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The power of the KPSS-test for cointegration when residuals are fractionally integrated

Sibbertsen, Philipp (contributor); … - 2005

We show that the power of the KPSS-test against integration, as measured by divergence rates of the test statistic under the alternative, remains the same when residuals from an OLS-regression rather than true observations are used. The divergence rate is independent of the order of integration...

Persistent link: https://www.econbiz.de/10003005045

The power of the KPSStest for cointegration when residuals are fractionally integrated

Sibbertsen, Philipp (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002141944

Robust tests on fractional cointegration

Peters, Andrea; Sibbertsen, Philipp - 2001

Persistent link: https://www.econbiz.de/10001626873

Robust tests on fractional cointegration

Peters, Andrea; Sibbertsen, Philipp - 2001 - Version June 2001

Cointegration describes the pattern that pairs of time series keep together in long run, although they diverge in short … run. A generalisation of this behaviour is the fractional cointegration. Two statistical tests, the M– and ML–test are … formulated for fractional cointegration in different situations. It turns out that the robust M–test reaches almost the same …

Persistent link: https://www.econbiz.de/10009777479

Two competitive models and their identification problem : the ESTAR and TSTAR model

Heinen, Florian; Michael, Stefanie; Sibbertsen, Philipp - 2011

Determining good parameter estimates in ESTAR models is known to be diffcult. We show that the phenomena of getting strongly biased estimators is a consequence of the so-called identifcation problem, the problem of properly distinguishing the transition function in relation to extreme parameter...

Persistent link: https://www.econbiz.de/10009012696

Integration and disintegration of EMU government bond markets

Leschinski, Christian; Voges, Michelle; Sibbertsen, Philipp - 2018 - This version: January 12, 2018

This paper analyzes market integration among long term government bonds in the Eurozone since the inception of the Euro in 1999. While it is commonly assumed that markets for EMU government bonds were closely integrated prior to the EMU debt crisis, we find that there is significant time...

Persistent link: https://www.econbiz.de/10011813723

Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany

Wegener, Christoph; Basse, Tobias; Sibbertsen, Philipp; … - In: Application of operations research to financial markets, (pp. 407-426). 2019

Persistent link: https://www.econbiz.de/10012160047

Forecasting long memory time series under a break in persistence

Heinen, Florian; Sibbertsen, Philipp; Kruse, Robinson - 2009

Persistent link: https://www.econbiz.de/10003898521

Forecasting long memory time series under a break in persistence

Heinen, Florian; Sibbertsen, Philipp; Kruse, Robinson - 2009

We consider the problem of forecasting time series with long memory when the memory parameter is subject to a structural break. By means of a large-scale Monte Carlo study we show that ignoring such a change in persistence leads to substantially reduced forecasting precision. The strength of...

Persistent link: https://www.econbiz.de/10003899580

The dynamics of real exchange rates : a reconsideration

Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011

While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...

Persistent link: https://www.econbiz.de/10008908972