𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Coefficient constancy test in AR-ARCH models

✍ Scribed by Jeongcheol Ha; Sangyeol Lee

Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
198 KB
Volume
57
Category
Article
ISSN
0167-7152

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Tests on the full size model arches in t
Tests on the full size model arches in the Franklin Institute Museum
✍ Frank N. Kneas πŸ“‚ Article πŸ“… 1935 πŸ› Elsevier Science 🌐 English βš– 836 KB

Some years ago, engineering thought tended toward staffcally determinate structures--toward three-hinged rather than toward hingeless arches. Today, that trend is largely reversed. Study of indeterminate structures by the use of models has grown rapidly. In line with this advance and contributing t

Non-parametric tests in AR models with a
Non-parametric tests in AR models with applications to climatic data
✍ Marc Hallin; Toufik Zahaf; Jana JurečkovΓ‘; Jaroslava Kalvova; Jan Picek πŸ“‚ Article πŸ“… 1997 πŸ› John Wiley and Sons 🌐 English βš– 158 KB

New non-parametric tests of the order of the autoregression in a time series model were recently developed by Hallin and JurecAE kovaΓ‚ . The main tool of these tests is the autoregression rank scores. After a brief description of the tests, their performance on simulated AR(1) time series is illustr

Testing for Granger (non-)causality in a
Testing for Granger (non-)causality in a time-varying coefficient VAR model
✍ Dimitris K. Christopoulos; Miguel A. LeΓ³n-Ledesma πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 156 KB

## Abstract In this paper we propose Granger (non‐)causality tests based on a VAR model allowing for time‐varying coefficients. The functional form of the time‐varying coefficients is a logistic smooth transition autoregressive (LSTAR) model using time as the transition variable. The model allows f