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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

Adaptive estimation for a time inhomogeneous stochastic-volatility model

Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000

problem of online estimation of current values of w = w(T) and a = a(T) from the observations SI , ... ,ST. We propose an … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …

Persistent link: https://www.econbiz.de/10009582392

Bootstrapping impulse responses in VAR analyses

Lütkepohl, Helmut - 2000

Because the parameters of vector autoregressive processes are often difficult to interpret directly, econometricians use quantities derived from the parameters to disentangle the relationships between the variables. Bootstrap methods are often used for inference on the derived quantities....

Persistent link: https://www.econbiz.de/10009583428

Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods

Lillestøl, Jostein - 2000 - Rev.

alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of …

Persistent link: https://www.econbiz.de/10009612011

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