Paper Search Console

Home Search Page About Contact

Journal Title

Title of Journal: Computational Statistics

Search In Journal Title:

Abbravation: Computational Statistics

Search In Journal Abbravation:

Publisher

Springer-Verlag

Search In Publisher:

DOI

10.1016/j.ab.2004.12.014

Search In DOI:

ISSN

1613-9658

Search In ISSN:
Search In Title Of Papers:

Determining Emphasis Type="Italic"p/Emphasisv

Authors: Carsten Trenkler
Publish Date: 2007/07/18
Volume: 23, Issue: 1, Pages: 19-39
PDF Link

Abstract

Following Doornik J Econ Surv 12573–593 1998 I present a procedure to approximate the asymptotic distributions of systems cointegration tests with a prior adjustment for deterministic terms suggested by Lütkepohl Econometrica 72647–662 2004 Saikkonen and Lütkepohl Econometric Theory 16373–406 2000a J Business Econ Stat 18451–464 2000b Time Series Anal 21435–456 2000c and Saikkonen and Luukkonen J Econ 8193–126 1997 These tests rely upon different assumptions as to the inclusion of deterministic components such as a constant a linear trend or a level shift The asymptotic distributions which are functions of Brownian motions are approximated by Gamma distributions Only estimates of the mean and variance of the asymptotic test distributions are needed to fit the Gamma distributions Such estimates are obtained from response surfaces The required coefficients to compute the asymptotic moments are presented in this paper Via the fitted Gamma distributions one can then easily derive pvalues or arbitrary percentiles

Keywords:

References

.
Search In Abstract Of Papers:
Other Papers In This Journal:
  1. Bayesian lasso binary quantile regression
  2. GEVA: geometric variability-based approaches for identifying patterns in data
  3. A note on the prior parameter choice in finite mixture models of distributions from exponential families
  4. Learning vector quantization classifiers for ROC-optimization
  5. Parameter cascades and profiling in functional data analysis
  6. Confidence intervals for the regression parameter based on weighted log-rank estimating functions
  7. Biomarker discovery: classification using pooled samples
  8. Bayesian model selection approach to the one way analysis of variance under homoscedasticity
  9. Improving efficiency of data augmentation algorithms using Peskun’s theorem
  10. Multivariate elliptically contoured stable distributions: theory and estimation
  11. Implied Trinomial Trees and Their Implementation with XploRe
  12. On testing the log-gamma distribution hypothesis by bootstrap
  13. Bayesian model-based tight clustering for time course data
  14. Smoothing combined generalized estimating equations in quantile partially linear additive models with longitudinal data
  15. A generalized log-normal distribution and its goodness of fit to censored data
  16. A primer on disease mapping and ecological regression using $${\texttt{INLA}}$$
  17. The Monte Carlo EM method for estimating multinomial probit latent variable models
  18. Integrated likelihood computation methods
Search Result: