Empirical Economic and Financial Research: Theory, Methods and Practice

Front Matter....Pages i-xviii
Introduction....Pages 1-6
Front Matter....Pages 7-7
Decomposition of Time Series Using the Generalised Berlin Method (VBV)....Pages 9-43
Time Series Segmentation Procedures to Detect, Locate and Estimate Change-Points....Pages 45-59
Regularization Methods in Economic Forecasting....Pages 61-80
Investigating Bavarian Beer Consumption....Pages 81-88
The Algebraic Structure of Transformed Time Series....Pages 89-104
Reliability of the Automatic Identification of ARIMA Models in Program TRAMO....Pages 105-122
Panel Model with Multiplicative Measurement Errors....Pages 123-143
A Modified Gauss Test for Correlated Samples with Application to Combining Dependent Tests or P -Values....Pages 145-157
Panel Research on the Demand of Organic Food in Germany: Challenges and Practical Solutions....Pages 159-172
The Elasticity of Demand for Gasoline: A Semi-parametric Analysis....Pages 173-193
The Pitfalls of Ignoring Outliers in Instrumental Variables Estimations: An Application to the Deep Determinants of Development....Pages 195-213
Evaluation of Job Centre Schemes: Ideal Types Versus Statistical Twins....Pages 215-222
The Precision of Binary Measurement Methods....Pages 223-235
Front Matter....Pages 237-237
On EFARIMA and ESEMIFAR Models....Pages 239-253
Prediction Intervals in Linear and Nonlinear Time Series with Sieve Bootstrap Methodology....Pages 255-273
Do Industrial Metals Prices Exhibit Bubble Behavior?....Pages 275-286
Forecasting Unpredictable Variables....Pages 287-304
Dynamic Modeling of the Correlation Smile....Pages 305-325
Findings of the Signal Approach: A Case Study for Kazakhstan....Pages 327-340
Front Matter....Pages 237-237
Double Conditional Smoothing of High-Frequency Volatility Surface Under a Spatial Model....Pages 341-356
Zillmer’s Population Model: Theory and Application....Pages 357-369
Front Matter....Pages 371-371
Adaptive Estimation of Regression Parameters for the Gaussian Scale Mixture Model....Pages 373-378
The Structure of Generalized Linear Dynamic Factor Models....Pages 379-400
Forecasting Under Structural Change....Pages 401-419
Distribution of the Durbin–Watson Statistic in Near Integrated Processes....Pages 421-436
Testing for Cointegration in a Double-LSTR Framework....Pages 437-450
Fitting Constrained Vector Autoregression Models....Pages 451-470
Minimax Versions of the Two-Step Two-Sample-Gauß- and t -Test....Pages 471-486
Dimensionality Reduction Models in Density Estimation and Classification....Pages 487-495
On a Craig–Sakamoto Theorem for Orthogonal Projectors....Pages 497-502
Back Matter....Pages 503-503