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Small Sample Properties of Certain Cointegration Test Statistics: A Monte Carlo Study

Dhrymes, Phoebus J.; Thomakos, Dimitrios D. - 1997

the Conformity test (CCT) for the existence and rank of cointegration, as given in Johansen (J) (1988), (1991), and the … CCT has very good power characteristics in detecting the rank of cointegration, but it exhibits some size distortions that …

Persistent link: https://www.econbiz.de/10009472581

Zero-non-zero Patterned Vector Error Correction Modelling for I(2) Cointegrated Time-Series with Applications in Testing PPP and Stock Market Relationships

Penm, Jack H.W; Brailsford, Tim; Terrell, R.D - 2000

entries has not been fully discussed in cointegration theory. In such cases, the use of standard VECM models may lead to …

Persistent link: https://www.econbiz.de/10009451311

Dynamics on real estate and emerging markets

Schätz, Alexander - 2009

While much attention has focused on the modelling of the interdependencies between key aggregates and stock indices in industrialised countries, this thesis is focused on investments in emerging markets and real estate two research branches that have up to now not been investigated to a...

Persistent link: https://www.econbiz.de/10009450173

Parameter Estimation and Hypothesis Testing for the Truncated Normal Distribution with Applications to Introductory Statistics Grades

Hattaway, James T 1981- - 2010

The normal distribution is a commonly seen distribution in nature, education, and business. Data that are mounded or bell shaped are easily found across various fields of study. Although there is high utility with the normal distribution; often the full range can not be observed. The truncated...

Persistent link: https://www.econbiz.de/10009456970

Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility

Yu, Jung-Suk - 2006

There has been an on-going debate about choices of the most suitable model amongst avariety of model specifications and parameterizations. The first dissertation essay investigateswhether asymmetric leptokurtic return distributions such as Hansen’s (1994) skewed tdistributioncombined with...

Persistent link: https://www.econbiz.de/10009468629

Testing for threshold moving average with conditional heteroscedasticity

Li, G; Li, WK - 2008

The recent paper by Ling and Tong (2005) considered a quasi-likelihood ratio test for the threshold in moving average models with errors. This article generalizes their results to the case with GARCH errors, and a new quasi-likelihood ratio test is derived. The generalization is not direct since...

Persistent link: https://www.econbiz.de/10009471397

Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility

Yu, Jung-Suk - 2006

There has been an on-going debate about choices of the most suitable model amongst a variety of model specifications and parameterizations. The first dissertation essay investigates whether asymmetric leptokurtic return distributions such as Hansen's (1994) skewed tdistribution combined with...

Persistent link: https://www.econbiz.de/10009451062

A functional coefficient model view of the saving-investment relation

Fang Xu - 2007

, factor based bootstrap approach is proposed for inferential issues in functional coefficient models. This approach can cope … with heterogeneous error distributions and is proven to hold asymptotically. In simulation studies factor based bootstrap … inference outperforms the wild bootstrap and pairs bootstrap approach according to its size features. Regarding current account …

Persistent link: https://www.econbiz.de/10009429004

APPLICATION OF THE EMPIRICAL LIKELIHOOD METHOD IN PROPORTIONAL HAZARDS MODEL

He, Bin - 2007

In survival analysis, proportional hazards model is the most commonly used and the Cox model is the most popular. These models are developed to facilitate statistical analysis frequently encountered in medical research or reliability studies. In analyzing real data sets, checking the validity of...

Persistent link: https://www.econbiz.de/10009431108

Bootstrapping of Spatially Correlated Data

Agarwal, Prasheen Kumar - 2003

The application of the bootstrap to spatially correlated data has not been studied as widely as its application to time … implementing the bootstrap method. Kunsch (1989), Politis and Romano(1993, Liu and Singh(1992) have suggested bootstrapping methods …

Persistent link: https://www.econbiz.de/10009431163