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2012-04-08Buch DOI: 10.18452/4406
Simultaneous Statistical Inference in Dynamic Factor Models
dc.contributor.authorDickhaus, Thorsten
dc.date.accessioned2017-06-16T00:39:44Z
dc.date.available2017-06-16T00:39:44Z
dc.date.created2012-05-10
dc.date.issued2012-04-08
dc.date.submitted2012-04-08
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5058
dc.description.abstractBased on the theory of multiple statistical hypothesis testing, we elaborate simultaneous statistical inference methods in dynamic factor models. In particular, we employ structural properties of multivariate chi-squared distributions in order to construct critical regions for vectors of likelihood ratio statistics in such models. In this, we make use of the asymptotic distribution of the vector of test statistics for large sample sizes, assuming that the model is identified and model restrictions are testable. Examples of important multiple test problems in dynamic factor models demonstrate the relevance of the proposed methods for practical applications.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectfamily-wise error rateeng
dc.subjectfalse discovery rateeng
dc.subjectlikelihood ratio statisticeng
dc.subjectmultiple hypothesis testingeng
dc.subjectmultivariate chi-squared distributioneng
dc.subjecttime series regressioneng
dc.subjectWald statisticeng
dc.subject.ddc330 Wirtschaft
dc.titleSimultaneous Statistical Inference in Dynamic Factor Models
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100201739
dc.identifier.doihttp://dx.doi.org/10.18452/4406
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages22
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2012
local.edoc.container-issue33
local.edoc.container-year2012
local.edoc.container-erstkatid2195055-6

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