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Bierens' and Johansen's Method - Complements or Substitutes?

Wagner, Martin - Department of Economics and Finance Research and … - 1999

The paper compares the cointegration methods of Johansen and Bierens by means of simulations and a real world example. Drawing on the fact developed in a companion paper that the Johansen procedure has robustness properties against ARMA systems and the Bierens procedure is designed for ARMA...

Persistent link: https://www.econbiz.de/10005704183

VAR Cointegration in VARMA Models

Wagner, Martin - Department of Economics and Finance Research and … - 1999

derive their implications for the structure theory of cointegration. Specifically we show that the cointegrating space is … examined through a small simulation study. …

Persistent link: https://www.econbiz.de/10005764151

Testing for Stochastic Dominance Efficiency

Scaillet, Olivier; Topaloglou, Nikolas - Swiss Finance Institute - 2005

possible portfolios constructed from a set of assets. We propose and justify approaches based on simulation and the block …

Persistent link: https://www.econbiz.de/10005771790

Trends in the French commercial farm population

Fall, Madior; Piet, Laurent; Roger, Muriel - Laboratoire Études et Recherches Économiques … - 2010

.Knowledge and projection of farm numbers and the structure of their population is an important issue for agricultural economists and policy makers. Although Markov chain models have enjoyed decades of popularity in forecasting total farm numbers, they generally fail to provide a detailed...

Persistent link: https://www.econbiz.de/10008542929

Understanding the Fine Structure of Electricity Prices.

Geman, Hélyette; Roncoroni, Andréa - Université Paris-Dauphine - 2006

This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in...

Persistent link: https://www.econbiz.de/10008532430

A Comparison of Johansen's, Bierens and the Subspace Algorithm Method for Cointegration Analysis

Wagner, Martin - Department Volkswirtschaftlehre, Universität Bern - 2002

The methods listed in the title are compared by means of a simulation study and a real world application. The aspects …

Persistent link: https://www.econbiz.de/10005515705

Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - Tinbergen Institute - 1999

assumptions on the underlying statistical distributions, a variety of analytical methods and simulation-based methods are … distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation … simulation context.<BR> This paper tries to fill this gap by investigating these VaR concepts in a general distribution …

Persistent link: https://www.econbiz.de/10005144576

Econometric Methods for Endogenously Sampled Time Series: The Case of Commodity Price Speculation in the Steel Market

Society for Computational Economics - SCE - 2001

This paper studies the econometric problems associated with estimation of a stochastic process that is endogenously sampled. Our interest is to infer the law of motion of a discrete-time stochastic process p_t that is observed only at a subset of times t_1, ...,t_n that depend on the outcome of...

Persistent link: https://www.econbiz.de/10005345625

Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood

Kristensen, Dennis; Shin, Yongseok - School of Economics and Management, University of Aarhus - 2008

We propose a simulated maximum likelihood estimator for dynamic models based on non-parametric kernel methods. Our method is designed for models without latent dynamics from which one can simulate observations but cannot obtain a closed-form representation of the likelihood function. Using the...

Persistent link: https://www.econbiz.de/10005114113

On the Damodaran Estimator of Price Adjustment Coefficients

Säfvenblad, Patrik - Economics Institute for Research (SIR), … - 1997

This paper investigates the properties of the Damodaran (Journal of Finance, 1993) estimator of price adjustment. It is concluded that strong bias and low precision of the Damodaran estimator renders it useless for empirical work, even when the available sample size is very large. As an...

Persistent link: https://www.econbiz.de/10005190824