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Persistent link: https://www.econbiz.de/10009449118
heteroscedasticity and autocorrelation in asset returns are the primary sources of test mis-specification in these linearity …-in-the-mean hypothesis tests. To address this problem, an innovative approach is proposed to control heteroscedasticity and autocorrelation … the theme of the previous two studies, the effects of heteroscedasticity and autocorrelation are examined in the portfolio …
Persistent link: https://www.econbiz.de/10009437793
We fit the Florida Model with an AR(1) error structure to pooled cross-country International Comparison Project (ICP) data of Seale, Walker, and Kim and estimate the model with the minimum information (MI) estimator. Point estimates obtained by MI are similar in value to those obtained by Seale,...
Persistent link: https://www.econbiz.de/10009446284
Spatial dependence in individual-tree diameter, and growth model residuals was characterised for an even-aged Eucalyptus pilularis (Smith) experiment in New South Wales,. Australia. The magnitude of spatial dependence changed as the dominance of competitive mechanisms and micro-site influences...
Persistent link: https://www.econbiz.de/10009448357
The Durbin Watson, DW, test for first order autocorrelation in regression residuals is among the most widely applied … errors in a seasonal model. Considering the PAR(1) process, we show such errors display both (seasonal) autocorrelation and …
Persistent link: https://www.econbiz.de/10009455186
generalized residual-based tests. The tests exhibit impressive power to detect both autocorrelation and autoregressive conditional …?British pound exchange rate, with the finding that both autocorrelation and GARCH effects are needed to adequately fit the data. …
Persistent link: https://www.econbiz.de/10009483284
drilling rigs, and accounting for the impact of autocorrelation on the analysis. The results for jack-ups, without adjustment … for autocorrelation, supported the results of the prior study i.e. showing that increase in HHI causes rig day rate price …
Persistent link: https://www.econbiz.de/10009429317
In dieser Arbeit setzen wir uns mit den Auswirkungen von Risikobeschränkungen auf das optimale Verhalten eines Investors auseinander, welcher versucht, den erwarteten Endnutzen zu einem festgelegten Zeitpunkt zu maximieren. Dazu kann er ein vorgegebenes Anfangsvermögen in einem Markt...
Persistent link: https://www.econbiz.de/10009462193
"The common-property literature has often focused on the question of efficiency. Here we consider distributional issues instead. How should the benefits of the commons (say, a fishery) be distributed? We approach the question from the viewpoint of ownership rather than income redistribution. "A...
Persistent link: https://www.econbiz.de/10009468330
"Institutional approaches to social dilemmas have so far focused on how to create incentive structures that channel individuals' behavior into socially desirable outcomes assuming that everyone is selfish. However, the presumption of universal selfishness is not only empirically invalid but may...
Persistent link: https://www.econbiz.de/10009468335