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Testing Under Non Standard Conditions In Frequency Domain
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Book Synopsis Testing Under Non-standard Conditions in Frequency Domain by : Fangxiong Gong
Download or read book Testing Under Non-standard Conditions in Frequency Domain written by Fangxiong Gong and published by . This book was released on 1997 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: "We propose two test statistics in the frequency domain and derive their exact asymptotic null distributions under the condition of unidentified nuisance parameters. The proposed methods are particularly applicable in unobserved components models. Also, it is shown that the tests have considerable power when applied to a class of Markov regime switching models. We show that, after transforming the Markov regime switching model into the frequency domain representation we only have to face the issue of unidentified nuisance parameters in a nonlinear context. The singularity problem disappears. Compared to Hansen's (1992, 1996) LR-bound test of the same Markov regime switching model, our LM test performs better in terms of finite sample power, except in the special case of the Markov switching model in which the model becomes a Normal mixture model. Our test needs only a one-dimensional grid search while Hansen's (1992, 1996) test requires a three-dimensional grid search. The LM test is applied to Markov regime switching models of exchange rates and the Federal Funds rate. We used the same exchange rates data in Engel and Hamilton (1990). The null of random walk is not rejected in the exchange rates model. The null is rejected for the Federal Funds rate in subsample periods 1955:1-1979:9 and 1982:10-1995:11"--Abstract.
Book Synopsis Testing Under Non-Standard Conditions in Frequency Domain by : Roberto S. Mariano
Download or read book Testing Under Non-Standard Conditions in Frequency Domain written by Roberto S. Mariano and published by . This book was released on 2006 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose two test statistics in the frequency domain and derive their exact asymptotic null distributions under the condition of unidentified nuisance parameters. The proposed methods are particularly applicable in unobserved components models. Also, it is shown that the tests have considerable power when applied to a class of Markov regime switching models. We show that, after transforming the Markov regime switching model into the frequency domain representation we only have to face the issue of unidentified nuisance parameters in a nonlinear context. The singularity problem disappears. Compared to Hansen's (1992, 1996) LR-bound test of the same Markov regime switching model, our LM test performs better in terms of finite sample power, except in the special case of the Markov switching model in which the model becomes a Normal mixture model. Our test needs only a one-dimensional grid search while Hansen's (1992, 1996) test requires a three-dimensional grid search. The LM test is applied to Markov regime switching models of exchange rates and the Federal Funds rate. We used the same exchange rates data in Engel and Hamilton (1990). The null of random walk is not rejected in the exchange rates model. The null is rejected for the Federal Funds rate in subsample periods 1955:1-1979:9 and 1982:10-1995:11.
Book Synopsis Hidden Markov Models in Finance by : Rogemar S. Mamon
Download or read book Hidden Markov Models in Finance written by Rogemar S. Mamon and published by Springer Science & Business Media. This book was released on 2007-04-26 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to specialized financial problems: option pricing, credit risk modeling, volatility estimation and more. The book provides tools for sorting through turbulence, volatility, emotion, chaotic events – the random "noise" of financial markets – to analyze core components.
Book Synopsis Diagnostic Methods in Time Series by : Fumiya Akashi
Download or read book Diagnostic Methods in Time Series written by Fumiya Akashi and published by Springer Nature. This book was released on 2021-06-08 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains new aspects of model diagnostics in time series analysis, including variable selection problems and higher-order asymptotics of tests. This is the first book to cover systematic approaches and widely applicable results for nonstandard models including infinite variance processes. The book begins by introducing a unified view of a portmanteau-type test based on a likelihood ratio test, useful to test general parametric hypotheses inherent in statistical models. The conditions for the limit distribution of portmanteau-type tests to be asymptotically pivotal are given under general settings, and very clear implications for the relationships between the parameter of interest and the nuisance parameter are elucidated in terms of Fisher-information matrices. A robust testing procedure against heavy-tailed time series models is also constructed in the context of variable selection problems. The setting is very reasonable in the context of financial data analysis and econometrics, and the result is applicable to causality tests of heavy-tailed time series models. In the last two sections, Bartlett-type adjustments for a class of test statistics are discussed when the parameter of interest is on the boundary of the parameter space. A nonlinear adjustment procedure is proposed for a broad range of test statistics including the likelihood ratio, Wald and score statistics.
Book Synopsis Early Warning Systems by : Mr.Abdul Abiad
Download or read book Early Warning Systems written by Mr.Abdul Abiad and published by International Monetary Fund. This book was released on 2003-02-01 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize information contained in exchange rate dynamics. The model is estimated using data for the period 1972-99 for the Asian crisis countries, taking a country-by-country approach. The model outperforms standard EWSs, both in signaling crises and reducing false alarms. Two lessons emerge. First, accounting for the dynamics of exchange rates is important. Second, different indicators matter for different countries, suggesting that the assumption of parameter constancy underlying panel estimates of EWSs may contribute to poor performance.
Book Synopsis Journal of International Money and Finance by :
Download or read book Journal of International Money and Finance written by and published by . This book was released on 2001 with total page 1112 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Journal of Research of the National Bureau of Standards by : United States. National Bureau of Standards
Download or read book Journal of Research of the National Bureau of Standards written by United States. National Bureau of Standards and published by . This book was released on 1988 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis 1996 IEEE Instrumentation and Measurement Technology Conference by :
Download or read book 1996 IEEE Instrumentation and Measurement Technology Conference written by and published by . This book was released on 1996 with total page 848 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Scientific and Technical Aerospace Reports by :
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1995 with total page 704 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Fed in Print written by and published by . This book was released on 1997 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Contents of Recent Economics Journals by :
Download or read book Contents of Recent Economics Journals written by and published by . This book was released on 1997-12-19 with total page 644 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Durability of Bridge Structures by : Khaled Mahmoud
Download or read book Durability of Bridge Structures written by Khaled Mahmoud and published by CRC Press. This book was released on 2013-09-12 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: On Thursday evening, May 23, 2013, the Interstate 5 Bridge over the Skagit River in Washington state collapsed due to impact by an oversize truck, dumping vehicles and people into the water. Fortunately, the bridge is located in a rural area and nobody was killed in the accident, but three people were rescued after their cars plunged into the frigid water of the Skagit River. According to Washington state officials, the bridge was inspected last year and was not structurally deficient, but collapsed because of apparent impact from an oversize truck. Nevertheless, the collapse of the steel truss bridge renewed appeals for greater investment in the nation’s aging infrastructure. These appeals are echoed throughout the bridge engineering community worldwide, as the condition of deteriorated bridges worsens with increasing traffic loads combined with lack of proper maintenance. Bridge engineers from different countries shared their experience toward achieving durable bridge structures, during the 7th New York City Bridge Conference, held on August 26-27, 2013. This book contains select papers that were presented at the conference. These peer-reviewed papers are valuable contributions and of archival quality in bridge engineering.
Download or read book Research Update written by and published by . This book was released on 1977 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Economic Policy Review written by and published by . This book was released on 1997 with total page 722 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Journal of Research of the National Bureau of Standards by :
Download or read book Journal of Research of the National Bureau of Standards written by and published by . This book was released on 1976 with total page 1270 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Recent Awards in Engineering written by and published by . This book was released on 1983 with total page 986 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Polymer Rheology '99 written by and published by iSmithers Rapra Publishing. This book was released on 1999 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:
