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Modeling panels of intercorrelated autoregressive time series

Hjellvik, Vidar; Tjostheim, Dag - 1998

We propose a method of modeling panel time series data with both inter- and intra-individual correlation, and of … series ; Autoregressive ; Burg-type estimates ; Intercorrelated ; Panel data …

Persistent link: https://www.econbiz.de/10009578021

A parametric approach to the estimation of cointegration vectors in panel data

Breitung, Jörg - 2002

In this paper a parametric framework for stimation and inference in cointegrated panel data models is considered that …

Persistent link: https://www.econbiz.de/10009620776

Testing the purchasing power parity in pooled systems of error correction models

Herwartz, Helmut; Reimers, Hans-Eggert - 2000

not invariant with respect to the investigated sample period. -- Purchasing power parity ; Panel cointegration ; Wild …

Persistent link: https://www.econbiz.de/10009612044

Nonparametric estimation and testing of interaction in additive models

Sperlich, Stefan; Tjostheim, Dag; Yang, Lijian - 1998

Estimation …

Persistent link: https://www.econbiz.de/10009574875

The Beveridge-Nelson decomposition : a different perspective with new results

Gómez, Víctor; Breitung, Jörg - 1998

We show in the paper that the decomposition proposed by Beveridge and Nelson (1981) for models that are integrated of order one can be generalized to seasonal Arima models by means of a partial fraction decomposition. Two equivalent algorithms are proposed to optimally (in the mean squared...

Persistent link: https://www.econbiz.de/10009577456

Volatility estimates of the short term interest rate with an application to German data

Dankenbring, Henning - 1998

This paper proposes a procedure for testing alternative specifications of the short term interest rate's dynamics which takes into account that according to some restrictions the interest rate is nonstationary, i.e. the traditional test statistic has a non-standard distribution. Moreover, we do...

Persistent link: https://www.econbiz.de/10009578570

Testing the diffusion coefficient

Kleinow, Torsten - 2002

In mathematical finance diffusion models are widely used and a variety of different parametric models for the drift and diffusion coefficient coexist in the literature. Since derivative prices depend on the particular parametric model of the diffusion coefficient function of the underlying, a...

Persistent link: https://www.econbiz.de/10009622677

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

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

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … 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 …

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

Comparison of bootstrap confidence intervals for impulse responses of German monetary systems

Benkwitz, Alexander; Lütkepohl, Helmut; Wolters, Jürgen - 1999

It is argued that standard impulse response analysis based on vector autoregressive models has a number of shortcomings. Although the impulse responses are estimated quantities, measures for sampling variability such as confidence intervals are often not provided. If confidence intervals are...

Persistent link: https://www.econbiz.de/10009580485

Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity

Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; … - 1999

The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model … models ; semiparametric estimation ; modified R/S ; KPSS and V/S statistics ; periodogram …

Persistent link: https://www.econbiz.de/10009581091

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