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On model based seasonal adjustment procedures
Breitung, Jörg - 1998
-Nelson type of decomposition for seasonal time series. The main strength of the SEATS approach lies in the appealing model …
Persistent link: https://www.econbiz.de/10009574877
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Modelling seasonality with fractionally integrated processes
Gil-Alaña, Luis A. - 2000
We propose in this article the use of a particular version of the tests of Robinson (1994) for testing seasonally fractionally integrated processes. The tests have standard null and local limit distributions and allow us to test unit and fractional seasonal roots even with different amplitudes...
Persistent link: https://www.econbiz.de/10009582382
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Deterministic seasonality versus seasonal fractional integration
Gil-Alaña, Luis A. - 2000
We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality versus seasonal fractional integration. A new test statistic is developed to simultaneously test both, the order of integration of the seasonal component and the need of seasonal...
Persistent link: https://www.econbiz.de/10009612017
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Self-rated and changes in self-rated health as predictors of mortality : first evidence from german panel data
Schwarze, Johannes; Andersen, Hanfried H.; Anger, Silke - 2002
may be sufficient to rely on self-assessments of health at one point of time instead of using panel data. -- Mortality …Background: Studies from several countries have shown that self-rated health is an independent predictor of mortality … individuals and (ii) changes in self-rated health, as predictors of mortality for Germany. Methods: A sub-sample of 3 …
Persistent link: https://www.econbiz.de/10009626677
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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
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Reappraising medfly longevity : a quantile regression survival analysis
Koenker, Roger; Geling, Olga - 1999
-specific mortality in a population of roughly 1.2 million Mediterranean fruit flies (Ceratitis Capitata). The quantile regression … mortality rates at advanced ages, and the gender cross-over effect in survival functions for medflies. …
Persistent link: https://www.econbiz.de/10009580464
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Animal spirits, technology shocks and the business cycle
Weder, Mark - 1997
In this paper a two-sector growth model allowing indeterminacy to occur at relatively mild degrees of increasing returns is developed. It is shown that these economies of scale need only be present in one sector of the economy (investment). This feature of the model, therefore, builds on...
Persistent link: https://www.econbiz.de/10009659067
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Structural vector autoregressive models and monetary policy analysis
Holtemöller, Oliver - 2002
possibility is to adopt restrictions from economic theory. The purpose of this paper is to investigate the implications of the …
Persistent link: https://www.econbiz.de/10009620773
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Low-probability insurance decisions : the role of concern
Schade, Christian D.; Kunreuther, Howard; Kaas, Klaus Peter - 2002
On the basis of a real high stakes insurance experiment with small probabilities of losses, we demonstrate that concern is a more important driver of WTP for insurance than subjective probability estimates when there is ambiguity surrounding the estimate. Concern is still important when...
Persistent link: https://www.econbiz.de/10009621421
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Lag selection in subset VAR models with an application to a US monetary system
Brüggemann, Ralf; Lütkepohl, Helmut - 2000
Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...
Persistent link: https://www.econbiz.de/10009583885