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Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms

Trenkler, Carsten (contributor) - 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 … considers the standard asymptotic test versions and the Johansen cointegration test for comparison. -- Bootstrap ; Systems …

Persistent link: https://www.econbiz.de/10003324256

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

Burdejova, Petra; Härdle, Wolfgang; 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/10010529335

Solving, estimating and selecting nonlinear dynamic models without the curse of dimensionality

Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...

Persistent link: https://www.econbiz.de/10003636133

JBendge : an object-oriented system for solving, estimating and selecting nonlinear dynamic models

Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008

We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The implemented solution methods for finding the unknown policy function are the standard linearization around the deterministic steady state, and a...

Persistent link: https://www.econbiz.de/10003727355

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/10010354164

Comparison of methods for constructing joint confidence bands for impulse response functions

Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2013

In vector autoregressive analysis confidence intervals for individual impulse responses are typically reported to indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for constructing joint confidence bands, given a prespecifed...

Persistent link: https://www.econbiz.de/10009748563

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/10003796158

Conditional complexity of compression for authorship attribution

Malyutov,, Mikhail B. (contributor); … - 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/10003634789

Customer reactions in Out-of-Stock situations : do promotion-induced phantom positions alleviate the similarity substitution hypothsis?

Diels, Jana Luisa; Wiebach, Nicole - 2011

Out-of-Stock (OOS) is a prevalent problem customers face at the POS. In this paper, we demonstrate both theoretically and empirically how OOS-induced substitution patterns can be explained and predicted by means of context and phantom theory. We further analyze the relevance of promotions, for...

Persistent link: https://www.econbiz.de/10008989876

The impact of context and promotion on consumer responses and preferences in out-of-stock situations

Wiebach, Nicole; Diels, Jana L. - 2011

In general, consumer preferences depend on the context of a decision situation. This paper highlights the context-dependence of substitution behavior in out-of-stock (OOS) situations and provides evidence for the relevance of promotion as essential driver of customers' OOS reactions. We...

Persistent link: https://www.econbiz.de/10009266902