Showing 1 - 10 of 16,965
The binary-choice regression models such as probit and logit are used to describe the effect of explanatory variables on a binary response vari- able. Typically estimated by the maximum likelihood method, estimates are very sensitive to deviations from a model, such as heteroscedastic- ity and...
Persistent link: https://www.econbiz.de/10011092154
In the current paper, the finite-sample stability of various implementations of the KPSS test is studied. The implementations considered differ in how the so-called long-run variance is estimated under the null hypothesis. More specifically, the effects that the choice of kernel, the value of...
Persistent link: https://www.econbiz.de/10005645097
Brief summaries and user instruction are presented for the programs TRAMO ("Time Series regression with ARIMA Noise, Missing Observations and Outlers") and SEATS ("Signal Extraction in ARIMA Time Series").
Persistent link: https://www.econbiz.de/10005590679
Brief summeries and user instruction are presented for the programs TRAMO ("Time Series regression with ARIMA Noise, Missing Observations and Outlers") and SEATS ("Signal Extraction in ARIMA Time Series").
Persistent link: https://www.econbiz.de/10005618389
In this paper we consider bayesian semiparametric regression within the generalized linear model framework. Specifically, we study a class of autoregressive time series where the time trend is incorporated in a nonparametrically way. Estimation and inference where performed through Markov Chain...
Persistent link: https://www.econbiz.de/10005407984
Persistent link: https://www.econbiz.de/10005641129
This study analyzes the size and power of tests of the null of stationarity against the unit root alternative. Existing evidence is limited to processes with roots between 0 and 0.7. In sharp contrast, virtually all applications of economic interest involve null hypotheses much closer to 1. We...
Persistent link: https://www.econbiz.de/10005646593
Este es material de curso para un curso introductorio a la Probabilidad y la Estadistica en Ingenieria y Administracion. Es parte de algunas notas de clases de mis cursos en Español sobre esos temas. Cuando se toman decisiones y existen eventos futuros y desconocidos la unica razon por la cual...
Persistent link: https://www.econbiz.de/10010763063
This paper explores sample size requirements for the estimation of SUR models by (two-stage) feasible generalized least squares, maximum likelihood and Bayesian methods. It is found that the sample size requirements presented in standard treatments of SUR models are incomplete and potentially...
Persistent link: https://www.econbiz.de/10005750782
This is a course material for an introductory course in Probability and Statistics for Engineering and Management. It is part of some course notes for my courses in Spanish on that subject. The draft of the book is Apuntes de Probabilidad y Estadiacute;stica para Ingenieriacute;a y...
Persistent link: https://www.econbiz.de/10012713329