Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity
In: Economic Analysis and Policy, Band 39, Heft 2, S. 311-326
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In: Economic Analysis and Policy, Band 39, Heft 2, S. 311-326
In: Economic Analysis and Policy, Band 38, Heft 2, S. 343
In: Scottish journal of political economy: the journal of the Scottish Economic Society, Band 50, Heft 3, S. 217-231
ISSN: 1467-9485
AbstractThe extent to which movements in the sterling and franc bilateral exchange rates are associated with changes in the dollar‐deutschemark exchange rate is measured. In the case of the pound we find, in contrast to the impression that might be gained from previous studies, that its linkage to the dollar has been, since the late 1990s, as high as it was in the late 1970s. In the case of the franc, we find that it has for some time been a powerfully deutschemark‐linked currency. This calls into question the view that there has been significant 'dollar‐deutschemark polarity' with respect to the franc in the recent past. We suggest that policymaker guidance and market rules of thumb may partially explain the developments we observe.
In: Scottish journal of political economy: the journal of the Scottish Economic Society, Band 50, Heft 3, S. 217-231
ISSN: 0036-9292
The extent to which movements in the sterling & franc bilateral exchange rates are associated with changes in the dollar-deutschemark exchange rate is measured. In the case of the pound, we find, in contrast to the impression that might be gained from previous studies, that its linkage to the dollar has been, since the late 1990s, as high as it was in the late 1970s. In the case of the franc, we find that it has for some time been a powerfully deutschemark-linked currency. This calls into question the view that there has been significant 'dollar-deutschemark polarity' with respect to the franc in the recent past. We suggest that policymaker guidance & market rules of thumb may partially explain the developments we observe. 4 Figures, 12 References. Adapted from the source document.
In: Economic Analysis and Policy, Band 32, Heft 1, S. 3-5
In: Themes in Modern Econometrics
This book provides a general framework for specifying, estimating and testing time series econometric models. Special emphasis is given to estimation by maximum likelihood, but other methods are also discussed, including quasi-maximum likelihood estimation, generalised method of moments estimation, nonparametric estimation and estimation by simulation. An important advantage of adopting the principle of maximum likelihood as the unifying framework for the book is that many of the estimators and test statistics proposed in econometrics can be derived within a likelihood framework, thereby providing a coherent vehicle for understanding their properties and interrelationships. In contrast to many existing econometric textbooks, which deal mainly with the theoretical properties of estimators and test statistics through a theorem-proof presentation, this book squarely addresses implementation to provide direct conduits between the theory and applied work.
In: Air quality, atmosphere and health: an international journal, Band 13, Heft 9, S. 1075-1082
ISSN: 1873-9326
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Working paper
In: Journal of Time Series Analysis, Band 39, Heft 6, S. 966-987
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"An introduction to the field of financial econometrics, focusing on providing an introduction for undergraduate and postgraduate students whose math skills may not be at the most advanced level, but who need this material to pursue careers in research and the financial industry"--