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Partielle und simultane Prüfung auf Autokorrelation und Heteroskedastizität der Störvariablen im linearen Regressionsmodell
Bährens, Henning - 1992
Persistent link: https://www.econbiz.de/10004230522
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Schätzung bei Heteroskedastizität
Wiegert, Rolf - 1980
Persistent link: https://www.econbiz.de/10009609032
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Portfolio selection and hedge funds : linearity, heteroscedasticity, autocorrelation and tail-risk
Bianchi, Robert John - 2007
heteroscedasticity and autocorrelation in asset returns are the primary sources of test mis-specification in these linearity …-in-the-mean hypothesis tests. To address this problem, an innovative approach is proposed to control heteroscedasticity and autocorrelation … the theme of the previous two studies, the effects of heteroscedasticity and autocorrelation are examined in the portfolio …
Persistent link: https://www.econbiz.de/10009437793
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Kenya; Selected Issues and Statistical Appendix
International Monetary Fund (IMF); International … - 2009
Like most Sub-Saharan African countries, Kenya’s economic growth appears to have been primarily driven by factor accumulation. The Selected Issues paper and Statistical Appendix for Kenya examines economic developments and policies. During the last two decades, Kenya has been plagued by...
Persistent link: https://www.econbiz.de/10011244155
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International Currencies and Endogenous Enforcement; An Empirical Analysis
Prem, Roohi - International Monetary Fund (IMF) - 1997
This paper investigates the determinants of the international role of a currency. It argues that standard determinants such as monetary performance and financial openness are at best imperfect indicators of a currency’s stability prospects, because the issuer’s promise of stability is not...
Persistent link: https://www.econbiz.de/10005248276
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Market Volatility As a Financial Soundness Indicator; An Application to Israel
Morales, Armando Méndez; Schumacher, Liliana - International Monetary Fund (IMF) - 2003
Financial decisions of economic agents are based on volatility considerations. However, no aggregate indicators have been used by policymakers and regulators to assess the market risk environment. This paper applies a market volatility indicator to analyze the Israeli's transition toward...
Persistent link: https://www.econbiz.de/10005264007
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A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix
Newey, Whitney; West, Kenneth D. - In: Applied Econometrics 33 (2014) 1, pp. 125-132
This paper describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance …
Persistent link: https://www.econbiz.de/10010841037
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The impact of the economic cycle on fatal injuries. The case of UK 1971–2007
Mouza, Anna-Maria; Targoutzidis, Antonis - In: Quality & Quantity: International Journal of Methodology 46 (2012) 6, pp. 1917-1929
The aim of this paper is to investigate the effect of the economic cycle on workplace accidents. In particular, the effect of the usual factors of the economic cycle (GDP per capita, Unemployment) is examined along with the effect of working hours (to account for flexible employment) on fatal...
Persistent link: https://www.econbiz.de/10010843898
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An Unbiased Appraisal of Purchasing Power Parity
McDermott, C. John; Cashin, Paul - International Monetary Fund (IMF) - 2001
Univariate studies of the hypothesis of unit roots in real exchange rates have yielded consensus point estimates of the half-life of deviations from purchasing power parity of between three to five years. However, least squares-based estimates of half-lives are biased downward. Accordingly, we...
Persistent link: https://www.econbiz.de/10005825679