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Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms

Trenkler, Carsten - In: Computational Statistics 23 (2008) 1, pp. 19-39

Persistent link: https://www.econbiz.de/10005166791

Finite Sample Correction Factors for Panel Cointegration Tests

Hlouskova, Jaroslava; Wagner, Martin - Department of Economics and Finance Research and … - 2009

In this paper we present finite T mean and variance correction factors and corresponding response surface regressions for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and Breitung (2005). For the single equation tests we consider up...

Persistent link: https://www.econbiz.de/10005026908

Testing Integration of Macroeconomic Time Series in Transitional Socialist Economies. A Modification of Perron Test

Rybinski, Krzysztof - In: Economic Change and Restructuring 30 (1997) 2, pp. 127-179

The presence of structural breaks reduces the power of integration tests. A number of methods were suggested to improve the statistical properties of integration tests in the presence of structural breaks. The most known are Perron tests, which allow to test for the level of integration of time...

Persistent link: https://www.econbiz.de/10005701481

Lag Order and Critical Values of the Augmented Dickey-Fuller Test: A Replication

Kulaksizoglu, Tamer - Volkswirtschaftliche Fakultät, … - 2014

This paper replicates Cheung and Lai (1995), who use response surface analysis to obtain approximate finite-sample critical values adjusted for lag order and sample size for the augmented Dickey-Fuller test. We obtain results that are quite close to their results. We provide the Ox source code....

Persistent link: https://www.econbiz.de/10011107256

Noninformative bayesian estimation for the optimum in a single factor quadratic response model

Fan, Tsai-Hung - In: TEST: An Official Journal of the Spanish Society of … 10 (2001) 2, pp. 225-240

Persistent link: https://www.econbiz.de/10005390576

Treating bias as variance for experimental design purposes

Draper, Norman; Guttman, Irwin - In: Annals of the Institute of Statistical Mathematics 44 (1992) 4, pp. 659-671

Persistent link: https://www.econbiz.de/10005395579

Screening Experiments for Simulation : A Review

Kleijnen, Jack P.C. - Tilburg University, Center for Economic Research - 2007

This article reviews so-called screening in simulation; i.e., it examines the search for the really important factors in experiments with simulation models that have very many factors (or inputs). The article focuses on a most efficient and effec- tive screening method, namely Sequential...

Persistent link: https://www.econbiz.de/10011090683

Kriging Metamodeling in Simulation : A Review

Kleijnen, Jack P.C. - Tilburg University, Center for Economic Research - 2007

formulas contrasting Kriging and classic linear regression metamodels. Furthermore, it extends Kriging to random simulation …

Persistent link: https://www.econbiz.de/10011092363

A Methodology for Fitting and Validating Metamodels in Simulation

Kleijnen, Jack P.C.; Sargent, R. - Tilburg University, Center for Economic Research - 1997

This expository paper discusses the relationships among metamodels, simulation models, and problem entities. A … and validating a metamodel. Metamodels may have different goals: (i) understanding, (ii) prediction, (iii) optimization …. Metamodels in general are covered, along with a procedure for developing linear regression (including polynomial) metamodels. …

Persistent link: https://www.econbiz.de/10011092434

Global and mid-range function approximation for engineering optimization

Schoofs, A.; Houten, M.; Etman, L.; Campen, D. - In: Computational Statistics 46 (1997) 3, pp. 335-359

Global and mid-range approximation concepts are used in engineering optimisation in those cases were the commonly used local approximations are not available or applicable. In this paper the response surface method is discussed as a method to build both global and mid-range approximations of the...

Persistent link: https://www.econbiz.de/10010759387