Showing 1 - 10 of 309
This paper proposes a new nonparametric test for conditional independence, which is based on the comparison of Bernstein copula densities using the Hellinger distance. The test is easy to implement because it does not involve a weighting function in the test statistic, and it can be applied in...
Persistent link: https://www.econbiz.de/10005101068
In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The results on Markovian processes (intercalary independence and truncation) only...
Persistent link: https://www.econbiz.de/10005100872
We consider the problem of testing whether the observations X1, · · ·, Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed:...
Persistent link: https://www.econbiz.de/10005100838
We study the relationships between the real effective exchange rate (REER) of the Tunisian dinar and its determinants/fundamentals, i.e. the ratio of trade balance/GDP, the ratio of public consumption/GDP, the openness rate and the terms of trade. We find that in the most of cases, the variables...
Persistent link: https://www.econbiz.de/10015226535
Résumé: Nous étudions la puissance en terme de prévision des processus basés sur la méthode du noyau en utilisant la version non paramétrique du critère « Final Prediction error » pour identifier un processus fonctionnel hétéroscédastique. Cette identification nécessite une...
Persistent link: https://www.econbiz.de/10015255070
Résumé: Nous étudions la puissance en terme de prévision des processus basés sur la méthode du noyau en utilisant la version non paramétrique du critère « Final Prediction error » pour identifier un processus fonctionnel hétéroscédastique. Cette identification nécessite une...
Persistent link: https://www.econbiz.de/10015255088
We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...
Persistent link: https://www.econbiz.de/10005100952
processes which seasonality is stochastic and deterministic. The extent of the maximum likelihood method proposed by Lee (1992 … sources of seasonality that is probably due to climatic and institutional or economic factors. …
Persistent link: https://www.econbiz.de/10005579069
qui en découlent. / The purpose of this paper is to delimit, with seasonality (in part caused by weather), certain …
Persistent link: https://www.econbiz.de/10005595841
The present paper puts forward a new hypothesis about the economic circuit, which is a product of Marx’s “period of production” and Keynes’s determination order between investment and savings. It leads to a new definition of profit which excludes any remaining competition between savings...
Persistent link: https://www.econbiz.de/10015270656