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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - Deutsche Bundesbank - 2003
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10005083101
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Real currency appreciation in accession countries: Balassa-Samuelson and investment demand
Fischer, Christoph - Deutsche Bundesbank - 2002
apparently in favour of Balassa-Samuelson effects may require a re-interpretation. The model is estimated for a panel of CEE … scheinen, müssen deshalb möglicherweise neu interpretiert werden. Das Modell wird für ein Panel von mittel- und osteuropäischen …
Persistent link: https://www.econbiz.de/10005083090
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Real Exchange Rate Movements in Developed and Developing Economies: an Interpretation of the Balassa-Samuelson's Framework
Dumrongrittikul, Taya - Department of Econometrics and Business Statistics, … - 2011
each industry, and changes in classifications of industries across periods. We apply panel cointegration tests with group …-mean panel dynamic ordinary least squares (DOLS) estimators suggested in Pedroni (2000, 2001) to examine the BSH. We also use …
Persistent link: https://www.econbiz.de/10009001994
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A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors
Gao, Jiti; King, Maxwell - Department of Econometrics and Business Statistics, … - 2011
This paper considers a class of parametric models with nonparametric autoregressive errors. A new test is proposed and studied to deal with the parametric specification of the nonparametric autoregressive errors with either stationarity or nonstationarity. Such a test procedure can initially...
Persistent link: https://www.econbiz.de/10009318804
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Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short- and Long-Memory Processes
Khan, Md Atikur Rahman; Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2011
In this paper we propose a new methodology for selecting the window length in Singular Spectral Analysis in which the window length is determined from the data prior to the commencement of modeling. The selection procedure is based on statistical tests designed to test the convergence of the...
Persistent link: https://www.econbiz.de/10009320586
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Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices
Liao, Yin; Anderson, Heather M. - Department of Econometrics and Business Statistics, … - 2011
This paper proposes a new test for simultaneous intraday jumps in a panel of high frequency financial data. We utilize … intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel …-based co-jump test. When applied to a panel of high frequency data from the Chinese mainland stock market, our first …
Persistent link: https://www.econbiz.de/10009275516
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The Estimation of Item Specific Intra and Inter Country Food Purchasing Power Parities with Application to Cross Country Comparisons of Food Expenditure: India, Indonesia and Vietn...
Ray, Ranjan; Sinha, Kompal; Majumder, Amita - Department of Econometrics and Business Statistics, … - 2013
This study introduces, for the first time, the concept of item specific purchasing power parity (PPP) between countries that marks a significant departure from exercises such as the International Comparison Program (ICP). The paper proposes a methodology for the estimation of the item specific...
Persistent link: https://www.econbiz.de/10010736876
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An Improved Nonparametric Unit-Root Test
Gao, Jiti; King, Maxwell - Department of Econometrics and Business Statistics, … - 2012
This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined.
Persistent link: https://www.econbiz.de/10010860412
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A Computational Implementation of GMM
Gao, Jiti; Hong, Han - Department of Econometrics and Business Statistics, … - 2014
In this paper we study a statistical method of implementing quasi-Bayes estimators for nonlinear and nonseparable GMM models, that is motivated by the ideas proposed in Chernozhukov and Hong (2003) and Creel and Kristensen (2011) and that combines simulation with nonparametric regression in the...
Persistent link: https://www.econbiz.de/10011093867
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Nonparametric Regression Approach to Bayesian Estimation
Gao, Jiti; Hong, Han - Department of Econometrics and Business Statistics, … - 2014
Estimation of unknown parameters and functions involved in complex nonlinear econometric models is a very important issue. Existing estimation methods include generalised method of moments (GMM) by Hansen (1982) and others, efficient method of moments (EMM) by Gallant and Tauchen (1997), Markov...
Persistent link: https://www.econbiz.de/10011093868