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On sequential parameter estimation for some linear stochastic differential equations with time delay

Küchler, Uwe; Vasiliev, Vjatscheslav A. - 1998

Persistent link: https://www.econbiz.de/10009578573

Estimation in an additive model when the components are linked parametrically

Carroll, Raymond J.; Härdle, Wolfgang; Mammen, Enno - 1999

Motivated by a nonparametric GARCH model we consider nonparametric additive regression and autoregression models in the special case that the additive components are linked parametrically. We show that the parameter can be estimated with parametric rate and give the normal limit. Our procedure...

Persistent link: https://www.econbiz.de/10009579184

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

Quantile regression

Čížek, Pavel - 1999

Persistent link: https://www.econbiz.de/10009581094

The three dimensions of multimedia teaching of statistics

Derby, Nathaniel; Härdle, Wolfgang; Rönz, Bernd - 1999

Statistics is often difficult for students, since it requires coordination of quantitative and graphical insights with mathematical ability. Furthermore, ever-increasing special knowledge of statistics is demanded, since data of increasing complexity and size need to be understood and analyzed....

Persistent link: https://www.econbiz.de/10009581096

Testing for a unit root in a time series with a level shift at unknown time

Saikkonen, Pentti; Lütkepohl, Helmut - 1999

Unit root tests for time series with level shifts of general form are considered when the timing of the shift is unknown. It is proposed to estimate the nuisance parameters of the data generation process including the shift date in a first step and apply standard unit root tests to the...

Persistent link: https://www.econbiz.de/10009581100

Forecasting cointegrated VARMA processes

Lütkepohl, Helmut - 1999

Persistent link: https://www.econbiz.de/10009581104

Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization

Jaschke, Stefan R.; Küchler, Uwe - 1999

This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … theory presented seems to fill a gap between arbitrage valuation on the one hand and single agent utility maximization or … full-fledged equilibrium theory on the other hand. "Coherent" valuation bounds strike a balance in that the bounds can be …

Persistent link: https://www.econbiz.de/10009581108

Order selection in testing for the cointegrating rank of a VAR process

Lütkepohl, Helmut; Saikkonen, Pentti - 1997

The impact of the choice of the lag length on tests for the number of cointegration relations in a vector autoregressive (VAR) process is investigated. It is shown that the asymptotic distribution of likelihood ratio (LR) tests for the cointegrating rank remains unchanged if the true data...

Persistent link: https://www.econbiz.de/10009660377

Semiparametric regression analysis under imputation for missing response data

Wang, Qihua; Härdle, Wolfgang; Linton, Oliver - 2002

We develop inference tools in a semiparametric regression model with missing response data. A semiparametric regression imputation estimator and an empirical likelihood based one for the mean of the response variable are defined. Both the estimators are proved to be asymptotically normal, with...

Persistent link: https://www.econbiz.de/10009620774