Browsing Research Report by Title
Now showing items 115-130 of 130
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Testing for cointegrating relations - A bootstrap approach
(University of Gothenburg, 1999-05-01)Using Monte Carlo methods together with the Bootstrap critical values, we have studied the properties of two tests (Trace and L-max), derived by Johansen (1988) for testing for cointegration in V AR systems. Regarding the ... -
Testing for multivariate autocorrelation
(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
(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
(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 ... -
TESTING THE APPROXIMATE AGREEMENT WITH A HYPOTHESIS
(University of Gothenburg, 1986-05-01)When statistical tests are applied it is often known beforehand that the hypotheses would be rejected with sufficiently narge sample sizes. This happens whenever hypotheses is not exactly true but only approximately true. ... -
The causal nexus of government spending and revenue in Finland: A bootstrap approach
(University of Gothenburg, 1998-10-01)Applying VAR(5), a bootstrap simulation approach and a multivariate Rao's F-test indicate that government revenue Granger causes spending in Finland. This does not agree with Barro's tax smoothing hypothesis. The explanation ... -
The effect of non-normal error terms on the properties of systemwise RESET test
(University of Gothenburg, 1999-06-01)The small sample properties of the systemwise RESET test for functional misspecification is investigated using normal and non-normal error terms. When using normally distributed or less heavy tailed error terms, we find ... -
The impact of season and climate on growth during early childhood in different socio-economic groups in Lahore, Pakistan
(University of Gothenburg, 1999-10-01)Aim. The aim of this study was to analyse the impact of season and climate on early child growth in four socio-economically different groups living in Lahore, Pakistan. Methods. A prospective cohort study was conducted ... -
The robustness of the systemwise Breauch-Godfrey autocorrelation test for non-normal distributed error terms
(University of Gothenburg, 1998-11-01)Using Monte Carlo methods, the properties of systemwise generalisations of the BreauchGodfrey test for autocorrelated errors are studied in situations when the error terms follow a normal and non-normal distributions. ... -
The surveillance of several processes with different change points
(University of Gothenburg, 1999-02-01)A statistical surveillance situation which involves the simultaneous surveillance of several processes is treated. Some recently suggested multivariate methods are discussed together with a new method based on the likelihood ... -
Trend-free repeated measurement designs
(University of Gothenburg, 1999-09-01)The existence and non-existence of trend-free repeated measurement designs are investigated. Two families of efficient / optimal trend-free repeated measurement designs have been identified and methods of construction of ... -
Turning point detection using non-parametric statistical surveillance
(University of Gothenburg, 2001-03-01)Turning point detection is important in many areas. One application is forecasting the time of the next tum in the business cycle, by detection of a tum in leading economic indicators. Another application is detection of ... -
Unimodal regression in the two-parameter exponential family with constant or known dispersion parameter
(2008-02-04)In this paper we discuss statistical methods for curve-estimation under the assumption of unimodality for variables with distributions belonging to the two-parameter exponential family with known or constant dispersion ... -
Variance estimates based on knowledge of monotonicity and concavity properties
(University of Gothenburg, 1998-08-01)In problems dealing with regression functions the choice of model and estimation method is due to a priori information about the regression function. In some situations it is motivated to consider regression functions with ... -
VISUAL EVALUATIONS OF STATISTICAL SURVEILLANCE
(University of Gothenburg, 1994-03-01)A computer program which simultaneously gives visual information on important characteristics is presented. Surveillance, that is continual observation of a time series with the goal of timely detection of possible important ... -
When does Heckman’s two-step procedure for censored data work and when does it not?
(2008-02-22)Heckman’s two-step procedure (Heckit) for estimating the parameters in linear models from censored data is frequently used by econometricians, despite of the fact that earlier studies cast doubt on the procedure. In this ...