Showing 181 - 190 of 823
This paper identifies two major sets of issues which have been raised in the study of financial futures markets outside Australia. The first concerns the hypothesis of market efficiency, which asserts that futures prices fully reflect available information about subsequent prices in the physical...
Persistent link: https://www.econbiz.de/10005577189
We address the issue of using a set of covariates to categorize or predict a binary outcome. This is a common problem in many disciplines including economics. In the context of a prespecified utility (or cost) function we examine the construction of forecasts suggesting an extension of the...
Persistent link: https://www.econbiz.de/10010662499
This paper suggests the use of simple minimum distance methods to estimate restricted cointegrating vectors. The method directly employs minimum distance methods on unrestricted cointegrating matrices estimated in the usual way to estimate restricted parameters which are linearly or nonlinearly...
Persistent link: https://www.econbiz.de/10010817505
Consider inference about the pre and post break value of a scalar parameter in a time series model with a single break at an unknown date. Unless the break is large, treating the break date estimated by least squares as the true break date leads to substantially oversized tests and confidence...
Persistent link: https://www.econbiz.de/10011052212
This paper investigates the efficiency of Australian options market using a version of the Black-Scholes model. Under the joint null hypothesis that the pricing model is valid, and that forecasts are efficient, the implied volatilities calculated from observed.option prices should be efficient...
Persistent link: https://www.econbiz.de/10005276567
Persistent link: https://www.econbiz.de/10005281240
Researchers desire powerful tests for unit roots. This paper derives the family of asymptotically most powerful tests for unit roots when the initial condition is drawn from its unconditional distribution under the alternative. This enables both the examination of previously proposed statistics...
Persistent link: https://www.econbiz.de/10005550048
Persistent link: https://www.econbiz.de/10005228696
The asymptotic power envelope is derived for point-optimal tests of a unit root in the autoregressive representation of a Gaussian time series. The authors propose a family of tests whose asymptotic power functions are tangent to the power envelope at one point and are never far below. When the...
Persistent link: https://www.econbiz.de/10005231604
The paper analyzes the impact of the initial condition on the problem of testing for unit roots. To this end, we derive a family of optimal tests that maximize a weighted average power criterion with respect to the initial condition. We then investigate the relationship of this optimal family to...
Persistent link: https://www.econbiz.de/10005231741