搜索结果: 1-5 共查到“知识库 理论经济学 Root”相关记录5条 . 查询时间(0.156 秒)
Root's Barrier: Construction, Optimality and Applications to Variance Options
Construction Optimality Applications Variance Options Pricing of Securities
2011/7/25
Abstract: Recent work of Dupire (2005) and Carr & Lee (2010) has highlighted the importance of understanding the Skorokhod embedding originally proposed by Root (1969) for the model-independent hedgin...
The Discontinuous Trend Unit Root Test with a Break Interval
unit-root test discontinuous-trend break-interval
2009/5/7
Dickey and Fuller proposed tests for the unit root hypotheses in a uni-variate time series. Perron (1989) extended the t-ratio type unit-root tests so that they allow for a break in the deterministic...
Is the Real Exchange Rate Stationary? The Application of Similar Tests for a Unit Root in the Univariate and Panel Cases
Nonstationarity panel data PPP real exchange rate stationarity
2010/9/7
In this article we show that mean-adjusting panel and univariate time series unit root tests yield similar size when there is no drift. The conclusion of the empirics for Purchasing Power Parity is th...
主讲人
Chor-yiu Sin
Xiamen University
题目
Capturing cross-sectional correlation with time series: with an application to unit root test
时间
2007年5月9日（星期三）下午14:00-----15:30
地点
北京大学中国经济研究中心万众楼大教室
工作语言
英文
联系电...
THE CONVERGENCE OF MULTIVARIATE ‘UNIT ROOT’ DISTRIBUTIONS TO THEIR ASYMPTOTIC LIMITS The Case of Money-Income Causality
MULTIVARIATE UNIT ROOT DISTRIBUTIONS THEIR ASYMPTOTIC LIMITS Money-Income Causality
2014/3/18
We examine the quality of recently developed asymptotic approximations to the sampling distributions of various statistics in levels regressions when the regressors have unit ro...