Narrow search
Showing 1 - 10 of 121
Cover Image
The dynamics of real exchange rates – A reconsideration
Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2011
this problem by offering a bootstrap based testing procedureto discriminate between these two rival models. We further …
Persistent link: https://www.econbiz.de/10009302598
Cover Image
The dynamics of real exchange rates: A reconsideration
Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011
approach this problem by offering a bootstrap based testing procedure to discriminate between these two rival models. We …
Persistent link: https://www.econbiz.de/10010289015
Cover Image
The dynamics of real exchange rates - A reconsideration
Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2011
approach this problem by offering a bootstrap based testing procedure to discriminate between these two rival models. We …
Persistent link: https://www.econbiz.de/10008800034
Cover Image
The dynamics of real exchange rates : a reconsideration
Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011
approach this problem by offering a bootstrap based testing procedure to discriminate between these two rival models. We …
Persistent link: https://www.econbiz.de/10008908972
Cover Image
Estimation and testing in a perturbed multivariate long memory framework
Less, Vivien; Sibbertsen, Philipp - 2022
We propose a semiparametric multivariate estimator and a multivariate score-type testing procedure under a perturbed multivariate fractional process. The estimator is based on the periodogram and uses a local Whittle criterion function which is generalised by an additional constant to capture...
Persistent link: https://www.econbiz.de/10014471672
Cover Image
Estimation and testing in a perturbed multivariate long memory framework
Less, Vivien; Sibbertsen, Philipp - 2022
We propose a semiparametric multivariate estimator and a multivariate score-type testing procedure under a perturbed multivariate fractional process. The estimator is based on the periodogram and uses a local Whittle criterion function which is generalised by an additional constant to capture...
Persistent link: https://www.econbiz.de/10014247836
Cover Image
A unified framework for testing in the linear regression model under unknown order of fractional integration
Christensen, Bent Jesper; Kruse, Robinson; Sibbertsen, … - 2013
We consider hypothesis testing in a general linear time series regression framework when the possibly fractional order …
Persistent link: https://www.econbiz.de/10010239725
Cover Image
Distinguishing between long-range dependence and deterministic trends
Sibbertsen, Philipp; Venetis, Ioannis - 2003
method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered …
Persistent link: https://www.econbiz.de/10010509839
Cover Image
S-estimation in the nonlinear regression model with long-memory error terms
Sibbertsen, Philipp - 1999
In this paper we consider the asymptotic distribution of S -estimators in the nonlinear regression model with long ….i.d case. They are constructed for linear regression. In the nonlinear regression model with long-memory errors it turns out …
Persistent link: https://www.econbiz.de/10009792344
Cover Image
S-estimators in the linear regression model with long-memory error terms
Sibbertsen, Philipp - 1998
We investigate the behaviour of S - estimators in the linear regression model, when the error terms are long …
Persistent link: https://www.econbiz.de/10010467725