Browsing by Author "Holgersson, Thomas"

Now showing items 1-4 of 4

    • A comparison of conditioned versus unconditioned forecasts of the V AR(l) process 

      Holgersson, Thomas; Lindström, Fredrik (University of Gothenburg, 2003-05-01)
      The properties of a forecast usually depend upon whether the forecast is conditioned on the final period observation or not. In the case of unconditioned forecasts it is well known that the point predictions are unbiased. ...

    • Testing for multivariate autocorrelation 

      Holgersson, Thomas (University of Gothenburg, 2003-02-01)
      This paper concerns the problem of assessing autocorrelation of multivariate (i.e. system wise) models. It is well known that systemwise diagnostic tests for autocorrelation often suffers from poor small sample properties ...

    • Testing for multivariate heteroscedasticity 

      Holgersson, Thomas; Shukur, Ghazi (University of Gothenburg, 2003-01-01)
      In this paper we propose a testing technique for multivariate heteroscedasticity, which is expressed as a test of linear restrictions in a multivariate regression model. Four test statistics with known asymptotical null ...

    • Testing for non-normality in multivariate regression with nonspherical disturbances 

      Holgersson, Thomas (University of Gothenburg, 2002-09-01)
      Statistical diagnostic testing is often associated with erratic conclusions due to the fact that a test against one certain specification may be highly sensitive to another specification. This paper concerns assessing ...