Browsing Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 by Title
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20020603BuchA Monte Carlo Study of Structural Equation Modelsfor Finite Mixtures Empirical applications of structural equation modeling (SEM) typically rest on the assumption that the analysed sample is homogenous with respect to the underlying structural model or that homogenous subsamples have been ...

20060609BuchA Nonparametric Analysis of Regional Unemployment Dynamics in Britain This paper estimates the probability distribution of relative county unemployment in Britain for the years 19811995. We find that the distribution is unimodal in all years, with a falling variance between 1989 and 1994. ...

20010605BuchA Nonparametric Regression Estimator that Adapts to Error Distribution of unknown Form

20060202BuchA Nonparametric Test for the Stationary Density We propose a nonparametric test for checking parametric hypotheses about the stationary density of weakly dependent observations. The test statistic is based on the L2distance between a nonparametric and a smoothed version ...

20060202BuchA nonparametric test of the nonconvexity of regression This paper proposes a nonparametric test of the nonconvexity of a smooth regression function based on least squares or hybrid splines. By a simple formulation of the convexity hypothesis in the class of all polynomial ...

20060202BuchA Note on Limit Theorems for Multivariate Martingales Multivariate versions of the law of large numbers and the central limit theorem for martingales are given in a generality that is often necessary when studying statistical inference for stochastic process models. To ...

20051020BuchA Note on Optimal Stopping in Models with Delay We consider an optimal stopping problem in a certain model described by a stochastic delay differential equation. We reduce the initial problem to a freeboundary problem of parabolic type and prove the corresponding ...

19971213BuchA Note on Stochastic Volatility, GARCH models, and Hyperbolic Distributions We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock ...

20060602BuchA Note on the Email Game Bounded Rationality and Induction

20020114BuchA parametric approach to the estimation of cointegration vectors in panel data In this paper a parametric framework for stimation and inference in cointegrated panel data models is considered that is based on a cointegrated VAR(p) model. A convenient twostep estimator is uggested where in the first ...

20051017BuchA Procedural and ObjectOriented Statistical Language

19980625BuchA psychological approach to individual differences in intertemporal consumption patterns When people decide about saving and consumption across the various periods of their life time they take into account their life expectancy when comparing present and future needs and resources for satisfying them. The ...

19981020BuchA Review of systemscointegration tests

19980601BuchA SealedBid Auction that Matches the English Auction This paper analyzes a twostage sealedbid auction that is frequently employed in privatization, takeover, and merger and acquisition contests. This auction format yields the same expected revenue as the open ascending ...

20051010BuchA simple state space model of house prices

19990201BuchA simple variable selection technique for nonlinear models Applying nonparametric variable selection criteria in nonlinear regression models generally requires a substantial computational effort if the data set is large. In this paper we present a selection technique that is ...

20010801BuchA State Space Model For Berlin House Prices How risky are investments in residential real estate? To answer this question, information is needed about the behavior of house prices. The hedonic methodology has become a standard approach for modelling the prices of ...

20011127BuchA Stochastic Representation Theorem with Applications to Optimization and Obstacle Problems We study a new type of representation problem for optional processes with connections to singular control, optimal stopping and dynamic allocation problems. As an application, we show how to solve a variant of Skorohod's ...

20050921BuchA time series analysis system using visual operations

20051017BuchAbout Sense and Nonsense of Non and Semiparametric Analysis in Applied Econometrics