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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
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Computing numerical distribution functions in econometrics
MacKinnon, James - 2001
conduct asymptotic inference, it is therefore necessary to resort to simulation. Techniques that have commonly been used yield …
Persistent link: https://www.econbiz.de/10010290345
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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
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Homogenous vs. heterogenous transition functions in smooth transition regressions : a LM-type test
Demetrescu, Matei; Leppin, Julian Sebastian; Reitz, Stefan - 2017
regression coefficients as homogeneous or heterogeneous functions of transition variables. In the estimation process, however … estimation time, rendering their application less appealing. This paper proposes a Lagrange multiplier test indicating whether …
Persistent link: https://www.econbiz.de/10011749886
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Evaluating a class of nonlinear time series models
Heinen, Florian - 2010
models of such type. Following the modeling cycle for nonlinear time series models of specification, estimation and … generalized impulse response functions. The finite sample properties of the proposed tests are studied via simulation. We …
Persistent link: https://www.econbiz.de/10003960982
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Testing the diffusion coefficient
Kleinow, Torsten - 2002
investigated in a simulation study and the tests are applied to the 7 -day Eurodollar rate, the German stock market index DAX and …
Persistent link: https://www.econbiz.de/10009622677
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Household energy demand analysis : an empirical application of the closure test principle
Madlener, Reinhard - 1995
for a suitable specific model. The wide range of estimated elasticities, however, indicates that such estimation results …
Persistent link: https://www.econbiz.de/10009693157
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Nonparametric regression on latent covariates with an application to semiparametric GARCH-in-Mean models
Conrad, Christian; Mammen, Enno - 2008
We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...
Persistent link: https://www.econbiz.de/10003747376
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Modelling and simulation : an overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
Persistent link: https://www.econbiz.de/10009765832
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
estimation of the volatility in the market plays a key role in quantifying market risk exposure correctly. This paper presents … time-varying volatility. In this paper, the estimation of conditional volatility is applied to Value at Risk measurement …. Univariate as well as multivariate concepts are presented for the estimation of the conditional volatility. …
Persistent link: https://www.econbiz.de/10010331352