Auflistung Schriftenreihen und Sammelbände nach Titel
Anzeige der Publikationen 4569-4588 von 5414
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1999-09-13BuchTesting for a Unit Root in a Time Series with a Level Shift at Unknown Time
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2023-01DiskussionspapierTesting for Differences in Survey-Based Density Expectations. A Compositional Data Approach We propose to treat survey-based density expectations as compositional data when testing either for heterogeneity in density forecasts across different groups of agents or for changes over time. Monte Carlo simulations ...
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2015-06-10DiskussionspapierTesting for Identificationin SVAR-GARCH Models Abstract Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case ...
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1998-11-01BuchTesting for Linear Autoregressive Dynamics under Heteroskedasticity One puzzling behavior of asset returns for various frequencies is the often observed positive autocorrelation at lag 1. To some extent this can be explained by standard asset pricing models when assuming time varying risk ...
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2017-01-13BuchTesting for Regional Convergence of Agricultural Land Prices The focus of this paper is on spatial market integration in agricultural land markets. We scrutinize the applicability of the law of one price to land markets and distinguish between absolute and relative versions of this ...
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2001-10-01BuchTesting for short and long-run causality: The case of the yield spread and economic growth
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1998-06-10BuchTesting for the Cointegrating Rank of a VAR Process with an Intercept Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius and others we also consider an alternative ...
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2006-09-11DiskussionspapierTesting for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated ...
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2001-09-05BuchTesting for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
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2001-07-23BuchTesting for the Cointegrating Rank of a VAR Process with Structural Shifts
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1999-02-26BuchTesting for Unit Roots in Time Series with Level Shifts Tests for unit roots in univariate time series with level shifts are proposed and investigated. The level shift is assumed to occur at a known time. It may be a simple one-time shift which can be captured by a dummy variable ...
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2002-09-01BuchTesting for Vector Autoregressive Dynamics under Heteroskedasticity
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2020-07DiskussionspapierTesting Investment Forecast Efficiency with Textual Data I use textual data to model German professional macroeconomic forecasters’ information sets and use machine-learning techniques to analyze the efficiency of forecasts. To this end, I extract information from forecast ...
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2017-02-28DiskussionspapierTesting Missing at Random using Instrumental Variables This paper proposes a test for missing at random (MAR). The MAR assumption is shown to be testable given instrumental variables which are independent of response given potential outcomes. A nonparametric testing procedure ...
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2015-03-30DiskussionspapierTesting Missing at Random using Instrumental Variables This paper proposes a test for missing at random (MAR). TheMARassumption is shown to be testable given instrumental variables which are independent of response given potential outcomes. A nonparametric testing procedure ...
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2008-01-07DiskussionspapierTesting Monotonicity of Pricing Kernels The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described by von Neumann and Morgenstern (1944) via a concave utility function, is considered to be a cornerstone ...
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2008-12-02DiskussionspapierTesting Multiplicative Error Models Using Conditional Moment Tests We suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean ...
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2005-09-30BuchTesting of Fractional Cointegration in Macroeconomic Time Series We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic time series. It is based on Robinson’s (1994) univariate tests and is similar in spirit to the one proposed by Engle and ...
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2005-09-16BuchTesting of Unit Roots and other Fractionally Integrated Hypotheses in the Presence of Structural Breaks Tests for unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article to the Nelson and Plosser’s (1982) series. The tests can be expressed in a way allowing for structural ...
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2005-09-29BuchTesting Stochastic Cycles in Macroeconomic Time Series A particular version of the tests of Robinson (1994) for testing stochastic cycles in macroeconomic time series is proposed in this article. The tests have a standard limit distribution and are easy to implement in raw ...