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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

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

Statistics and common sense

Hanaki, Nobuyuki; Magnus, Jan R.; Yoo, Donghoon - 2021

Common sense is a dynamic concept and it is natural that our (statistical) common sense lags behind the development of statistical science. What is not so easy to understand is why common sense lags behind as much as it does. We conduct a survey among Japanese students and try to understand why...

Persistent link: https://www.econbiz.de/10012795343

Bayesian unit root inference in the Hamilton model

Hoek, Henk; Paap, Richard - 1994

Persistent link: https://www.econbiz.de/10000560205

Nonstationarity in GARCH models : a Bayesian analysis

Kleibergen, Frank; Dijk, Herman K. van - 1993

Persistent link: https://www.econbiz.de/10000122477

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

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

A hybrid joint moment ratio test for financial times series

Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998

Persistent link: https://www.econbiz.de/10000994244

Testing for integration using evolving trend and seasonals models : a Bayesian approach

Koop, Gary; Dijk, Herman K. van; Hoek, Henk - 1997

Persistent link: https://www.econbiz.de/10000966951

Statistical early warning models with applications

Harlaar, Lucas P.; Commandeur, Jacques Jean François; … - 2024

of final and official statistics. We propose the use of a multivariate structural time series model which includes common … trends and seasonal components to combine official statistics series with related auxiliary series. In this way, more precise … and more timely nowcasts and forecasts of the official statistics can be obtained by exploiting the higher frequency and …

Persistent link: https://www.econbiz.de/10015062979