ALBERT

All Library Books, journals and Electronic Records Telegrafenberg

Your email was sent successfully. Check your inbox.

An error occurred while sending the email. Please try again.

Proceed reservation?

Export
Filter
  • C14  (12)
Collection
Keywords
Publisher
Years
  • 1
    ISSN: 1435-8921
    Keywords: C14 ; E37
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In this paper we compared the nonparametric kernel estimates and the ARIMA estimates of Canadian inflationary expectations. The kernel estimates turned out to be superior with respect to post-sample predictions irrespective of the method used for selecting the bandwidth.
    Type of Medium: Electronic Resource
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
  • 2
    ISSN: 1435-8921
    Keywords: E43 ; C14
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Recent research has examined apparent deviations from the expectations theory of the term structure detectable in regression tests, which may be interpreted as efficiency tests. Efficiency is rejected in many studies. Inference is complicated, however, by the non-normality of regression residuals, invalidating standard parametric test procedures. The present paper examines these rejections using robust diagnostic methods and non-parametric tests. We find some evidence against the expectations theory of the term structure in U.S. data, but not in Canadian. We also investigate the possible explanation of a link between forecast error and the yield spread through models of time-variation in the liquidity premium.
    Type of Medium: Electronic Resource
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
  • 3
    ISSN: 1435-8921
    Keywords: Innovative activity ; Nadaraya-Watson estimator ; partially linear model ; cross-validation ; wild bootstrap ; C14 ; L11
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper analyses the Schumpeterian link between innovative activity and firm size by means of the nonparametric Nadaraya-Watson estimator and of the partially linear approach by Speckman. Four data sets referring to the manufacturing industries of three European countries are available for the analysis. We demonstrate how nonparametric methods can produce more reliable conclusions than conventional methods. For this purpose, the roles of bandwidth choice, wild bootstrap, density estimation and trimming are studied. For the German data set of 1984 and for the French data set we find that small firms and large firms are more innovative than firms of intermediate size while the relation is rather hump-shaped for Germany 1989 and decreasing for Belgium. Including an additional parametric component into the estimations based on the French data contributes considerably to the explanation of innovative activity without affecting the U-shaped link between innovation and firm size.
    Type of Medium: Electronic Resource
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
  • 4
    ISSN: 1435-8921
    Keywords: Forecasting nonlinear time series ; detection of low-dimensional chaos in time series ; phase space embedding, nearest neighbor prediction ; evaluation of out-of-sample forecasts by means of nonparametric testing ; agricultural price series ; C14 ; C22
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper is based on a recent nonparametric forecasting approach by Sugihara, Grenfell and May (1990) to improve the short term prediction of nonlinear chaotic processes. The idea underlying their forecasting algorithm is as follows: For a nonlinear low-dimensional process, a state space reconstruction of the observed time series exhibits “spatial” correlation, which can be exploited to improveshort term forecasts by means of locally linear approximations. Still, the important question of evaluating the forecast perfomance is very much an open one, if the researcher is confronted with data that are additionally disturbed by stochastic noise. To account for this problem, a simple nonparametric test to accompany the algorithm is suggested here. To demonstrate its practical use, the methodology is applied to observed price series from commodity markets. It can be shown that the short term predictability of the best fitting linear model can be improved upon significantly by this method.
    Type of Medium: Electronic Resource
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
  • 5
    Electronic Resource
    Electronic Resource
    Springer
    Empirical economics 22 (1997), S. 247-271 
    ISSN: 1435-8921
    Keywords: trimmed whittle likelihood ; GPH ; modified rescaled range ; GHURST ; exchange rates ; conditional heteroscedasticity ; t-distributions ; C14 ; G15
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The finite sample properties of three semiparametric estimators, several versions of the modified rescaled range, MRR, and three versions of the GHURST estimator are investigated. Their power and size for testing for long memory under short-run effects, joint short and long-run effects, heteroscedasticity andt-distributions are given using Monte Carlo methods. The MRR with the Bartlett window is generally robust with the disadvantage of a relatively small power. The trimmed Whittle likelihood has high power in general and is robust except for large short-run effects. The tests are applied to changes in exchange rate series (daily data) of 6 major countries. The hypothesis of no fractional integration is rejected for none of the series.
    Type of Medium: Electronic Resource
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
  • 6
    ISSN: 1435-8921
    Keywords: C22 ; C14 ; E32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The “shock persistance” of Finnish adjusted quarterly real GNP series in logarithms from 1954/QI to 1990/QIV is analyzed using variance ratio estimators. The results indicate that the random walk component of the series is not big. The small sample properties of variance ratio estimators are studied using empirical distribution derived from simulations. The persistence measures calculated via the ARIMA modelling of the lnGNPt series are biased upwards. The sampling properties show that the simple random walk model is not an alternative model for the lnGNP. A trend stationary alternative, an AR(2) process, gives almost the same “shock persistence” measures as the assumed unit root processes.
    Type of Medium: Electronic Resource
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
  • 7
    ISSN: 1435-8921
    Keywords: C14 ; D24 ; C15
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper investigates the performance of a bootstrapping enhanced DEA to measure the relative structural efficiency of unbalanced subsamples. Although this issue plays an important role in applied DEA, it is often ignored, resulting in misleading conclusions concerning relative efficiency. It is shown, that a reasampling approach to DEA can cope with this problem and also allows the use of pooled samples. The distribution of a statistic to test the hypotheses of equal structural efficiency is derived from Monte Carlo simulations and compared with the corresponding statistic calculated from standard DEA results. While the resampling variant of DEA justifies the use of the normal approximation, this is not the case for standard DEA.
    Type of Medium: Electronic Resource
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
  • 8
    ISSN: 1435-8921
    Keywords: C13 ; C14 ; C42 ; C63 ; C81 ; D31 ; D63 ; J11
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper examines how the distribution of household wealth in Canada varies with age over the life cycle. The wealth distribution is characterized in terms of decile means and decile shares for each of six age groups, and comparisons between age-specific distributions are based on first-and second-order stochastic dominance criteria. It is found that (i) mean wealth levels and wealth distributions increase significantly with age in concave quadratic fashion until near-retirement and then decline, and (ii) wealth inequality declines in convex fashion with age, at first steeply and then not significantly. This joint pattern in mean and inequality of wealth holdings across age groups presents a challenge for basic theories to explain.
    Type of Medium: Electronic Resource
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
  • 9
    ISSN: 1435-8921
    Keywords: Substitution and expansion effects ; Nonparametric measurement ; Directional cosine ; C14 ; C15 ; D24
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract A simple framework is developed for measuring input substitution and output expansion effects. These measures are nonparametric in the sense that specification and/or estimation of any parametric functions are not resquired. Monte Carlo experiments performed in the paper demonstrate the superiority of the proposed approach. An empirical application to Japanese manufacturing data yields results which satisfy a priori expectations.
    Type of Medium: Electronic Resource
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
  • 10
    ISSN: 1435-8921
    Keywords: Stock market volatility ; option trading ; Deutsche Terminbörse ; nonparametric tests ; stochastic dominance ; G14 ; C14
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The effects of option trading at the DTB on the variance of the underlying stocks are examined. We use a new distribution free test being based on the empirical distribution functions. The evidence indicates that stock return variance increased after the introduction of the DTB. This effect can be partly explained by the strong increase in trading volume for option listed stocks. Our results stand in stark contrast to prior studies of both American and European financial markets.
    Type of Medium: Electronic Resource
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
Close ⊗
This website uses cookies and the analysis tool Matomo. More information can be found here...