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Canonical correlation statistics for testing the cointegration rank in a reversed order
Breitung, Jörg - 1998
In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r …
Persistent link: https://www.econbiz.de/10009578561
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Estimating covariance matrices using estimating functions in nonparametric and semiparametric regression
Carroll, Raymond J.; Iturria, Stephen J.; Gutierrez, … - 1997
We use ideas from estimating function theory to derive new, simply computed consistent covariance matrix estimates in nonparametric regression and in a class of semiparametric problems. Unlike other estimates in the literature, ours do not require auxiliary or additional nonparametric...
Persistent link: https://www.econbiz.de/10009631747
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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 sensitive to misspecification and data errors. On the other hand, semiparametric and nonparametric methods, which are not restricted by parametric assumptions, require more data...
Persistent link: https://www.econbiz.de/10009618360
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Smoothed influence function : another view at robust nonparametric regression
Tamine, Julien - 2001
In this work, we introduce a smoothed influence function that constitute a theoretical tool for studying the outliers robustness properties of a large class of nonparametric estimators. With this tool, we first show the nonrobustness of the Nadaraya-Watson estimator of regression. Then we show...
Persistent link: https://www.econbiz.de/10009626684
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A nonparametric regression estimator that adapts to error distribution of unknown form
Linton, Oliver; Xiao, Zhijie - 2001
We propose a new estimator for nonparametric regression based on local likelihood estimation using an estimated error score function obtained from the residuals of a preliminary nonparametric regression. We show that our estimator is asymptotically equivalent to the infeasible local maximum...
Persistent link: https://www.econbiz.de/10009613602
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The determinants of health care expenditure : testing pooling restrictions in small samples
Herwartz, Helmut; Theilen, Bernd - 2000
Healthcare expenditure has increased substantially in all western industrialized countries in the last decades. The necessity to contain the increase in health care expenditure has motivated the Analysis of its determinants to explain differences across countries and health systems. However,...
Persistent link: https://www.econbiz.de/10009612045
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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 …, ignoring correlation, will become increasingly inferior. Asymptotic normality of estimators is established, and our results are … series ; Autoregressive ; Burg-type estimates ; Intercorrelated ; Panel data …
Persistent link: https://www.econbiz.de/10009578021
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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
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Unit and fractional roots in the presence of abrupt changes with an application to the Brazilian inflation rate
Gil-Alaña, Luis A. - 2001
We analyse in this article the monthly structure of the Brazilian inflation rate by means of fractionally integrated techniques. This series is characterized by strong government interventions to bring inflation to a low level. We use a testing procedure due to Robinson (1994) which allow us to...
Persistent link: https://www.econbiz.de/10009615430
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Unit root tests for time series with a structural break : when the break point is known
Lütkepohl, Helmut; Müller-Kademann, Christian; … - 1999
Unit root tests for time series with level shifts are considered. The level shift is assumed to occur at a known time point. In contrast to some other proposals the level shift is modeled as part of the intercept term of the stationary component of the data generation process which is separated...
Persistent link: https://www.econbiz.de/10009580481