Similar Search Results

A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns

Köksal, Bülent - 2009

We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...

Persistent link: https://www.econbiz.de/10013159436

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

Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007

sampling inherent in survey longitudinal data, (3) incorporation of predetermined variables in estimation, and (4 …This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic … chapter is motivated by the principle that, whenever possible, estimation methods should rely on routines available in …

Persistent link: https://www.econbiz.de/10014024953

Two-part models for fractional responses defined as ratios of integers

Oberhofer, Harald; Pfaffermayr, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 123-144

This paper discusses two alternative two-part models for fractional response variables that are defined as ratios of integers. The first two-part model assumes a Binomial distribution and known group size. It nests the one-part fractional response model proposed by Papke and Wooldridge (1996)...

Persistent link: https://www.econbiz.de/10010417183

Simulation Based Bayesian Econometric Inference : Principles and Some Recent Computational Advances

Hoogerheide, Lennart F. - 2007

In this paper we discuss several aspects of simulation based Bayesian econometric inference. We start at an elementary … level on basic concepts of Bayesian analysis; evaluating integrals by simulation methods is a crucial ingredient in Bayesian … inference. Next, the most popular and well-known simulation techniques are discussed, the Metropolis-Hastings algorithm and …

Persistent link: https://www.econbiz.de/10012729891

Testing for Partial Exogeneity with Weak Identification

Doko Tchatoka, Firmin - 2012

We consider the following problem. A structural equation of interest contains two sets of explanatory variables which economic theory predicts may be endogenous. The researcher is interesting in testing the exogeneity of only one of them. Standard exogeneity tests are in general unreliable from...

Persistent link: https://www.econbiz.de/10013104919

Robust Model Selection in Dynamic Models with an Application to Comparing Predictive Accuracy

Kiefer, Nicholas M.; Choi, Hwan-sik - 2006

-b asymptotics developed in Kiefer and Vogelsang (2005) to improve the asymptotic approximation to the sampling distribution of the …

Persistent link: https://www.econbiz.de/10014054565

Two-step LM unit root tests with trend-breaks

Lee, Junsoo; Strazicich, Mark; Meng, Ming - In: Journal of statistical and econometric methods 1 (2012) 2, pp. 81-107

In this paper, we consider and examine the performance of two-step LM unit root tests with trend-breaks. In the first step, we jointly test for the existence and location of breaks using a maximum F-test. In the second step, we utilize the identified breaks and test for a unit root. A...

Persistent link: https://www.econbiz.de/10009769986

Deterministic seasonality versus seasonal fractional integration

Gil-Alaña, Luis A. - 2000

We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality versus seasonal fractional integration. A new test statistic is developed to simultaneously test both, the order of integration of the seasonal component and the need of seasonal...

Persistent link: https://www.econbiz.de/10009612017

Testing for Exogeneity in Nonlinear Threshold Models

Kapetanios, George - 2004

Most work in the area of nonlinear econometric modelling is based on a single equation and assumes exogeneity of the explanatory variables. Recently, work by Caner and Hansen (2003) and Psaradakis, Sola, and Spagnolo (2004) has considered the possibility of estimating nonlinear models by methods...

Persistent link: https://www.econbiz.de/10014070523