Structural Changes and their Econometric Modeling

Name: Structural Changes and their Econometric Modeling
Brand: Springer
Price: 213.99 EUR
Availability: OnlineOnly

Vladik Kreinovich Songsak Sriboonchitta(Editor)

Springer (Publisher)

Published on 24. November 2018

X, 776 pages

E-Book

PDF with digital watermarking

System requirements

978-3-030-04263-9 (ISBN)

€213.99incl. 7% vat

System requirements

for PDF with digital watermarking

E-Book Single Licence

Available for download

Description

More details

Other editions

Content

Intro
Contents
General Theory
The Replacement for Hypothesis Testing
1 The Nature of Testing
2 Predictive Assessment
3 Examples
3.1 Example 1: Product Placement Recall
3.2 Example 2: Professor's Salaries
4 The Conclusion Lies in Verification
References
On Quantum Probability Calculus for Modeling Economic Decisions
1 Introduction
2 Some Violations of Expected Utility
3 Some Nonadditive Probabilities
4 Some Facts from Psychology
5 How to Construct a Noncommutative Probability Calculus?
6 Towards Quantum Decision and Economic Models
References
My Ban on Null Hypothesis Significance Testing and Confidence Intervals
Abstract
1 Confidence Intervals: The Usual Alternative to NHST
2 Conclusion
References
Kalman Filter and Structural Change Revisited: An Application to Foreign Trade-Economic Growth Nexus
1 Introduction
2 State Space Model and the Kalman Filter
3 Model Specification
4 Model Estimation and Results
5 Detection of Outliers and Structural Breaks
5.1 Model Diagnostics Results
6 Conclusions
References
Statisticians Should Not Tell Scientists What to Think
1 Themes in the Application of Statistics to Science
2 Schools of Thought in Probability and Statistics
3 Probability as Degree of Belief: Dutch Book Arguments
3.1 The House and Your Contract with It
3.2 Have You Been Rational?
3.3 Dutch Book Treatment of Conditional Probability
3.4 The Dutch Book Treatment of Belief Updating
3.5 Epistemic Bayesianism
4 Probability in the Pragmatic Bayesian School of Statistics
5 Models as Hypotheses About Natural Mechanisms
5.1 Natural Mechanisms
5.2 Probability as a Description of Natural Variability
6 Models as Mimics of Natural Mechanisms
6.1 At Best, Models only Approximate Natural Mechanisms
6.2 Overview of Mimetic Modeling
6.3 Parameters in Mimetic Modeling
6.4 Model Checking and Modification
7 ``Dictatorial Statistics'': Its Avoidance via Mimetic Modeling
8 A Final Word
References
Bayesian Modelling Structural Changes on Housing Price Dynamics
1 Introduction
2 The Structure Change Model
3 Bayesian Inference
4 Data Description
5 Results and Discussions
6 Conclusion
References
Cumulative Residual Entropy-Based Goodness of Fit Test for Location-Scale Time Series Model
1 Introduction
2 Cumulative Residual Entropy Test
3 Location-Scale Time Series Model
4 Simulation Study
5 Concluding Remarks
References
The Quantum Formalism in Social Science: A Brief Excursion
1 Introduction
2 What is NOT Implied with the Use of the Quantum Formalism?
3 Very Basic Elements of the Quantum Formalism
4 Some Applications
4.1 Arbitrage/non Arbitrage
4.2 Value Versus Price and Pricing Rules
4.3 Decision Making
5 Time Asymmetries and Memory
References
How Annualized Wavelet Trading ``Beats'' the Market
1 Introduction
2 Stock Trading
3 The Website
4 Sharpe Ratios
5 Performance of WT on Historical Data
6 Fitting a GBM to Historical Data
7 Simulation Using the Website
8 Graphs
9 Theory Behind WT's Strategy
10 Discussion
References
Flexible Constructions for Bivariate Copulas Emphasizing Local Dependence
1 Introduction
2 Preliminaries
3 Main Results
3.1 A Flexible Construction and Its Properties
3.2 A Probabilistic Interpretation of the Construction
3.3 Best-Possible Bounds for the Construction
4 Conclusions
References
Desired Sample Size for Estimating the Skewness Under Skew Normal Settings
1 Introduction
2 Some Properties of the Skew Normal Distribution
3 The Sample Size Needed for a Given Sampling Precision
3.1 The Sample Size Needed for a Given Sampling Precision with Known 2
3.2 The Sample Size Needed for a Given Sampling Precision with Unknown 2
4 The Simulation Work
5 An Example with Real Data
References
Why the Best Predictive Models Are Often Different from the Best Explanatory Models: A Theoretical Explanation
1 Formulation of the Problem
2 Towards Formal (Precise) Definitions: Analysis of the Problem
3 Main Result: Formulation and Discussion
4 Proofs
References
Algorithmic Need for Subcopulas
1 Formulation of the Problem
2 What Is Computable: A Brief Reminder
3 Main Results and Their Proofs
References
How to Take Expert Uncertainty into Account: Economic Approach Illustrated by Pavement Engineering Applications
1 Formulation of the Problem
2 Traditional Approach to Transforming Expert Opinion into a Numerical Estimate: A Brief Reminder
3 How to Estimate the Economic Consequences of Selecting an Estimate: On the Example of Pavement Engineering
4 Towards Economically Optimal Estimates
References
Quantum Approach Explains the Need for Expert Knowledge: On the Example of Econometrics
1 Formulation of the Problem
2 Quantum Equations and Quantum Computing: Brief Reminder
3 How Quantum Computers Achieve Their Speedup and How This Explains the Need for Imprecise Expert Knowledge
References
Applications
Monetary Policy Shocks and Macroeconomic Variables: Evidence from Thailand
1 Introduction
2 Literature Review
2.1 Background of Thailand Monetary Policy
2.2 Related Literature
3 Methodology
3.1 Interrelations Among the Interest Rate, Monetary Aggregate, Real Output, Price Level, Exchange Rate and Trade Balance
3.2 An SVEC Model Specification and Identification of Monetary Policy Shocks
3.3 The Data Sources and Definitions
3.4 Unit Root Test and Cointegration Analysis
4 Empirical Results
4.1 Impulse Response Functions
4.2 Forecast Error Variance Decompositions
5 Conclusions and Policy Implications
References
Thailand's Household Income Inequality Revisited: Evidence from Decomposition Approaches
1 Introduction
2 Methodology and Data
2.1 Generalized Entropy Inequality Measurement
2.2 Decomposition by Sources
2.3 Decomposition by Subgroup
2.4 Regression-Based Decomposition
2.5 Analysis Process and Data
3 Empirical Results
3.1 Income Inequality by Industry Subgroup
3.2 Income Inequality Decomposed by Household Characteristics
4 Conclusion and Policy Implication
References
Simultaneous Confidence Intervals for All Differences of Variances of Log-Normal Distributions
1 Introduction
2 Simultaneous Confidence Intervals
2.1 Generalized Confidence Interval Approach
2.2 Simulation-Based Approach
3 Simulation Studies
4 An Empirical Application
5 Discussion and Conclusions
References
Confidence Intervals for the Inverse Mean and Difference of Inverse Means of Normal Distributions with Unknown Coefficients of Variation
1 Introduction
2 Confidence Intervals for the Inverse Mean of Normal Distribution with Unknown Coefficient of Variation
2.1 Generalized Confidence Interval for the Inverse Mean of Normal Distribution with Unknown Coefficient of Variation
2.2 Large Sample Confidence Interval for the Inverse Mean of Normal Distribution with Unknown Coefficient of Variation
3 Confidence Intervals for the Difference of Inverse Means of Normal Distributions with Unknown Coefficients of Variation
3.1 Generalized Confidence Interval for the Difference of Inverse Means of Normal Distributions with Unknown Coefficients of Variation
3.2 Large Sample Confidence Interval for the Difference of Inverse Means of Normal Distributions with Unknown Coefficients of Variation
3.3 Method of Variance Estimates Recovery Confidence Interval for the Difference of Inverse Means of Normal Distributions with Unknown Coefficients of Variation
4 Simulation Studies
5 An Empirical Application
6 Discussion and Conclusions
References
Confidence Intervals for the Mean of Delta-Lognormal Distribution
1 Introduction
2 Methods
2.1 The Generalized Confidence Interval
2.2 The Method of Variance Estimates Recovery
3 Simulation Studies
4 An Empirical Application
5 Discussion and Conclusion
References
The Interaction Between Fiscal Policy, Macroprudential Policy and Financial Stability in Vietnam-An Application of Structural Equation Modeling
1 Introduction
2 Theoretical Background
2.1 Financial Stability
2.2 Fiscal Policy and Macroprudential Policy
2.3 Interaction Between Fiscal Policy and Macroprudential Policy
3 Data and Research Methodology
4 Results
4.1 Descriptive Statistics
4.2 Interaction Between Fiscal and Macroprudential Policies in the National Objective of Financial Stability
5 Conclusion
References
Using Confirmation Factor Analysis to Construct a Financial Stability Index for Vietnam
1 Introduction
2 Theoretical Background
3 Data and Research Methodology
4 Results
4.1 Financial Development Index
4.2 Financial Fragility Index
4.3 Solvency Index
4.4 Aggregate Financial Stability Index
5 Conclusion
References
Mercury Retrograde and Stock Market Returns in Vietnam
1 Introduction
2 Literature Review
2.1 Astrology
2.2 Financial Astrology
2.3 Related Studies
3 Data and Methodology
3.1 Data
3.2 Methodology
4 Empirical Results
4.1 Test of Stationarity
4.2 Test of ARCH Effect
4.3 Estimated Result for AR(1)-TGARCH(1,1) Model
5 Conclusion
References
Modeling Persistent and Periodic Weekly Rainfall in an Environment of an Emerging Sri Lankan Economy
1 Introduction
2 Literature Related to Long Memory Models
3 SARFIMA Long Memory Model
4 Results of Monte Carlo Simulation
5 Application for Real Data
5.1 Description of Dataset
5.2 Model Development
6 Conclusion
References
Value at Risk of SET Returns Based on Bayesian Markov-Switching GARCH Approach
1 Introduction
2 Methodology
2.1 GRACH Models
2.2 Markov-Switching GARCH Models
2.3 Model Estimation by Bayesian Technique
2.4 Forecast of Value at Risk (VaR)
3 Data and Empirical Results
3.1 Data and Descriptive Statistics
3.2 Empirical Result
3.3 Backtesting VaR
4 Conclusions
References
Benfordness of Chains of Truncated Beta Distributions via a Piecewise Constant Approximation
1 Introduction
2 Preliminaries
3 Chains of Truncated `3´9`42`"?613A``45`47`"603APCB and Beta Distributions
3.1 Distribution of the Mantissa and Gamma Distribution
3.2 Piecewise Constant Beta Distribution
3.3 Beta Distribution
4 Concluding Remarks
References
Confidence Intervals for Coefficient of Variation of Three Parameters Delta-Lognormal Distribution
1 Introduction
2 Confidence Intervals Construction
2.1 The Generalized Fiducial Interval for Coefficient of Variation
2.2 The Method of Variance Estimates Recovery for Coefficient of Variation
3 Simulation Studies
4 An Empirical Study
5 Conclusions
References
Confidence Intervals for Difference Between Means and Ratio of Means of Weibull Distribution
1 Introduction
2 Confidence Intervals for the Difference Between Means
2.1 The Generalized Confidence Interval for the Difference Between Means
2.2 The Method of Variance Estimates Recovery for the Difference Between Means
3 Confidence Intervals for the Ratio of Means
3.1 The Generalized Confidence Interval for the Ratio of Means
3.2 The Method of Variance Estimates Recovery for the Ratio of Means
4 Simulation Studies
5 Applications
6 Conclusions
References
Trading Signal Analysis with Pairs Trading Strategy in the Stock Exchange of Thailand
1 Introduction
2 Methodology
2.1 Markov-Switching GARCH Models
2.2 The Maximum Likelihood Estimation
2.3 Pair Trading Procedure
3 Empirical Results
3.1 Data Description
3.2 Pairs Selection
3.3 The Estimation Results of Markov-Switching GARCH Model
3.4 Pair Trading Strategy
4 Conclusion
References
Technical Efficiency Analysis of Tourism and Logistics in ASEAN: Comparing Bootstrapping DEA and Stochastic Frontier Analysis Based Decision on Copula Approach
Abstract
1 Introduction
2 Literature Reviews
3 Data and Methodology
3.1 ADF Bayesian Unit-Root Test
3.2 DEA and Panel DEA
3.3 Bootstrapping Approach
3.4 DEA and Bootstrapping
3.5 Stochastic Frontier Analysis (SFA) Model
3.6 Copula Model
3.7 T-Copula Model
3.8 Clayton Copula Model
4 Findings
4.1 ADF Bayesian Unit Root Test
4.2 Technical Efficiency
4.3 Copulas Method
5 Conclusion
Appendix a
References
Estimating the Difference in the Percentiles of Two Delta-Lognormal Independent Populations
1 Introduction
2 The Confidence Interval for the Difference in the Percentiles of Two Delta-Lognormal Independent Populations
3 Simulation Results
4 An Empirical Application
5 Discussion and Conclusions
References
Impacts of Global Market Volatility and US Dollar on Agricultural Commodity Futures Prices: A Panel Cointegration Approach
1 Introduction
2 Literature Review
3 Data and Econometric Methodology
3.1 Panel Unit Root Test
3.2 Panel Cointegration Test
3.3 Panel Model Estimation
3.4 Minimum Bayes' Factor
4 Empirical Results
4.1 Panel Unit Root Tests
4.2 Panel Cointegration Tests
4.3 Panel Model Estimation
5 Conclusions
References
An Analysis of the Impact of the Digital Economy on Change in Thailand's Economic Trends Using Dynamic Stochastic General Equilibrium (DSGE)
1 Introduction
2 Literature Review
3 Methodology
3.1 Dynamic Stochastic General Equilibrium (DSGE)
3.2 Bayesian Linear Regression Approach
4 Empirical Results
4.1 Data Description
4.2 Estimated Result
5 Conclusion
References
A Regime Switching Skew-Distribution Model of Contagion
1 Introduction
2 Methodology
2.1 Multivariate Skewed Distribution
2.2 Multivariate Markov Switching Skewed Distribution
2.3 Testing for Nonlinearity and Contagion Effects
3 Data Description
4 Empirical Results
4.1 Model Selection
4.2 Estimated Results
5 Conclusion
References
Structural Breaks Dependence Analysis of Oil, Natural Gas, and Heating Oil: A Vine-Copula Approach
1 Introduction
2 Methodology
2.1 Generalized Autoregressive Conditional Heteroskedasticity
2.2 Pair-Copula Construction (Vine Copula)
3 Data and Results
3.1 Data Description
3.2 ARMA-GARCH Marginal Distribution
3.3 Vine Copula
3.4 Structural Change
4 Conclusions
References
Markov Switching Constant Conditional Correlation GARCH Models for Hedging on Gold and Crude Oil
1 Introduction
2 Methodology
2.1 The Hedging Ratio Models
2.2 MS-CCC-GARCH (1,1) Model
3 Data
4 Empirical Results
4.1 Model Selection
4.2 Estimation of MS-CCC-GARCH (1,1) Model
5 Conclusion
References
Portfolio Optimization of Stock, Oil and Gold Returns: A Mixed Copula-Based Approach
1 Introduction
2 Methods and Procedures
2.1 Basic Concepts of Copula
2.2 Families of Copulas
2.3 Optimization Portfolio
3 Data and Marginal Distribution
3.1 Results for the Marginal Models
4 Empirical Results
5 Conclusion
References
Markov Switching Quantile Model Unknown tau Energy Stocks Price Index Thailand
1 Introduction
2 Methodology
2.1 Asymmetric Laplace Distribution
2.2 Markov Switching Quantile Regression Using Asymmetric Laplace Distribution
2.3 CAPM Model
3 Data
4 Empirical Results
4.1 Markov Switching Quantile Regression CAPM Model for Unknown Quantile
5 Conclusion
References
Modeling the Dependence Dynamics and Risk Spillovers for G7 Stock Markets
1 Introduction
2 Modeling Framework
2.1 Marginal Processes
2.2 Copula Function and Dynamic Dependence Structure
2.3 Copula for the Joint Distribution
3 Data and Marginal Distribution
4 Empirical Results
4.1 Model Selection
4.2 Estimation Results
5 Conclusion
References
A Regime Switching Vector Error Correction Model of Analysis of Cointegration in Oil, Gold, Stock Markets
1 Introduction
2 Methodology
2.1 Markov Switching Vector Error Correction Model
2.2 Estimation of the Model
3 Data and Unit Root Test
4 Results
4.1 Lag Length Criteria
4.2 Cointegration Rank Test
4.3 Likelihood Ratio Test for Testing Number of Regime
4.4 Model Selection
4.5 Estimation Result
5 Conclusion
References
A Regime Switching Time-Varying Copula Approach to Oil and Stock Markets Dependence: The Case of G7 Economies
1 Introduction
2 Modeling Framework
2.1 Marginal Processes
2.2 Bivariate Copula Function and Dynamic Dependence Structure
2.3 Regime Switching Copula
3 Data and Marginal Distribution
4 Result
5 Conclusion
References
Forecasting Exchange Rate with Linear and Non-linear Vector Autoregressive
1 Introduction
2 Forecast Models
2.1 Bayesian VAR
2.2 Markov Switching Bayesian VAR
3 Data
4 Empirical Results
4.1 Model Comparison
4.2 Results
5 Conclusion
References
The Impacts of Macroeconomic Variables on Economic Growth: Evidence from China, Japan, and South Korea
1 Introduction
2 Methodology
2.1 Panel Kink Regression Model
3 Estimation
3.1 Generalized Maximum Entropy Approach to Panel Kink Regression
4 Empirical Illustration
4.1 Data Analysis
4.2 Testing Kink Effect
4.3 Empirical Results
5 Conclusion
References
Determinants of Foreign Direct Investment Inflow in ASEAN Countries: Panel Threshold Approach and Panel Smooth Transition Regression Approach
1 Introduction
2 Methodology
2.1 Panel Regression
2.2 Panel Threshold Approach
2.3 Panel Smooth Transition Regression Approach (PSTR)
3 Data Analysis
3.1 Descriptive Statistics
3.2 Unit Root Test Statistics
4 Empirical Results
4.1 Model Selection
4.2 Estimation Results of Panel Threshold and PSTR
5 Conclusion
References
Predictive Recursion Maximum Likelihood for Kink Regression Model
1 Introduction
2 Methodology
2.1 PR Marginal Likelihood for Kink Regression
2.2 Hybrid PR-EM Algorithm
3 Simulation Study
4 Real Data Analysis
5 Conclusion
References
Bayesian Extreme Value Optimization Algorithm: Application to Forecast the Rubber Futures in Futures Exchange Markets
1 Introduction
2 Background
2.1 The NR Price Movement
2.2 An Overview of the Bayesian Approach
2.3 Extreme Value Theory (EVT)
3 Methodology
3.1 The Augmented Dickey-Fuller Test (ADF) Tests Under Bayesian Framework
3.2 Generalized Pareto Distributions (GPD) and Non-stationary Extreme Value Theory Analysis
4 Data and Empirical Results
4.1 Data
4.2 The Bayesian Extreme Value Estimation
5 Conclusions and Policy Implementations
References
Measuring U.S. Business Cycle Using Markov-Switching Model: A Comparison Between Empirical Likelihood Estimation and Parametric Estimations
1 Introduction
2 Methodology
2.1 A Markov-Switching Autoregressive Model
2.2 Parameter Estimation of MS-AR Model
2.3 Model Selection Based Empirical Likelihood
3 Empirical Study: The U.S. Business Cycle
4 Conclusion
References
Analysis of Small and Medium-Sized Enterprises' Insolvency Probability by Financial Statements Using Probit Kink Model: Manufacture Sector in Songkhla Province, Thailand
1 Introduction
2 Data Descriptions and Variables
3 Methodology
3.1 Review of Probit Regression Model
3.2 Probit Kink Regression Model
3.3 Parameter Estimation
4 Empirical Result
4.1 LR-Test Kink Test
4.2 Estimation Results
4.3 Assessing the Predictive Ability of the Model
5 Conclusion
References
Frequency Domain Causality Analysis of Stock Market and Economic Activites in Vietnam
1 Introduction
2 Literature Review
2.1 Theoretical Basis
2.2 Oversea Literature Review
2.3 Domestic Literature Review
3 Data and Methodology
3.1 Data
3.2 Methodology
4 Empirical Results
4.1 HEGY Unit Root Test
4.2 The Granger Causality from Conditional VAR
4.3 Causality Test in Frequency Domain
5 Conclusions and Policy Implications
References
Investigating Structural Dependence in Natural Rubber Supplys Based on Entropy Analyses and Copulas
Abstract
1 Introduction
2 Literature Review
3 Methodology
3.1 The AR-GARCH Model
3.2 The Maximum Entropy Bootstrapping (MEboot)
3.3 Cross Entropy (CE)
3.4 C-vine Copula Model
4 The Conceptual Framework and Methodology of Research
5 Data Description
6 Empirical Results
6.1 The Cross Entropy Estimated from the AR-GARCH Model
6.2 The C-vine Copula Trees
7 Conclusion
References
The Dependence Between International Crude Oil Price and Vietnam Stock Market: Nonlinear Cointegration Test Approach
1 Introduction
2 Literature Review
2.1 Negative Effect from Crude Oil Price to Stock Market
2.2 Positive Effect from Crude Oil Price to Stock Market
2.3 Insignificant Nexus Between Oil Price and Stock Market
2.4 The Empirical Evidences About the Relationship Between Oil Prices and Vietnam Stock Market
3 Data and Research Methodology
3.1 Data
3.2 Research Methodology
4 Research Result
4.1 Unit Root Test
4.2 Gregory and Hansen Test-GH Test
4.3 TY Procedure of Granger Non causality Test
4.4 Error Correction Model
5 Conclusion
References
Stability of Vietnam Money Demand Function: An Empirical Application of Multiple Testing with a Structural Break
1 Introduction
2 The Previous Studies on Stability of Demand for Money
3 Methodology
3.1 Model Specification
3.2 Data Source
3.3 Cointegration Test with Breakpoint Structure
3.4 Stability Tests
4 Empirical Results
5 Conclusion
References
Analytic on Long-Run Equilibrium Between Thailand's Economy and Business Tourism (MICE) Industry Using Bayesian Inference
Abstract
1 Introduction
2 Literature Review
3 Methodology
3.1 Bayesian Inference Approach
3.2 ADF Unit Root Test
3.3 ADF Unit Root Test Based on Bayesian Inference Approach
3.4 ARDL Approach to Cointegration Based on Bayesian Inference
3.5 Canonical (C-) Vine Copula
3.6 Entropy and Cross-Entropy
4 Findings
4.1 The Results of the ADF Unit Root Test Based on Bayesian Approach
4.2 The Results of the ARDL Approach to Cointegration Based on Bayesian Approach
4.3 The Results from Canonical (C-)Vine Copula
5 Discussions
6 Conclusions
References
Technical Efficiency Analysis of Top Agriculture Producing Countries in Asia: Zero Inefficiency Meta-Frontier Approach
1 Introduction
2 Methodology
2.1 The Zero Inefficiency Stochastic Frontier Model (ZISFM)
2.2 Estimation of Farm-Specific Inefficiency and Technical Efficiency
2.3 Zero Inefficiency Meta-Frontier Model (ZIMF)
2.4 Data and Definition of Variable
3 Empirical Results
3.1 Empirical Model
3.2 Technical Efficiencies and Technology Gap Ratios
3.3 Trends in Technical Efficiency Over Time
3.4 Comparative Analysis of Technical Efficiencies
3.5 Comparative Analysis of Production Frontier Gaps
4 Conclusions and Policy Implications
4.1 Conclusions
4.2 Policy Implications
References
Technical Efficiency Analysis of Agricultural Production of BRIC Countries and the United States of America: A Copula-Based Meta-Frontier Approach
1 Introduction
2 Measuring Technical Efficiency Using Parametric Approaches
3 Methodology
3.1 Copula
3.2 Copula-Based Stochastic Frontier Model (CSFM)
3.3 Copula-Based Meta-Frontier Model (CMFM)
3.4 The Data
4 Empirical Results
4.1 Copula-Based Stochastic Frontier Model (CSFM)
4.2 Comparison Between CMFM and CSFM
4.3 Technical Efficiency Analysis
4.4 Comparison of TE of CSFM (panel data) and CMFM
4.5 Comparison of Technical Efficiencies in CMFM
5 Conclusions and Policy Implications
References
Comparisons of Confidence Interval for a Ratio of Non-normal Variances Using a Kurtosis Estimator
Abstract
1 Introduction
2 The Experimental Confidence Interval Approximation for a Ratio of Variances
3 Results
4 Conclusion
References
An Analysis of Stock Market Cycle with Markov Switching and Kink Model
1 Introduction
2 Methods
2.1 Fama-French Three-Factor Model
2.2 Markov Switching Regression Model
2.3 Regression Kink Model
2.4 Markov Switching-Kink Regression Model
3 Data and Model Specifications
4 Empirical Results
4.1 Descriptive Statistics
4.2 Unit Root Test
4.3 Model Selection
4.4 Estimated Model
4.5 Comparison of Estimated Parameters
5 Discussion
6 Conclusions
References
Author Index

System requirements

Save as PDF Copy link into clipboard

Schweitzer Fachinformationen

Structural Changes and their Econometric Modeling

Description

More details

Other editions

Additional editions

Content

System requirements