Showing 1 - 10 of 109
Persistent link: https://www.econbiz.de/10001362049
Since the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard approaches to analyse time series with strong serial dependence, the focus being placed in the detection of eventual unit roots in an autorregresive model fitted to the series. In this paper we...
Persistent link: https://www.econbiz.de/10005249635
This paper presents of number of cointegration tests that exploit the statistical properties of the records from the original time series variables. We prove their consistency and obtain their asymptotic null distributions. Among the advantages of this novel methodology, the new tests are...
Persistent link: https://www.econbiz.de/10005196579
Since the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard approaches to analyse time series with strong serial dependence, the focus being placed in the detection of eventual unit roots in an autorregresive model fitted to the series. In this paper we...
Persistent link: https://www.econbiz.de/10005767705
This paper provides a systematic, empirical assessment of the impact of infrastructure quality on the total factor productivity (TFP) of African manufacturing firms. This measure is understood to include quality in the provision of customs clearance, energy, water, sanitation, transportation,...
Persistent link: https://www.econbiz.de/10011394485
Investment climate Surveys are valuable instruments that improve our understanding of the economic, social, political, and institutional factors determining economic growth, particularly in emerging and transition economies. However, at the same time, they have to overcome some difficult issues...
Persistent link: https://www.econbiz.de/10011394640
Persistent link: https://www.econbiz.de/10004611177
Optimal Control of Credit Risk presents an alternative methodology to deal with a financial problem that has not been well analyzed yet: the control of credit risk. Credit risk has become recently the center of interest of the financial community, with new instruments (such as Credit Risk...
Persistent link: https://www.econbiz.de/10013519436
We assume that some consistent estimator of an equilibrium relation between non-stationary fractionally integrated series is used in a first step to compute residuals (or differences thereof). We propose to apply the semiparametric log-periodogram regression to the (differenced) residuals in...
Persistent link: https://www.econbiz.de/10010323712
We show that OLS and GLS are asymptotically equivalent in the linear regression model with AR (p) disturbances and a wide range of trending regressors_ and that OLS based statistical inference is still meaningful after proper adjustment of the test statistics.
Persistent link: https://www.econbiz.de/10010316547