Showing 1 - 10 of 29
In this paper we investigate the validity of the univariate autoregressive sieve bootstrap appliedto time series panels characterized by general forms of cross-sectional dependence, including butnot restricted to cointegration. Using the final equations approach we show that while it ispossible...
Persistent link: https://www.econbiz.de/10011146929
Factor modelling of a large time series panel has widely proven useful to reduce its cross-sectional dimensionality. This is done by explaining common co-movements in the panel through the existence of a small number of common components, up to some idiosyncratic behaviour of each individual...
Persistent link: https://www.econbiz.de/10011146934
Recently regime-switching models have become the standard tool for modeling electricity prices.These models capture the main properties of electricity spot prices well but estimation of themodel parameters requires computer intensive methods. Moreover, the distribution of the pricespikes must be...
Persistent link: https://www.econbiz.de/10011146941
A number of recently published papers have focused on the problem of testing for a unit root inthe case where the driving shocks may be unconditionally heteroskedastic. These papers have,however, assumed that the lag length in the unit root test regression is a deterministic functionof the...
Persistent link: https://www.econbiz.de/10011146943
We propose an approach to investigate the stationarity properties of individual units in a panel based on testing user-defined increasing proportions of hypothesized stationary units sequentially. Asymptotically valid critical values are obtained using the block bootstrap. This sequential...
Persistent link: https://www.econbiz.de/10011146950
In spite of the increased use of factor-augmented regressions in recent years, little is knownregarding the relative merits of the two main approaches to estimation and inference, namely, thecross-sectional average and principal components estimators. As a response to this, the currentpaper...
Persistent link: https://www.econbiz.de/10011146983
Predicting the occurrence of extreme prices, so-called spikes, is one of the greatest challengeswhen modeling electricity spot prices. Despite the fact that recently new insights have beenachieved, the contemporaneous literature seems to be still at its beginning of understanding...
Persistent link: https://www.econbiz.de/10011146986
The role of detrending in bootstrap unit root tests is investigated. When bootstrapping, detrending must not only be done for the construction of the test statistic, but also in the first step of the bootstrap algorithm. It is argued that the two points should be treated separately. Asymptotic...
Persistent link: https://www.econbiz.de/10011146989
We provide a joint treatment of three major issues that surround testing for a unit root in practice: uncertainty as to whether or not a linear deterministic trend is present in the data, uncertainty as to whether the initial condition of the process is (asymptotically) negligible or not, and...
Persistent link: https://www.econbiz.de/10011147003
Following prospect theory we consider decision making under risk in which the decision maker''s preferences depend on a reference outcome. An outcome below this reference outcome is regarded as resulting from a loss: a loss decreases the decision maker''s basic utility more than a comparable...
Persistent link: https://www.econbiz.de/10011147011