Search Results - subject:"Semiparametric method"

Efficient estimation of partially linear varying coefficient models

Long, Wei; Ouyang, Min; Shang, Ying - In: Economics letters 121 (2013) 1, pp. 79-81

Persistent link: https://www.econbiz.de/10010187084

Robustness of a semiparametric estimator of a copula

Silvapulle, Param; Kim, Gunky; Silvapulle, Mervyn J. - Econometric Society - 2004

the components of a multivariate random variable. A semiparametric method for estimating the dependence parameters of … investigate the efficiency-robustness properties of the foregoing semiparametric method by simulation; in particular, we evaluate … incorrectly. The results show that the semiparametric method is better than the parametric methods. An example involving the …

Persistent link: https://www.econbiz.de/10005063630

Semiparametric EGARCH model with the case study of China stock market

Yang, Hu; Wu, Xingcui - In: Economic Modelling 28 (2011) 3, pp. 761-766

In this paper, we propose a new semiparametric method for GARCH model by combining the EGARCH (1,1) model and local …

Persistent link: https://www.econbiz.de/10010573294

A CUSUM Test for Cointegration Using Regression Residuals

Xiao, Zhijie; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2001

We show that the conventional CUSUM test for structural change can be applied to cointegrating regression residuals leading to a consistent residual based test for the null hypothesis of cointegration. The proposed tests are semiparametric and utilize fully modified residuals to correct for...

Persistent link: https://www.econbiz.de/10005593636

Persistent Dependence in Foreign Exchange Rates? A Reexamination

Barkoulas, John T.; Baum, Christopher F.; Caglayan, Mustafa - Department of Economics, Boston College - 1998

We test for stochastic long-memory behavior in the returns series of currency rates for eighteen industrial countries using a semiparametric fractional estimation method. A sensitivity analysis is also carried out to analyze the temporal stability of the long-memory parameter. Contrary to the...

Persistent link: https://www.econbiz.de/10005102699

Waves and Persistence in Merger and Acquisition Activity

Barkoulas, John T.; Baum, Christopher F.; Chakraborty, … - Department of Economics, Boston College - 1997

Does merger and acquisition (M&A) activity occur in waves, that is, are there oscillations between low and high levels of M&A activity? The answer to this question is important in developing univariate as well as structural models of explaining and forecasting the stochastic behavior of M&A...

Persistent link: https://www.econbiz.de/10004968823

Fractional Dynamics in Japanese Financial Time Series

Barkoulas, John; Baum, Christopher F. - Department of Economics, Boston College - 1996

Using the spectral regression and Gaussian semiparametric methods of estimating the long-memory parameter, we test for fractional dynamic behavior in a number of important Japanese financial time series: spot exchange rates, forward exchange rates, stock prices, currency forward premia, Euroyen...

Persistent link: https://www.econbiz.de/10005074109