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Cointegrating smooth transition regressions with applications to the Asian currency crisis
Saikkonen, Pentti; Choi, In - 2000
This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...
Persistent link: https://www.econbiz.de/10009612025
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Confidence intervals for state price densities
Hlávka, Zdeněk (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001916784
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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
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The response of long-term interest rates to news about monetary policy actions : empirical evidence for the US and Germany
Nautz, Dieter; Wolters, Jürgen - 1998
We reexamine the expectations theory of the term structure focusing on the question how monetary policy actions indicated by changes in the very short rate affect long-term interest rates. Our main point is that the expectations hypothesis implies that very long rates should only react to...
Persistent link: https://www.econbiz.de/10009578577
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The transmission of German monetary policy in the pre-Euro period
Lütkepohl, Helmut; Wolters, Jürgen - 2001
A small macroeconomic model is constructed to study the transmission of the monetary policy conducted by the Deutsche Bundesbank (DBB) since the middle of the 1970s. For this purpose quarterly, seasonally unadjusted data for the period from 1975 to 1998 are used, that is, the period until the...
Persistent link: https://www.econbiz.de/10009616780
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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
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Robust estimation in nonlinear regression and limited dependent variable models
Čížek, Pavel - 2001
Classical parametric estimation methods applied to nonlinear regression and limited-dependent-variable models are very … restricted by parametric assumptions, require more data and are less efficient. A third possible estimation approach is based on … ; limited-dependent-variable models ; nonlinear regression ; robust estimation …
Persistent link: https://www.econbiz.de/10009618360
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On the minimax regret estimation of a restricted normal mean, and implications
Droge, Bernd - 2002
estimators are based on thresholding techniques which have become very popular in the context of wavelet estimation. Under …) problems. Then it is well known that orthogonal transformations can be employed to turn statements about estimation over … coefficient bodies in sequence space into statements about estimation over classes of smooth functions in noisy data. The …
Persistent link: https://www.econbiz.de/10009627280
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Nonparametric estimation in a nonlinear cointegration type model
Karlsen, Hans Arnfinn; Myklebust, Terje; Tjostheim, Dag - 2000
We derive an asymptotic theory of nonparametric estimation for an nonlinear transfer function model Z(t) = f (Xt) + Wt …
Persistent link: https://www.econbiz.de/10009583888
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Robust estimation in nonlinear regression models
Čížek, Pavel - 2001 - Rev.
Persistent link: https://www.econbiz.de/10009613610