Search Results - subject:"Lagrange Multiplier"

A Simple Representation of the Bera-Jarque-Lee Test for Probit Models

Wilde, Joachim - 2007

The inference in probit models relies on the assumption of normality. However, tests of this assumption are not implemented in standard econometric software. Therefore, the paper presents a simple representation of the Bera-Jarque-Lee test, that does not require any matrix algebra. Furthermore,...

Persistent link: https://www.econbiz.de/10010269965

Are correlations constant over time? Application of the CC-TRIGt-test to return series from different asset classes

Fischer, Matthias J. - 2007

Lagrange multiplier (LM) test. Whereas most of the traditional tests (e.g. Jennrich, 1970, Tang, 1995 and Goetzmann, Li …

Persistent link: https://www.econbiz.de/10010273762

A note on model selection in (time series) regression models - General-to-specific or specific-to-general?

Herwartz, Helmut - 2007

The paper provides Monte Carlo evidence on the performance of general-to-specific and specific-to-general selection of explanatory variables in linear (auto)regressions. In small samples the former is markedly inefficient in terms of ex-ante forecasting performance.

Persistent link: https://www.econbiz.de/10010296273

Correlation testing in time series, spatial and cross-sectional data

Robinson, Peter - Centre for Microdata Methods and Practice (CEMMAP) - 2007

broad class of computationally simple tests is justiied. These specialize Lagrange multiplier tests against parametric …; heteroscedasticity; Lagrange multiplier tests. Corresponding author: Tel. +44-20-7955-7516; fax: +44-20-7955-6592. E-mail address: p … be interpreted as Lagrange multiplier (LM) statistics directed against speci�ed alternatives where they should have good …

Persistent link: https://www.econbiz.de/10005509557

Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model

Nakatani, Tomoaki; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2007

In this paper we propose a Lagrange multiplier test for volatility interactions among markets or assets. The null …

Persistent link: https://www.econbiz.de/10005423784

A note on model selection in (time series) regression models - General-to-specific or specific-to-general?

Herwartz, Helmut - Institut für Volkswirtschaftslehre, … - 2007

Persistent link: https://www.econbiz.de/10005082906

Are Correlations Constant Over Time? Application of the CC-TRIGt-test to Return Series from Different Asset Classes.

Fischer, Matthias - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

Lagrange multiplier (LM) test. Whereas most of the traditional tests (e.g. Jennrich, 1970, Tang, 1995 and Goetzmann, Li … Straße 1, D-10178 Berlin Key Words: Lagrange multiplier test, constant correlation, trigonometric functions. JEL …-tdistribution, this test is derived as Lagrange multiplier (LM) test. Whereas most of the traditional tests (e.g. Jennrich, 1970, Tang …

Persistent link: https://www.econbiz.de/10005652781

Gcc Monetary Union and the Degree of Macroeconomic Policy Coordination

Kamar, Bassem; Naceur, Samy Ben - International Monetary Fund (IMF) - 2007

Coordinating macroeconomic policies is a pre-requisite to a successful launch of the common currency in the GCC countries. Relying on the Behavioral Equilibrium Exchange Rate approach as a theoretical framework, we apply the Pooled Mean Group methodology to determine the similarity of the impact...

Persistent link: https://www.econbiz.de/10005604912

Modeling Aggregate Use of Fund Resources; Analytical Approaches and Medium-Term Projections

Ghosh, Atish R.; Zalduendo, Juan; Goretti, Manuela; … - International Monetary Fund (IMF) - 2007

This paper presents two approaches to modeling the use of IMF resources in order to gauge whether the recent decline in credit outstanding is a temporary or a permanent phenomenon. The two approaches-the time series behavior of credit outstanding and a two-stage program selection and access...

Persistent link: https://www.econbiz.de/10005825617

A Simple Representation of the Bera-Jarque-Lee Test for Probit Models

Wilde, Joachim - Institut für Wirtschaftsforschung Halle (IWH) - 2007

with the RESET-type test proposed by Papke and Wooldridge (1996). Keywords: probit model, Lagrange multiplier test … Normalverteilung abweichende Kurtosis verursacht wurde. Schlagwörter: Probitmodell, Lagrange Multiplier Test … error term, which is stochastically independent of the exogenous variables. They derive a Lagrange- multiplier test of the …

Persistent link: https://www.econbiz.de/10005232580