Search Results - subject:"Linear regression models"

Prediction error criterion for selecting variables in a linear regression model

Fujikoshi, Yasunori; Kan, Tamio; Takahashi, Shin; … - In: Annals of the Institute of Statistical Mathematics 63 (2011) 2, pp. 387-403

Persistent link: https://www.econbiz.de/10008925542

Detecting the Presence of Informed Price Trading Via Structural Break Tests

Olmo, J.; Pilbeam, K.; Pouliot, W. - Department of Economics, City University - 2009

The occurrence of abnormal returns before unscheduled announcements is usually identified with informed price movements. Therefore, the detection of these observations beyond the range of returns due to the normal day-to-day activity of financial markets is a concern for regulators monitoring...

Persistent link: https://www.econbiz.de/10011268923

U-statistic Type Tests for Structural Breaks in Linear Regression Models

Pouliot, W.; Olmo, J. - Department of Economics, City University - 2008

regression models. In particular, the flexibility of these processes will be exploited to introduce a simultaneous and joint test … changing patterns in the dynamics of time series. This theory is applied to structural break hypothesis tests in linear …

Persistent link: https://www.econbiz.de/10011268919

Generalized minimum distance estimators of a linear model with correlated errors

Fernández, J.; Manteiga, W. - In: Statistical Papers 42 (2001) 3, pp. 353-373

Persistent link: https://www.econbiz.de/10005167216