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Comparing penalized splines and fractional polynomials for flexible modelling of the effects of continuous predictor variables
Strasak, Alexander; Umlauf, Nikolaus; Pfeiffer, Ruth; … - 2010
features of the approaches in a real dataset. -- generalized additive models ; GAMs ; simulation ; smoothing …P(enalized)-splines and fractional polynomials (FPs) have emerged as powerful smoothing techniques with increasing … restricted maximum likelihood (REML) for smoothing parameter selection. We evaluated the ability of P-splines and FPs to recover …
Persistent link: https://www.econbiz.de/10009736613
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Trend extraction from time series with structural breaks
Schlicht, Ekkehart - 2007
Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. A practical problem arises, however, when the time series contains structural breaks (such as produced by German unification for German time series, for...
Persistent link: https://www.econbiz.de/10003470549
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Trend extraction from time series with missing observations
Schlicht, Ekkehart - 2007
Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. A practical problem arises, however, when some data points are missing. This note proposes a method for coping with this problem
Persistent link: https://www.econbiz.de/10003470551
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Trend extraction from time series with structural breaks and missing observations
Schlicht, Ekkehart - 2008
Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. Practical problems arise, however, if the time series contains structural breaks (as produced by German unification for German time series, for instance),...
Persistent link: https://www.econbiz.de/10003951479
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A comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests
Boswijk, Herman Peter; Lucas, André; Taylor, Nicholas - 1999
This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the familiar Gaussian basedtests of Johansen, we also consider tests based on non-Gaussianquasi-likelihoods. Moreover, we compare the performance of these parametrictests with tests...
Persistent link: https://www.econbiz.de/10011300549
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Optimal bandwidth selection in non-parametric spectral density estimation : review and simulation
Fortin, Ines - 1999
comparison is based on a small simulation study. The processes that are simulated are in the class of ARMA (5,5) processes. Based … on the simulation evidence, we suggest to use a slightly modified version of Buehlmann's (1996) iterative method …. -- window width ; bandwidth ; non-parametric spectral estimation ; simulation …
Persistent link: https://www.econbiz.de/10009711652
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A generalized ARFIMA process with Markov-switching fractional differencing parameter
Tsay, Wen-jen (contributor); Härdle, Wolfgang (contributor) - 2007
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...
Persistent link: https://www.econbiz.de/10003633683
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Time series modelling with semiparametric factor dynamics
Borak, Szymon; Härdle, Wolfgang; Mammen, Enno; Park, … - 2007
a simulation study. Also, we apply the method to a study of the dynamic behavior of implied volatilities and discuss …
Persistent link: https://www.econbiz.de/10003633687
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Long memory persistence in the factor of Implied volatility dynamics
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2007
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...
Persistent link: https://www.econbiz.de/10003633787
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Adaptive pointwise estimation in time-inhomogeneous time-series models
Čížek, Pavel (contributor); Härdle, Wolfgang (contributor) - 2008
This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...
Persistent link: https://www.econbiz.de/10003635965