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Testing for seasonal unit roots in monthly panels of time series

Franses, Philip Hans; Kunst, Kunst, R.M. - Faculteit der Economische Wetenschappen, Erasmus … - 2009

We consider the problem of testing for seasonal unit roots in monthly panel data. To this aim, we generalize the … quarterly CHEGY test to the monthly case. This parametric test is contrasted with a new nonparametric test, which is the panel …

Persistent link: https://www.econbiz.de/10010837807

Chapter 18 Forecasting in Marketing

Franses, Philip Hans - 2006

With the advent of advanced data collection techniques, there is an increased interest in using econometric models to support decisions in marketing. Due to the sometimes specific nature of variables in marketing, the discipline uses econometric models that are rarely, if ever, used elsewhere....

Persistent link: https://www.econbiz.de/10014023688

Interlocking Boards and Firm Performance: Evidence from a New Panel Database

Non, Mariëlle C.; Franses, Philip Hans - Tinbergen Instituut - 2007

the effect of interlocks on firm performance for 101 large Dutch firms using a large and new panel database. We use five … different performance measures, and for each performance measure we design three different panel data models, where we allow the …

Persistent link: https://www.econbiz.de/10011255468

Forecasting aggregates using panels of nonlinear time series

van Dijk, Dick; Franses, Philip Hans; Fok, Fok, D. - Faculteit der Economische Wetenschappen, Erasmus … - 2004

considering panel models for the disaggregate series. As many macroeconomic variables have nonlinear properties, we specifically …

Persistent link: https://www.econbiz.de/10010731641

Modeling regional house prices

Franses, Philip Hans; Paap, Richard; van Dijk, Dick; … - Faculteit der Economische Wetenschappen, Erasmus … - 2007

We develop a parsimonious panel model for quarterly regional house prices, for which both the cross-section and the …

Persistent link: https://www.econbiz.de/10010731783

A multi-level panel smooth transition autoregression for US sectoral production

van Dijk, Dick; Franses, Philip Hans; Fok, Fok, D. - Faculteit der Economische Wetenschappen, Erasmus … - 2003

We introduce a multi-level smooth transition model for a panel of time series variables, which can be used to examine … of the panel members. To keep the model tractable, we introduce a second-stage model, which links the parameters in the …

Persistent link: https://www.econbiz.de/10010731909