Manajemen | Fakultas Ekonomi Universitas Maritim Raja Ali Haji jbes%2E2009%2E0001
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It is worth mentioning that the objective of the described estimation algorithm is not to detect the points of change for the copula parameter, but rather to determine the
All told, the simple and multiple regression results reported in Table 7 indicate that the effect of the Livingston forecasts on future excess returns is robust to differences in
For a given benchmark portfolio (the default decision θ ˜ in the notation of Section 5 ) and a confidence level α , the resulting optimal port- folio is the one which increases
Because the latter assumption is not needed for identification of the shocks in the present mixed normal setup, the zero restriction in ( 2.3 ) which specifies that the second shock
We also report some simulations on the power of the modified RESET test against some specific nonlinear models, choosing the following seven nonlinear models in addition to the
In Panel (A) we show the filtered time series for both the model with the factor loadings parameter added to the state (DNS–TVL, dotted line) and the model with both the
The bottom line from this experiment is that the welfare weights can matter in the cost of living, the second-order part of the approximation (which captures substitution effects)
Moreover, in small simulation studies designed to mimic the data from the NSW application, we find that the simple linear least-squares based implementation of the bias-
