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Accounting for nonlinearity, asymmetry, heterogeneity, and cross-sectional dependence in energy modeling: US state-level panel analysis
Liddle, Brantley - In: Economies 5 (2017) 3, pp. 1-11
This paper provides an example of several modeling and econometric advances used in the panel estimation of energy demand elasticities. The paper models the demand of total, industrial, and transport energy consumption and residential and commercial electricity consumption by analyzing US...
Persistent link: https://www.econbiz.de/10012009783
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Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard; Seo, Won-Ki; Seong, Dakyung - 2019
We propose a statistical procedure to determine the dimension of the nonstationary subspace of cointegrated functional … is based on sequential application of a proposed test for the dimension of the nonstationary subspace. To avoid …
Persistent link: https://www.econbiz.de/10012431063
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Asymptotics for the conditional-sum-of-squares estimator in fractional time series models
Nielsen, Morten Ørregaard - 2011
This paper proves consistency and asymptotic normality for the conditional-sum-of-squares (CSS) estimator in fractional time series models. The models are parametric and quite general. The novelty of the consistency result is that it applies to an arbitrarily large set of admissible parameter...
Persistent link: https://www.econbiz.de/10010290413
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Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models
Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2014
equivalent to the conditional maximum likelihood estimator, in multivariate fractional time series models. The model is … parametric and quite general, and, in particular, encompasses the multivariate non-cointegrated fractional ARIMA model. The … novelty of the consistency result, in particular, is that it applies to a multivariate model and to an arbitrarily large set …
Persistent link: https://www.econbiz.de/10010935035
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A Time-Domain Test for Some Types of Non-Linearity
Barnett, Adrian G; Wolff, Rodney - School of Economics and Finance, Business School - 2003
The bispectrum and third-order moment can be viewed as equivalent tools for testing for the presence of non-linearity in stationary time series. This is because the bispectrum is the Fourier transform of the third order moment. An advantage of the bispectrum is that its estimator comprises terms...
Persistent link: https://www.econbiz.de/10005766388
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The Nonstationary Stochastic Lead-Time Inventory Problem: Near-Myopic Bounds, Heuristics, and Testing
Anupindi, Ravi; Morton, Thomas E.; Pentico, David - In: Management Science 42 (1996) 1, pp. 124-129
work of Morton and Pentico (Morton, T., D. Pentico. 1995. The finite horizon nonstationary stochastic inventory problem …-myopic bounds and heuristics for the nonstationary stochastic leadtime problem with arbitrary sequences of demand distributions, and …
Persistent link: https://www.econbiz.de/10009191678
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The Finite Horizon Nonstationary Stochastic Inventory Problem: Near-Myopic Bounds, Heuristics, Testing
Morton, Thomas E.; Pentico, David W. - In: Management Science 41 (1995) 2, pp. 334-343
Nonstationary stochastic periodic review inventory problems with proportional costs occur in a number of industrial …
Persistent link: https://www.econbiz.de/10009208900
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Note--Computing Time-Dependent Waiting Time Probabilities in M(t)/M/s(t) Queuing Systems
Green, Linda V.; Soares, João - In: Manufacturing & Service Operations Management 9 (2007) 1, pp. 54-61
In this note we present algorithms that compute, exactly or approximately, time-dependent waiting time tail probabilities and the time-dependent expected waiting time in M(t)/M/s(t) queuing systems.
Persistent link: https://www.econbiz.de/10009218698
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Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models
Nielsen, Morten Ørregaard - Economics Department, Queen's University - 2011
equivalent to the conditional maximum likelihood estimator, in multivariate fractional time series models. The model is … parametric and quite general, and, in particular, encompasses the multivariate non-cointegrated fractional ARIMA model. The … novelty of the consistency result, in particular, is that it applies to a multivariate model and to an arbitrarily large set …
Persistent link: https://www.econbiz.de/10008800763
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A State Space Model of the Economic Fundamentals
Craine, Roger; Bowman, David - Institute of Business and Economic Research (IBER), … - 1988
Persistent link: https://www.econbiz.de/10010677832