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On the empirical characteristic function process of the residuals in GARCH models and applications
Gamero, M. Jiménez - In: TEST: An Official Journal of the Spanish Society of … 23 (2014) 2, pp. 409-432
residuals. Specifically, it is shown that such process uniformly converges to the population characteristic function (CF) of the … to calculate the residuals. Applications of the obtained results for testing symmetry and goodness-of-fit to the law of …
Persistent link: https://www.econbiz.de/10010994239
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Primary and secondary markets
Kakarot-Handtke, Egmont - Volkswirtschaftliche Fakultät, … - 2011
the emergence of secondary markets from the flow part of the economy. Real and nominal residuals at first give rise to the …
Persistent link: https://www.econbiz.de/10009277271
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Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach
Lambert, Philippe; Laurent, Sébastien - European Centre for Advanced Research in Economics and … - 2008
We propose three residual-based tests for conditional dynamic asymmetry. Estimation is performed under the null hypothesis of constant asymmetry of the innovations and, in a second step, the tests are performed either through a parametric model or a nonparametric method (runs). The working...
Persistent link: https://www.econbiz.de/10005827113
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The Environmental Impacts of Trade Liberalization: A Quantitative Analysis for the United States Using TEAM
Creason, Jared R.; Fisher, Michael; Semenova, Svetlana; … - In: Agricultural and Resource Economics Review 34 (2005) 1
A highly disaggregated emissions factor model is presented. The model generates changes in emissions and resource use by state and 6-digit NAICS sector. Removal of all U.S. import restrictions is examined. Results for agriculture show that composition effects explain highly varied regional...
Persistent link: https://www.econbiz.de/10005801431
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Global property of error density estimation in nonlinear autoregressive time series models
Cheng, Fuxia - In: Statistical Inference for Stochastic Processes 13 (2010) 1, pp. 43-53
Persistent link: https://www.econbiz.de/10008533935
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On the use of nonparametric regression for model checking
Azzalini, A.; Bowman, A.W.; Haerdle, W. - University of Bonn, Germany - 1988
Persistent link: https://www.econbiz.de/10005028222
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On beta regression residuals
Espinheira, Patricia; Ferrari, Silvia; Cribari-Neto, … - In: Journal of Applied Statistics 35 (2008) 4, pp. 407-419
We propose two new residuals for the class of beta regression models, and numerically evaluate their behaviour relative … to the residuals proposed by Ferrari and Cribari-Neto. Monte Carlo simulation results and empirical applications using … real and simulated data are provided. The results favour one of the residuals we propose. …
Persistent link: https://www.econbiz.de/10005458378
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Residualanalysis in the polytomous rasch model
Andersen, Erling - In: Psychometrika 60 (1995) 3, pp. 375-393
Persistent link: https://www.econbiz.de/10005603717
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Estimating the Density of the Residuals in Autoregressive Models
Liebscher, Eckhard - In: Statistical Inference for Stochastic Processes 2 (1999) 2, pp. 105-117
Persistent link: https://www.econbiz.de/10005616013
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Beta Regression for Modelling Rates and Proportions
Ferrari, Silvia; Cribari-Neto, Francisco - In: Journal of Applied Statistics 31 (2004) 7, pp. 799-815
This paper proposes a regression model where the response is beta distributed using a parameterization of the beta law … interest is continuous and restricted to the interval (0, 1) and is related to other variables through a regression structure …. The regression parameters of the beta regression model are interpretable in terms of the mean of the response and, when …
Persistent link: https://www.econbiz.de/10005639715