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Spatial autoregressive fractionally integrated moving average model
Otto, Philipp; Sibbertsen, Philipp - 2023
-order) spatial autoregressive models. Moreover, an estimation procedure based on the maximum-likelihood principle is introduced and …
Persistent link: https://www.econbiz.de/10014471674
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Spatial autoregressive fractionally integrated moving average model
Otto, Philipp; Sibbertsen, Philipp - 2023
-order) spatial autoregressive models. Moreover, an estimation procedure based on the maximum-likelihood principle is introduced and …
Persistent link: https://www.econbiz.de/10014366870
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The similarities in efficiency of universities and universities of applied sciences in Lower Saxony
Stöver, Britta; Sibbertsen, Philipp - 2020
, the efficiency of higher education institutions is increasingly coming into focus. Since the 2000s, more and more studies … on the efficiency of German universities have been published. While the research focus and the applied methods differ … aim of this paper was to show differences and commonalities in efficiency between universities of applied sciences and …
Persistent link: https://www.econbiz.de/10012384154
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The similarities in efficiency of universities and universities of applied sciences in Lower Saxony
Stöver, Britta; Sibbertsen, Philipp - 2020
, the efficiency of higher education institutions is increasingly coming into focus. Since the 2000s, more and more studies … on the efficiency of German universities have been published. While the research focus and the applied methods differ … aim of this paper was to show differences and commonalities in efficiency between universities of applied sciences and …
Persistent link: https://www.econbiz.de/10012244101
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Estimating the number of mean shifts under long memory
Sibbertsen, Philipp; Willert, Juliane - 2012
Detecting the number of breaks in the mean can be challenging when it comes to the long memory framework. Tree-based procedures can be applied to time series when the location and number of mean shifts are unknown and estimate the breaks consistently though with possible overfitting. For pruning...
Persistent link: https://www.econbiz.de/10010294423
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A simple specification procedure for the transition function in persistent nonlinear time series models
Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp - 2012
A simple procedure for the specification of the transition function describing the regime switch in nonlinear autoregressive models is proposed. This procedure is based on auxiliary regressions of unit root tests and is applicable to a variety of transition functions. In contrast to other...
Persistent link: https://www.econbiz.de/10010294434
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On tests for linearity against STAR models with deterministic trends
Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp - 2012
Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this paper. As opposed to recently reported results in Zhang (2012), we show that linearity tests against STAR models lead to useful results in...
Persistent link: https://www.econbiz.de/10010294441
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Pricing of options under different volatility models
Herzberg, Markus; Sibbertsen, Philipp - 2004
In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...
Persistent link: https://www.econbiz.de/10010296646
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Distinguishing between long-range dependence and deterministic trends
Sibbertsen, Philipp; Venetis, Ioannis - 2003
We provide a method for distinguishing long-range dependence from deterministic trends such as structural breaks. The method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered counterpart. The difference of these estimators...
Persistent link: https://www.econbiz.de/10010306228
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Information criteria for nonlinear time series models
Rinke, Saskia; Sibbertsen, Philipp - 2015
In this paper the performance of different information criteria for simultaneous model class and lag order selection is evaluated using simulation studies. We focus on the ability of the criteria to distinguish linear and nonlinear models. In the simulation studies, we consider three different...
Persistent link: https://www.econbiz.de/10011324708