Download or read book The Size and Power of the Variance Ratio Test in Finite Samples written by Andrew Wen-Chuan Lo and published by . This book was released on 1988 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the finite sample properties of the variance ratio test of the random walk hypothesis via Monte Carlo simulations under two null and three alternative hypotheses. These results are compared to the performance of the Dickey-Fuller t and the Box-Pierce Q statistics. Under the null hypothesis of a random walk with independent and identically distributed Gaussian increments, the empirical size of all three tests are comparable. Under a heteroscedastic random walk null, the variance ratio test is more reliable than either the Dickey-Fuller or Box-Pierce tests. We compute the power of these three tests against three alternatives of recent empirical interest: a stationary AR(1), the sum of this AR(1) and a random walk, and an integrated AR( 1). By choosing the sampling frequency appropriately, the variance ratio test is shown to be as powerful as the Dickey-Fuller and Box-Pierce tests against the stationary alternative, and is more powerful than either of the two tests against the two unit-root alternatives.

Download or read book The Size and Power of the Variance Ratio Test in Finite Sample written by Andrew W. Lo and published by . This book was released on 1988 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On the Asymptotic Power of the Variance Ratio Test written by Rohit Deo and published by . This book was released on 2008 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: The variance ratio test statistic, which is based on k-period differences of the data, iscommonly used in empirical finance and economics to test the random walk hypothesis. We obtain the asymptotic power function of the variance ratio test statistic when the differencing period k is increasing with the sample size n such that k/n ' acute; gt; 0. We show that the test is inconsistent against a variety of mean reverting alternatives, confirm the result in simulations, and then characterise the functional form of the asymptotic power in terms of acute; and these alternatives.

Download or read book The Variance Ratio Test with Stable Paretian Errors written by Y. K. Tse and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the distribution of the overlapping variance ratio (OVR) statistic when the errors are distributed with thick tails as described by the family of stable Paretian distributions. The asymptotic distribution of the OVR statistic, which depends on the characteristic exponent, can be estimated using simulation. It is found that the convergence of the distribution of the OVR statistic to its asymptotic limit is extremely slow. Thus, the asymptotic results will not be able to provide any useful approximation in finite samples. To facilitate the OVR statistic as a test for the random walk hypothesis, the tail quantiles are estimated for several finite sample sizes.

Download or read book A Non Random Walk Down Wall Street written by Andrew W. Lo and published by Princeton University Press. This book was released on 2011-11-14 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future. The articles track the exciting course of Lo and MacKinlay's research on the predictability of stock prices from their early work on rejecting random walks in short-horizon returns to their analysis of long-term memory in stock market prices. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management.

Download or read book Time Series Based Econometrics written by Michio Hatanaka and published by OUP Oxford. This book was released on 1996-01-25 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last decade, time-series econometrics has made extraordinary developments on unit roots and cointegration. However, this progress has taken divergent directions, and has been subjected to criticism from outside the field. In this book, Professor Hatanaka surveys the field, examines those portions that are useful for macroeconomics, and responds to the criticism. His survey of the literature covers not only econometric methods, but also the application of these methods to macroeconomic studies. The most vigorous criticism has been that unit roots to do not exist in macroeconomic variables, and thus that cointegration analysis is irrelevant to macroeconomics. The judgement of this book is that unit roots are present in macroeconomic variables when we consider periods of 20 to 40 years, but that the critics may be right when periods of 100 years are considered. Fortunately, most of the time series data used for macroeconomic studies cover fall within the shorter time span. Among the numerous methods for unit roots and cointegration, those useful from macroeconomic studies are examined and explained in detail, without overburdening the reader with unnecessary mathematics. Other, less applicable methods are dicussed briefly, and their weaknesses are exposed. Hatanaka has rigourously based his judgements about usefulness on whether the inference is appropriate for the length of the data sets available, and also on whether a proper inference can be made on the sort of propositions that macroeconomists wish to test. This book highlights the relations between cointegration and economic theories, and presents cointegrated regression as a revolution in econometric methods. Its analysis is of relevance to academic and professional or applied econometricians. Step-by-step explanations of concepts and techniques make the book a self-contained text for graduate students.

Download or read book ECRM 2017 16th European Conference on Research Methods in Business and Management written by Dr Anthony Buckley and published by Academic Conferences and publishing limited. This book was released on 2017 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Hands on Intermediate Econometrics Using R written by Hrishikesh D. Vinod and published by World Scientific. This book was released on 2008 with total page 540 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explains how to use R software to teach econometrics by providing interesting examples, using actual data applied to important policy issues. It helps readers choose the best method from a wide array of tools and packages available. The data used in the examples along with R program snippets, illustrate the economic theory and sophisticated statistical methods extending the usual regression. The R program snippets are not merely given as black boxes, but include detailed comments which help the reader better understand the software steps and use them as templates for possible extension and modification.

Download or read book Almost All About Unit Roots written by In Choi and published by Cambridge University Press. This book was released on 2015-05-12 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many economic theories depend on the presence or absence of a unit root for their validity, making familiarity with unit roots extremely important to econometric and statistical theory. This book introduces the literature on unit roots in a comprehensive manner to empirical and theoretical researchers in economics and other areas.

Download or read book The Econometric Modelling of Financial Time Series written by Terence C. Mills and published by Cambridge University Press. This book was released on 1999-08-26 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides detailed coverage of the models currently being used in the empirical analysis of financial markets. Copyright © Libri GmbH. All rights reserved.

Download or read book Unit Root Tests in Time Series Volume 2 written by K. Patterson and published by Springer. This book was released on 2012-07-05 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.

Download or read book Statistical Theory and Method Abstracts written by and published by . This book was released on 1996 with total page 712 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Economics and Econometrics written by Nikiforos T. Laopodis and published by Taylor & Francis. This book was released on 2021-12-14 with total page 767 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Economics and Econometrics provides an overview of the core topics in theoretical and empirical finance, with an emphasis on applications and interpreting results. Structured in five parts, the book covers financial data and univariate models; asset returns; interest rates, yields and spreads; volatility and correlation; and corporate finance and policy. Each chapter begins with a theory in financial economics, followed by econometric methodologies which have been used to explore the theory. Next, the chapter presents empirical evidence and discusses seminal papers on the topic. Boxes offer insights on how an idea can be applied to other disciplines such as management, marketing and medicine, showing the relevance of the material beyond finance. Readers are supported with plenty of worked examples and intuitive explanations throughout the book, while key takeaways, ‘test your knowledge’ and ‘test your intuition’ features at the end of each chapter also aid student learning. Digital supplements including PowerPoint slides, computer codes supplements, an Instructor’s Manual and Solutions Manual are available for instructors. This textbook is suitable for upper-level undergraduate and graduate courses on financial economics, financial econometrics, empirical finance and related quantitative areas.

Download or read book Advanced Mathematical And Computational Tools In Metrology And Testing Xi written by Alistair B Forbes and published by World Scientific. This book was released on 2018-10-16 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains original, refereed contributions by researchers from institutions and laboratories across the world that are involved in metrology and testing. They were adapted from presentations made at the eleventh edition of the Advanced Mathematical and Computational Tools in Metrology and Testing conference held at the University of Strathclyde, Glasgow, in September 2017, organized by IMEKO Technical Committee 21, the National Physical Laboratory, UK, and the University of Strathclyde. The papers present new modeling approaches, algorithms and computational methods for analyzing data from metrology systems and for evaluation of the measurement uncertainty, and describe their applications in a wide range of measurement areas.This volume is useful to all researchers, engineers and practitioners who need to characterize the capabilities of measurement systems and evaluate measurement data. Through the papers written by experts working in leading institutions, it covers the latest computational approaches and describes applications to current measurement challenges in engineering, environment and life sciences.

Download or read book Time Series with Long Memory written by Peter M. Robinson and published by Advanced Texts in Econometrics. This book was released on 2003 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long memory time series are characterized by a strong dependence between distant events.

Download or read book Theoretical Foundations of Macroeconomic Policy written by Giovanni Di Bartolomeo and published by Routledge. This book was released on 2016-07-15 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent economic events driven by the great financial crisis of 2007-08 has challenged some "dogma", highlighting various limits and drawbacks of current paradigms. The crisis showed the limitations of monetary policy and led to a revaluation of what levels of public debt can be considered safe. This volume aims to refresh the debate on some important long-run macroeconomic issues from new and fresh perspectives. Theoretical Foundations of Macroeconomic Policy raises a number of questions relating to the challenges faced by macroeconomic theory and policies. The common line is the long run and policy perspective. The first part of the book is devoted to the theory of growth and productivity. The second part concentrates on long-run effects of fiscal and monetary policy. Specifically, topics investigated by the international range of authors are the theory of optimal growth, the productivity policies and production function estimations, demand- vs. supply- driven growth, optimal debt default and the incompleteness of financial markets, the long-run optimal inflation target and its relationship with public finance, the long term effects of government budget constraints on growth, and effect on optimal policies in non-market clearing environment. The book will be of interest to postgraduates, researchers, and academics studying macroeconomics and fiscal policies.

Download or read book Handbook of Frontier Markets written by Panagiotis Andrikopoulos and published by Academic Press. This book was released on 2016-08-05 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Frontier Markets: The European and African Evidence provides novel insights from academic perspectives about the behavior of investors and prices in several frontier markets. It explores finance issues usually reserved for developed and emerging markets in order to gauge whether these issues are relevant and how they manifest themselves in frontier markets. Frontier markets have now become a popular investment class among institutional investors internationally, with major financial services providers establishing index-benchmarks for this market-category. The anticipation for frontier markets is optimistic uncertainty, and many people believe that, given their growth rates, these markets will be economic success stories. Irrespective of their degrees of success, The Handbook of Frontier Markets can help ensure that the increasing international investment diverted to them will aid in their greater integration within the global financial system. - Presents topics in the context of frontier markets and uses tests based on established methodologies from finance research - Draws from authors who are established university academics - Pays particular attention to financial institutions and applications of financial risk models - Explores finance issues usually reserved for developed and emerging markets in order to gauge whether these issues are relevant and how they manifest themselves in frontier markets