In this paper a dynamic model of monopolistic competition with entry and exit has been presented and examined. It is shown that the model displays indeterminacy at modest degrees of increasing returns in cases where the market power in the consumption goods market and in the investment goods...

A nonparametric version of the Final Prediction Error (FPE) is proposed for lag selection in nonlinear autoregressive time series. We derive its consistency for both local constant and local linear estimators using a derived optimal bandwidth. Further asymptotic analysis suggests a greater...

Likelihood ratio (LR) tests for the cointegrating rank of a vector autoregressive (VAR) process have been developed under different assumptions regarding deterministic terms. For instance, nonzero mean terms and linear trends have been accounted for in some of the tests. In this paper we provide...

Testing the cointegrating rank of a vector autoregressive process which may have a deterministic linear trend is considered. Previous proposals for dealing with such a situation are either to allow for a deterministic trend term in computing a suitable test statistic or else remove the linear...

The effect of incomplete information on the term structure of interest rates is examined in the framework of a pure exchange economy under uncertainty. When the growth rate of the aggregate endowment is known, the term structure is flat and deterministic. When agents do not observe the...

We investigate the relative merits of a "moment-oriented" bootstrap method of Bunke (1997) in comparison with the classical wild bootstrap of Wu (1986) in nonparametric heteroscedastic regression situations. The "moment-oriented" bootstrap is a wild bootstrap based on local estimators of higher...

Wir untersuchen Übernahmen deutscher Unternehmen zwischen 1985 und 1993 im Hinblick auf ihren Einfluß auf den Marktwert des Käufers. In Erweiterung bisheriger Studien analysieren wir insbesondere, welche Ereignisse den größten Informationsgehalt haben und damit zu den deutlichsten...

Stuetzle and Mittal (1979) for ordinary nonparametric kernel regression and Kauermann and Tutz (1996) for nonparametric generalized linear model kernel regression constructed estimators with lower order bias than the usual estimators, without the need for devices such as second derivative...

In dieser Arbeit werden zwei Methoden zur Ermittlung der Eigenkapitalunterlegung von Risikopositionen und die Auswirkungen unterschiedlicher Verteilungsannahmen auf das Value-at-Risk (VaR) untersucht. Die empirischen Ergebnisse basieren auf zwei Beispielportfolios aus DAX-Aktien und einer...

This paper estimates the probability distribution of relative county unemployment in Britain for the years 1981-1995. We find that the distribution is unimodal in all years, with a falling variance between 1989 and 1994. We use bootstrap methods to determine critical values for the two tails of...