Results 181 to 190 of about 17,240 (299)

Explosive and periodically collapsing bubbles in emerging stockmarkets [PDF]

We detected bubbles in 22 emerging stockmarkets using both standard and threshold cointegration. Eighteen stockmarkets experienced explosive bubbles (and some of them periodically collapsing bubbles as well).
Mauricio Nunes, Sergio Da Silva
core  

Inference on the Attractor Space via Functional Approximation

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT This paper discusses semiparametric inference on hypotheses on the cointegration and the attractor spaces for I(1)$$ I(1) $$ linear processes with moderately large cross‐sectional dimension. The approach is based on sample canonical correlations and functional approximation of Brownian motions, and it can be applied both to the whole system ...
Massimo Franchi, Paolo Paruolo
wiley   +1 more source

Data-driven denoising in spinal cord fMRI with principal component analysis. [PDF]

Imaging Neurosci (Camb)
Hemmerling KJ, Vigotsky AD, Glanville C, Barry RL, Bright MG.   +4 more
europepmc   +1 more source

Cointegration in a MIDAS Regression

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT Mixed data sampling (MIDAS) cointegration models are used to analyse variables observed at different frequencies. In this paper, we start from an assumed autoregressive distributed lag (ADL) model for high‐frequency observations, and derive the resulting representation when the dependent variable is only observed at a lower frequency.
H. Peter Boswijk, Philip Hans Franses
wiley   +1 more source

SPARCC: Semi-Parametric Robust Estimation in a Right-Censored Covariate Model. [PDF]

J Am Stat Assoc
Lee SH, Richardson BD, Ma Y, Marder KS, Garcia TP.   +4 more
europepmc   +1 more source

Presence of nuisance parameters [PDF]

, 2006
openaire   +1 more source

Indirect Inference, Nuisance Parameter and Threshold Moving Average

We analyse the modifications that occur in indirect inference when a nuisance parameter is not identified under the null hypothesis. We develop a testing procedure adapted to this simulation based estimation method, and detail its use for detecting the ...
Alain Guay, Olivier Scaillet
core  

Least Trimmed Squares: Cointegration and Outliers

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT When applying the cointegrated autoregressive distributed lag model it is common to include indicator variables for outliers. This is often done in a somewhat ad hoc way. Least Trimmed Squares estimation provides a more systematic approach. This estimator is robust to a large number of outliers of many types.
Vanessa Berenguer‐Rico, Bent Nielsen
wiley   +1 more source

Reducing Differential Item Functioning via Process Data. [PDF]

Psychometrika
Chen L, Zhang S, Liu J.
europepmc   +1 more source

Inference on Common Trends in a Cointegrated Nonlinear SVAR

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT We consider the problem of performing inference on the number of common stochastic trends when data is generated by a cointegrated CKSVAR (a two‐regime, piecewise affine SVAR; Mavroeidis, 2021), using a modified version of the Breitung (2002) multivariate variance ratio test that is robust to the presence of nonlinear cointegration (of a known
James A. Duffy, Xiyu Jiao
wiley   +1 more source