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Bayesian unit root inference in the Hamilton model
Hoek, Henk; Paap, Richard - 1994
Persistent link: https://www.econbiz.de/10000560205
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Classical and Bayesian aspects of robust unit root inference
Hoek, Henk; Lucas, André; Dijk, Herman K. van - 1993
Persistent link: https://www.econbiz.de/10000151638
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On uniformization for continuous-time Markov chains
Dijk, Nicolaas M. van - 1994
Persistent link: https://www.econbiz.de/10000151649
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Nonstationarity in GARCH models : a Bayesian analysis
Kleibergen, Frank; Dijk, Herman K. van - 1993
Persistent link: https://www.econbiz.de/10000122477
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Testing for integration using evolving trend and seasonals models : a Bayesian approach
Koop, Gary; Dijk, Herman K. van - 1999
In this paper, we make use of state space models toinvestigate the presence of stochastic trends in economic time series. Amodel is specified where such a trend can enter either in the autoregressiverepresentation or in a separate state equation. Tests based on the formerare analogous to...
Persistent link: https://www.econbiz.de/10011302135
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Comprehensive definitions of breakdown-points for independent and dependent observations
Genton, Marc G.; Lucas, André - 2000
-series, spatial statistics) where currenty breakdown definitions typically fail. We illustrate our points using examples from linear … and non-linear regression as well as time-series and spatial statistics. …
Persistent link: https://www.econbiz.de/10011303297
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The Bayesian score statistic
Kleibergen, Frank; Kleijn, Richard; Paap, Richard - 2000
estimators and Bayesianposteriordistributions based on Jeffreys' priors, towards score statistics. Weillustrate the BSS as a …
Persistent link: https://www.econbiz.de/10011303302
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Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Gatarek, Lukasz; Hoogerheide, Lennart F.; Dijk, Herman … - 2014
In this paper we consider two cases of pairs trading strategies: a conditional statistical arbitrage method and an implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a cointegration model, of pairs of stock prices. We show...
Persistent link: https://www.econbiz.de/10010259626
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Testing for integration using evolving trend and seasonals models : a Bayesian approach
Koop, Gary; Dijk, Herman K. van; Hoek, Henk - 1997
In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the autoregressive representation or in a separate state equation. Tests based on the former are analogous to...
Persistent link: https://www.econbiz.de/10010338455
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The Bayesian score statistic
Kleibergen, Frank; Kleijn, Richard; Paap, Richard - 2000
Persistent link: https://www.econbiz.de/10001471436