Similar Search Results

A class of simple distribution-free rank-based unit root tests

Hallin, Marc; Akker, Ramon van den; Werker, Bas J.M. - HAL - 2011

We propose a class of distribution-free rank-based tests for the null hypothesis of a unit root. This class is indexed by the choice of a , which needs not coincide with the unknown actual innovation density . The validity of these tests, in terms of exact finite sample size, is guaranteed,...

Persistent link: https://www.econbiz.de/10010774281

A class of simple distribution-free rank-based unit root tests

Hallin, Marc; Akker, Ramon van den; Werker, Bas J.M. - HAL - 2011

Persistent link: https://www.econbiz.de/10010898803

Second Generation Panel Unit Root Tests

Hurlin, Christophe; Mignon, Valérie - HAL - 2007

This article proposes an overview of the recent developments relating to panel unit root tests. After a brief review of the first generation panel unit root tests, this paper focuses on the tests belonging to the second generation. The latter category of tests is characterized by the rejection...

Persistent link: https://www.econbiz.de/10008793983

Pivotal estimation in high-dimensional regression via linear programming

Gautier, Eric; Tsybakov, Alexandre - HAL - 2013

distributional assumptions including heteroscedasticity, and does not require the knowledge of the variance of random errors. The …

Persistent link: https://www.econbiz.de/10010821466

Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance

Fliess, Michel; Join, Cédric - HAL - 2008

New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some resemblance to "technical analysis". The results are applied to a typical object of financial engineering, namely the forecast of foreign exchange rates, via a "model-free" setting,...

Persistent link: https://www.econbiz.de/10008791958

A mathematical proof of the existence of trends in financial time series

Fliess, Michel; Join, Cédric - HAL - 2009

We are settling a longstanding quarrel in quantitative finance by proving the existence of trends in financial time series thanks to a theorem due to P. Cartier and Y. Perrin, which is expressed in the language of nonstandard analysis (Integration over finite sets, F. & M. Diener (Eds):...

Persistent link: https://www.econbiz.de/10008792433

The persistence of firms' knowledge base: a quantile approach to Italian data

Colombelli, Alessandra; Quatraro, Francesco - HAL - 2014

investigated their patterns of persistence over time. The empirical analysis is implemented by exploring the autocorrelation …

Persistent link: https://www.econbiz.de/10010933797

The persistence of firms' knowledge base: A quantile approach to Italian data

Colombelli, Alessandra; Quatraro, Francesco - HAL - 2013

investigated their patterns of persistence over time. The empirical analysis is implemented by exploring the autocorrelation …

Persistent link: https://www.econbiz.de/10011026232

Testing for Spatial Autocorrelation in a Fixed Effects Panel Data Model

Debarsy, Nicolas; Ertur, Cem - HAL - 2009

spatial autocorrelation in a fixed effectspanel data model. These tests allow discriminating between the two main typesof … spatial autocorrelation which are relevant in empirical applications, namelyendogenous spatial lag versus spatially … spatial autocorrelation whatever its type. Hence, it indicates whetherspecific econometric estimation methods should be …

Persistent link: https://www.econbiz.de/10008789245

Chaos in economics and finance

Guegan, Dominique - HAL - 2007

In this article, we specify the different approaches followed by the economists and the financial economists in order to use chaos theory. We explain the main difference using this theory with other research domains like the mathematics and the physics. Finally, we present tools necessary for...

Persistent link: https://www.econbiz.de/10010738474