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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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Comparing penalized splines and fractional polynomials for flexible modelling of the effects of continuous predictor variables
Strasak, Alexander; Umlauf, Nikolaus; Pfeiffer, Ruth; … - 2010
Persistent link: https://www.econbiz.de/10008657774
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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/10010427486
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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/10010427491
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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/10010427520
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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