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Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms

Trenkler, Carsten - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10005207940

Panel Cointegration Testing in the Presence of a Time Trend

Droge, Bernd; Örsal, Deniz Dilan Karaman - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10005652726

Conditional Complexity of Compression for Authorship Attribution

Malyutov, Mikhail B.; Wickramasinghe, Chammi I.; Li, Sufeng - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10005678030

Confidence Corridors for Multivariate Generalized Quantile Regression

Chao, Shih-Kang; Proksch, Katharina; Dette, Holger; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10010772306

Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions

Brüggemann, Ralf - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10005677903

On the Existence of the Moments of the Asymptotic Trace Statistic

Örsal, Deniz Dilan Karaman; Droge, Bernd - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

In this note we establish the existence of the first two moments of the asymptotic trace statistic, 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 develop panel cointegration...

Persistent link: https://www.econbiz.de/10005489952

Testing Missing at Random using Instrumental Variables

Breunig, Christoph - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015

This paper proposes a test for missing at random (MAR). The MAR assumption is shown to be testable given instrumental variables which are independent of response given potential outcomes. A nonparametric testing procedure based on integrated squared distance is proposed. The statistic’s...

Persistent link: https://www.econbiz.de/10011212947

Context Effects as Customer Reaction on Delisting of Brands

Wiebach, Nicole; Hildebrandt, Lutz - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

The delisting of brands is frequently used by retailers to strengthen their negotiating position with the manufacturers and suppliers of their product assortment. However, retailers and manufacturers have to consider the risk of potential reactions when customers are faced with a reduced or...

Persistent link: https://www.econbiz.de/10008727690

Testing Multiplicative Error Models Using Conditional Moment Tests

Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

We suggest a robust form of conditional moment test as a constructive test for func- tional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification....

Persistent link: https://www.econbiz.de/10005652786

Spectral estimation of the fractional order of a Lévy process

Belomestny, Denis - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

We consider the problem of estimating the fractional order of a L´evy process from low frequency historical and options data. An estimation methodology is developed which allows us to treat both estimation and calibration problems in a unified way. The corresponding procedure consists of two...

Persistent link: https://www.econbiz.de/10005652794