We study large-sample properties of likelihood ratio tests of the unit root hypothesis in an autoregressive model of arbitrary, finite order. Earlier research on this testing problem has developed likelihood ratio tests in the autoregressive model of order one, but resorted to a plug-in approach...

Because the use of p-values in statistical inference often involves the rejection of a hypothesis on the basis of a number that itself assumes the hypothesis to be true, many in the scientific community argue that inference should instead be based on the hypothesis' actual probability...

The Wald development of statistical decision theory addresses decision making with sample data. Wald's concept of a statistical decision function (SDF) embraces all mappings of the form [data → decision]. An SDF need not perform statistical inference; that is, it need not use data to draw...

This paper deals with instability in regression coefficients. We propose a Bayesian regression model with time-varying coefficients (TVC) that allows to jointly estimate the degree of instability and the time-path of the coefficients. Thanks to the computational tractability of the model and to...

"The first edition of Real Econometrics attempted to reduce math anxiety for students learning applied statistical techniques. Beginning with the assumption that students will learn more if they start with experiments and see how the statistical enterprise is used to approximate certain features...

"The book has evolved and adapted from an earlier book by the same author and provides a detailed introduction to analytical methods commonly used by fishery scientists, ecologists, and advanced students using the open source software R as a programming tool."

"This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and...

"This book provides an introduction to the field of microeconometrics through the use of R. The focus is on applying current learning from the field to real world problems. It uses R to both teach the concepts of the field and show the reader how the techniques can be used. It is aimed at the...

Established tests for proper calibration of multivariate density forecasts based on Rosenblatt probability integral transforms can be manipulated by changing the order of variables in the forecasting model. We derive order invariant tests. The new tests are applicable to densities of arbitrary...

According to the last proposals of the Basel Committee on Banking Supervision, banks or insurance companies under the advanced measurement approach (AMA) must use four different sources of information to assess their operational risk capital requirement. The fourth includes ’business...

Implications for signal extraction from specifying unobserved components (UC) models with correlated or orthogonal innovations have been well investigated. In contrast, the forecasting implications of specifying UC models with different state correlation structures are less well understood. This...

The major objective of this paper is to demonstrate, theoretically and empirically, the test of a single structural break/change. Failure to address a structural break can lead to forecasting errors and the general unreliability of a model. Three approaches of testing for structural change are...

"This book introduces the topics of Big Data, data analytics and data science and features the use of open source data. Among the statistical topics described in this book are: data visualization, descriptive measures, probability, probability distributions, the concept of mathematical...

Prof. Dr. Josef Bleymüller war Direktor des Instituts für Ökonometrie und Wirtschaftsstatistik der Universität Münster. Prof. Dr. Rafael Weissbach ist Inhaber des Lehrstuhls für Statistik und Ökonometrie an der Universität Rostock, an dem auch Dr. Achim Dörre als wissenschaftlicher...

Rezension (ekz): Eine nicht-technische Einführung in die Grundthemen der Statistik für Schüler, Studierende und Interessierte. Geht oft aus von realen Fragestellungen und entwickelt daran den Inhalt. Die Möglichkeit der Überprüfung der Stichhaltigkeit statistischer Daten wird ebenfalls...