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Displaying results 1 to 12 of 12.

  1. Prognosegüte alternativer Frühindikatoren für die Konjunktur in Deutschland
    Author: Benner, Joachim; Meier, Carsten-Patrick
    Published: 2003
    Publisher:  Inst. für Weltwirtschaft, Kiel

  2. Prognosegüte alternativer Frühindikatoren für die Konjunktur in Deutschland
    Author: Benner, Joachim; Meier, Carsten-Patrick
    Published: 2003
    Publisher:  Kiel Institute for the World Economy (IfW), Kiel

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  3. Leading indicators of German business cycles : An assessment of properties
    Author: Fritsche, Ulrich; Stephan, Sabine
    Published: 2000
    Publisher:  Deutsches Institut für Wirtschaftsforschung (DIW), Berlin

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  4. Leading indicators of Euroland business cycles
    Author: Fritsche, Ulrich; Marklein, Felix
    Published: 2001
    Publisher:  Deutsches Institut für Wirtschaftsforschung (DIW), Berlin

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/18222
    RVK Categories: QB 910 ; QB 910
    DDC Categories: 330; 380; 650; 670
    Series: DIW Discussion Papers ; 238
    Subjects: Wirtschaftsindikator; Statistischer Test; Schätzung
    Other subjects: (stw)Wirtschaftsindikator; (stw)Eurozone; (stw)Statistischer Test; (stw)Schätzung; (stw)EU-Staaten; Konjunkturindikator (STW); Europäische Wirtschafts- und Währungsunion (STW); Statistischer Test (STW); Schätzung (STW); EU-Staaten (STW); Online-Publikation; Arbeitspapier; Arbeitspapier; Graue Literatur
    Scope: Online-Ressource
  5. Alternative measures of the explanatory power of multivariate probit models with continuous or ordinal responses
    Author: Spieß, Martin; Tutz, Gerhard
    Published: 2002
    Publisher:  Deutsches Institut für Wirtschaftsforschung (DIW), Berlin

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  6. Alternative measures of the explanatory power of multivariate probit models with continuous or ordinal responses
    Author: Spieß, Martin; Tutz, Gerhard
    Published: 2002
    Publisher:  DIW, Berlin

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  7. Leading indicators of German business cycles: an assessment of properties
    Author: Fritsche, Ulrich; Stephan, Sabine
    Published: 2000
    Publisher:  DIW, Berlin

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  8. Leading indicators of Euroland business cycles
    Author: Fritsche, Ulrich; Marklein, Felix
    Published: 2001
    Publisher:  DIW, Berlin

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910 ; QB 910
    DDC Categories: 330; 380; 650; 670
    Series: Diskussionspapiere / Deutsches Institut für Wirtschaftsforschung ; No. 238
    Subjects: Wirtschaftsindikator; Statistischer Test; Schätzung
    Other subjects: (stw)Wirtschaftsindikator; (stw)Eurozone; (stw)Statistischer Test; (stw)Schätzung; (stw)EU-Staaten; Konjunkturindikator (STW); Europäische Wirtschafts- und Währungsunion (STW); Statistischer Test (STW); Schätzung (STW); EU-Staaten (STW); Online-Publikation; Arbeitspapier; Arbeitspapier; Graue Literatur
    Scope: 31 S., graph. Darst., 30 cm
  9. Monitoring structural change in dynamic econometric models
    Published: 2002
    Publisher:  SFB 475, Universität Dortmund, Dortmund

    The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a monitoring situation – given a history period for which a... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 35 (2002,7)
    Inter-library loan:
    No inter-library loan

     

    The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a monitoring situation – given a history period for which a regression relationship is known to be stable, we test whether incoming data are consistent with the previously established relationship. Procedures based on estimates of the regression coefficients are extended in three directions: we introduce (a) procedures based on OLS residuals, (b) rescaled statistics and (c) alternative asymptotic boundaries. Compared to the existing tests our extensions offer better power against certain alternatives, improved size in finite samples for dynamic models and ease of computation respectively. We apply our methods to two data sets, German M1 money demand and U.S. labor productivity.

     
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    Content information
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/77098
    Series: [Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund ; 2002,07]
    Subjects: Zeitreihenanalyse; Strukturbruch; Statistischer Test; Kontrolle; Theorie; Deutschland; USA; Ökonometrisches Modell; Online monitoring; CUSUM; MOSUM; moving estimates; recursive estimates; Zeitreihenanalyse (STW); Strukturbruch (STW); Statistischer Test (STW); Kontrolle (STW); Theorie (STW); Deutschland (STW); USA (STW); Ökonometrisches Modell (STW)
    Scope: Online-Ressource (16 S.), graph. Darst.
  10. On the existence of moments
    With an application to German stock returns
    Author: Runde, Ralf; Scheffner, Axel
    Published: 1998
    Publisher:  SFB 475, Universität Dortmund, Dortmund

    Stock returns are often modeled as having infinite second or fourth moments with consequences for test statistics which have not yet been fully explored. Conclusions on the existence of moments are usually drawn from a generalized Pareto or simple... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 35 (1998,25)
    Inter-library loan:
    No inter-library loan

     

    Stock returns are often modeled as having infinite second or fourth moments with consequences for test statistics which have not yet been fully explored. Conclusions on the existence of moments are usually drawn from a generalized Pareto or simple Pareto tail index estimate. In a recent study McCulloch (1997) demonstrated that this estimator indicates distributions with even finite fourth moments, although the samples were drawn from infinite variance stable laws, which points out the doubtful role of the tail index estimate as evidence for the finiteness of moments. Based on an fQ-System for continuous unimodal distributions, introduced by Scheffner (1998) we derive an alternative condition for the existence of moments. An estimation algorithm for the fQ-parameters is proposed and an application to the 30 most busy German stocks shows that daily returns can be modeled as being at least approximately fQ-distributed with finite second moments.

     
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    Content information
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/77325
    Series: Technical Report / SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund ; 1998,25
    Subjects: Tail estimation; fQ-System; Distribution of stock returns; Kapitalertrag (STW); Börsenkurs (STW); Statistischer Test (STW); Theorie (STW); Deutschland (STW); Momentenmethode (STW)
    Scope: Online-Ressource (30 S.), graph. Darst.
  11. Testing for structural change in the presence of long memory
    Author: Krämer, Walter; Sibbertsen, Philipp
    Published: 2000
    Publisher:  SFB 475, Universität Dortmund, Dortmund

    We derive the limiting null distributions of the standard and OLS based CUSUM-tests for structural change of the coecients of a linear regression model in the context of long memory disturbances. We show that both tests behave fundamentally different... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 35 (2001,31)
    Inter-library loan:
    No inter-library loan

     

    We derive the limiting null distributions of the standard and OLS based CUSUM-tests for structural change of the coecients of a linear regression model in the context of long memory disturbances. We show that both tests behave fundamentally different in a long memory environment, as compared to short memory, and that long memory is easily mistaken for structural change when standard critical values are employed.

     
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    Content information
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/77279
    Edition: Version June 2000
    Series: [Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund ; 2000,31]
    Subjects: Zeitreihenanalyse; Strukturbruch; Statistischer Test; Theorie; CUSUM; Zeitreihenanalyse (STW); Strukturbruch (STW); Statistischer Test (STW); Theorie (STW)
    Scope: Online-Ressource (9 S.), graph. Darst.
  12. Testing and dating of structural changes in practice
    Published: 2002
    Publisher:  SFB 475, Universität Dortmund, Dortmund

    The paper presents an approach to the analysis of data that contains (multiple) structural changes in a linear regression setup. We implement various strategies which have been suggested in the literature for testing against structural changes as... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 35 (2002,39)
    Inter-library loan:
    No inter-library loan

     

    The paper presents an approach to the analysis of data that contains (multiple) structural changes in a linear regression setup. We implement various strategies which have been suggested in the literature for testing against structural changes as well as a dynamic programming algorithm for the dating of the breakpoints in the R statistical software package. Using historical data on Nile river discharges, road casualties in Great Britain and oil prices in Germany it is shown that changes in the mean of a time series as well as in the coefficients of a linear regression are easily matched with identifiable historical, political or economic events.

     
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    Content information
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/77199
    Series: [Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund ; 2002,39]
    Subjects: Zeitreihenanalyse; Strukturbruch; Statistischer Test; Theorie; structural change; changepoint problem; segmented regressions; R; S; Bellman principle; Zeitreihenanalyse (STW); Strukturbruch (STW); Statistischer Test (STW); Theorie (STW)
    Scope: Online-Ressource (18 S.), graph. Darst.