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Analyse kointegrierter Modelle

Kurz-Kim, Jeong-Ryeol - 1994

Persistent link: https://www.econbiz.de/10013381525

Nonlinear cointegration analysis of German unemployment

Hansen, Gerd - 1996

Persistent link: https://www.econbiz.de/10000937601

The reliability of the Johansen-procedure : some Monte-Carlo-results

Hansen, Gerd - 1996

Persistent link: https://www.econbiz.de/10000937607

Statistical inference in time series with unit root in the presence of infinite-variance disturbances

Mittnik, Stefan - 1997

Persistent link: https://www.econbiz.de/10001410603

On the properties of the coefficient of determination in regression models with infinite variance variables

Kurz-Kim, Jeong-Ryeol; Loretan, Mico - In: Journal of econometrics 181 (2014) 1, pp. 15-24

Persistent link: https://www.econbiz.de/10010473444

Exact tests and confidence sets for the tail coefficient of α-stable distributions

Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - 2003

In this paper, using the Monte Carlo (MC) method we propose an estimation and (at the same time) a test procedure for the stability parameter of α-stable distributions. One powerful advantage of the MC method is that it provides an exact significance level for finite samples, whose distribution...