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Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms

Trenkler, Carsten - 2006

In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic … the bootstrap test procedures are derived and their small sample properties are studied. The simulation study also …

Persistent link: https://www.econbiz.de/10010263621

Panel CointegrationTesting in the Presenceof a Time Trend

Droge, Bernd; Karaman Örsal, Deniz Dilan - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

The purpose of this paper is to propose a new likelihood-based panel cointegration testin the presence of a linear time trend in the data generating process. This new test is an extensionof the likelihood ratio (LR) test of Saikkonen & L¨utkepohl (2000) for trend-adjusteddata to the panel data...

Persistent link: https://www.econbiz.de/10008939793

Panel cointegration testing in the presence of a time trend

Droge, Bernd; Örsal, Deniz Dilan Karaman - 2009

The purpose of this paper is to propose a new likelihood-based panel cointegration test in the presence of a linear time trend in the data generating process. This new test is an extension of the likelihood ratio (LR) test of Saikkonen & Lütkepohl (2000) for trend-adjusted data to the panel...

Persistent link: https://www.econbiz.de/10010265669

Conditional complexity of compression for authorship attribution

Malyutov, Mikhail B.; Wickramasinghe, Chammi Irosha; … - 2007

We introduce new stylometry tools based on the sliced conditional compression complexity of literary texts which are inspired by the nearly optimal application of the incomputable Kolmogorov conditional complexity (and presumably approximates it). Whereas other stylometry tools can occasionally...

Persistent link: https://www.econbiz.de/10010277239

Change point and trend analyses of annual expectile curves of tropical storms

Burdejova, Petra; Härdle, Wolfgang Karl; Kokoszka, Piotr; … - 2015

Motivated by the conjectured existence of trends in the intensity of tropical storms, this paper proposes new inferential methodology to detect a trend in the annual pattern of environmental data. The new methodology can be applied to data which can be represented as annual curves which evolve...

Persistent link: https://www.econbiz.de/10011335463

Confidence corridors for multivariate generalized quantile regression

Chao, Shih-kang; Proksch, Katharina; Dette, Holger; … - 2014

coverage for small sample sizes, a simple bootstrap procedure is designed based on the leading term of the Bahadur … demonstrated that the bootstrap procedure considerably outperforms the asymptotic bands in terms of coverage accuracy. Finally, the … bootstrap confidence corridors are used to study the efficacy of the National Supported Work Demonstration, which is a …

Persistent link: https://www.econbiz.de/10010427054

Finite sample properties of impulse response intervals in SVECMs with long-run identifying restrictions

Brüggemann, Ralf - 2006

impulse responses, a standard percentile (Efron) bootstrap interval, Hall's percentile and Hall's studentized bootstrap … little to choose between the asymptotic and the Hall bootstrap intervals in SVECMs. In contrast, the Efron bootstrap interval …

Persistent link: https://www.econbiz.de/10010263627

Spectral estimation ofthe fractional orderof a Lévy process

Belomestny, Denis - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

We consider the problem of estimating the fractional order of a L´evyprocess from low frequency historical and options data. An estimationmethodology is developed which allows us to treat both estimation andcalibration problems in a unified way. The corresponding procedureconsists of two steps:...

Persistent link: https://www.econbiz.de/10008939782

On the Existence of theMoments of the AsymptoticTrace Statistic

Karaman Örsal, Deniz Dilan; Droge, Bernd - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

In this note we establish the existence of the first two moments of the asymptotic tracestatistic, which appears as weak limit of the likelihood ratio statistic for testing the cointe-gration rank in a vector autoregressive model and whose moments may be used to developpanel cointegration tests....

Persistent link: https://www.econbiz.de/10008939788

Simultaneous statistical inference in dynamic factor models

Dickhaus, Thorsten - 2012

Based on the theory of multiple statistical hypothesis testing, we elaborate simultaneous statistical inference methods in dynamic factor models. In particular, we employ structural properties of multivariate chi-squared distributions in order to construct critical regions for vectors of...

Persistent link: https://www.econbiz.de/10010318738