Similar Search Results

Analysing long memory and volatility of returns in the Athens stock exchange

Vougas, Dimitrios V. - In: Applied financial economics 14 (2004) 6, pp. 457-460

Persistent link: https://www.econbiz.de/10001971236

Prais-Winsten algorithm for regression with second or higher order autoregressive errors

Vougas, Dimitrios V. - In: Econometrics : open access journal 9 (2021) 3, pp. 1-6

There is no available Prais-Winsten algorithm for regression with AR(2) or higher order errors, and the one with AR(1) errors is not fully justified or is implemented incorrectly (thus being inefficient). This paper addresses both issues, providing an accurate, computationally fast, and...

Persistent link: https://www.econbiz.de/10012617254

Prais-Winsten algorithm for regression with second or higher order autoregressive errors

Vougas, Dimitrios V. - In: Econometrics 9 (2021) 3, pp. 1-6

Persistent link: https://www.econbiz.de/10012696337

Examining the robustness of cointegration analysis under weighted symmetric estimation

Cook, Steven; Vougas, Dimitrios V. - In: Applied economics letters 14 (2007) 10/12, pp. 711-714

Persistent link: https://www.econbiz.de/10003588760

Unit root testing against an ST-MTAR alternative : finite-sample properties and an application to the UK housing market

Cook, Steven; Vougas, Dimitrios V. - In: Applied economics 41 (2009) 10/12, pp. 1397-1404

Persistent link: https://www.econbiz.de/10003845351

Hedge ratios in Greek stock index futures market

Floros, Christos; Vougas, Dimitrios V. - In: Applied financial economics 14 (2004) 15, pp. 1125-1136

Persistent link: https://www.econbiz.de/10002391583

Defence spending and economic growth : a causal analysis for Greece and Turkey

Dunne, Paul; Nikolaidou, Eftychia; Vougas, Dimitrios V. - In: Defence and peace economics 12 (2001) 1, pp. 5-26

Persistent link: https://www.econbiz.de/10001603919

Drift in the relative price of primary commodities : a case where we care about unit roots

Newbold, Paul - In: Applied economics 28 (1996) 4, pp. 653-661

Persistent link: https://www.econbiz.de/10001202668

GLS detrending and unit root testing

Vougas, Dimitrios V. - In: Economics Letters 97 (2007) 3, pp. 222-229

Persistent link: https://www.econbiz.de/10005362288

Unit root testing based on BLUS residuals

Vougas, Dimitrios V. - In: Statistics & Probability Letters 78 (2008) 13, pp. 1943-1947

This paper introduces an efficient version of the Dickey-Fuller unit root test, which is based on BLUS residuals. Simulated critical values are provided, along with power simulation and an empirical example.

Persistent link: https://www.econbiz.de/10005319133