Showing 1 - 10 of 65
Using Monte Carlo methods, the properties of systemwise generalizations of the Breusch-Godfrey test for autocorrelated errors are studied when there are some kinds of GARCH effects among the errors. The analysis, regarding the size of the test, reveals that the GARCH have considerable effects of...
Persistent link: https://www.econbiz.de/10005511175
The Breusch-Godfrey test for autocorrelated errors is generalised to cover systems of equations, and the properties of 18 versions of the test are studied using Monte Carlo methods. We show that only one group of tests regularly has actual size close to the nominal size; namely the likelihood...
Persistent link: https://www.econbiz.de/10005511889
This paper describes an alternative approach for testing for the existence of trend among time series. The test method has been constructed using wavelet analysis which has the ability of decomposing a time series into low frequencies (trend) and high-frequency (noise) components. Under the...
Persistent link: https://www.econbiz.de/10005458143
The small sample properties of the systemwise RESET (Regression Specification Error Test) test for functional misspecification are investigated using normal and non-normal error terms. When using normally distributed or less heavy tailed error terms, we find the Rao's multivariate F-test to be...
Persistent link: https://www.econbiz.de/10005458251
Quarterly data for the period 1960:1 to 1997:2, conventional tests, a bootstrap simulation approach and a multivariate Rao's F-test have been used to investigate if the causality between government spending and revenue in Finland was changed at the beginning of 1990 due to future plans to create...
Persistent link: https://www.econbiz.de/10005458283
We develop Bayesian procedures to make inference about parameters of a statistical design with autocorrelated error terms. Modelling treatment effects can be complex in the presence of other factors such as time; for example in longitudinal data. In this paper, Markov chain Monte Carlo methods...
Persistent link: https://www.econbiz.de/10005458431
The purpose of this study is to identify a function for the team performance for professional ice hockey teams in Sweden. In order to understand how team performance relates to key variables such as coaching ability and coaching experience and succession, the OLS (Ordinary Least Squares) and the...
Persistent link: https://www.econbiz.de/10005459203
This paper employs a time series cointegration approach to evaluate the relationship between manufacturing firm failure and macroeconomic factors for the Swedish manufacturing sector in the period 1986 – 2006. It uses quarterly data for this period. We found that in long run a firms’ failure...
Persistent link: https://www.econbiz.de/10004969807
In this paper, we propose a Nonlinear Dickey-Fuller test for unit root against first order Logistic Smooth Transition Autoregressive LSTAR (1) model with time as the transition variable. The Nonlinear Dickey-Fuller test statistic is established under the null hypothesis of random walk without...
Persistent link: https://www.econbiz.de/10004969814
In this paper we generalize the median regression method in order to make it applicable to systems of regression equations. Given the existence of proper systemwise medians of the errors from different equations, we apply the weighted median regression with the weights obtained from the...
Persistent link: https://www.econbiz.de/10004969815