyssière, Gilles - 2000

Persistent link: https://www.econbiz.de/10009611554

Money growth volatility and the demand for money in Germany : Friedman's volatility hypothesis revisited

Brüggemann, Imke; Nautz, Dieter - 1997

Recently, the Bundesbank claimed that monetary targeting has become considerably more diffcult by the increased volatility of short-term money growth. The present paper investigates the impact of German money growth volatility on income velocity and money demand in view of Friedman's money...

Persistent link: https://www.econbiz.de/10009632601