BackBrowsing Biltoki by Subject "MATHEMATICAL AND QUANTITATIVE METHODS"
Now showing items 41-51 of 51
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Seasonal Stability Tests in gretl. An Application to International Tourism Data
Díaz-Emparanza Herrero, Ignacio
; Moral Zuazo, María Paz (2013-09)
The seasonal stability tests of Canova & Hansen (1995) (CH) provide a method complementary to that of Hylleberg et al. (1990) for testing for seasonal unit roots. But the distribution of the CH tests are unknown in small ... -
Selection of the number of frequencies using bootstrap techniques in log-periodogram regression
Arteche González, Jesús María; Orbe Lizundia, Jesús María (2008-02)
The choice of the bandwidth in the local log-periodogram regression is of crucial importance for estimation of the memory parameter of a long memory time series. Different choices may give rise to completely different ... -
Semiparametric estimation in perturbed long memory series
Arteche González, Jesús María (2005-05)
The estimation of the memory parameter in perturbed long memory series has recently attracted attention motivated especially by the strong persistence of the volatility in many financial and economic time series and the ... -
Semiparametric inference in correlated long memory signal plus noise models
Arteche González, Jesús María (2010-04)
This paper proposes an extension of the log periodogram regression in perturbed long memory series that accounts for the added noise, also allowing for correlation between signal and noise, which represents a common situation ... -
Spanish Customer Satisfaction Indices by Cumulative Panel Data
López Caro, Cristina María; Fernández Aguirre, María Carmen; Mariel Chladkova, Petr (2003-07)
In this paper, we present a new theoretical representation of the Consumer Satisfaction Index (CSI) based on Structural Equation Modelling (SEM). We use panel data collected by an automotive magazine to apply our approach ... -
Survival Analysis Using a Censored Semiparametric Regression Model
Orbe Lizundia, Jesús María; Ferreira García, María Eva ; Núñez Antón, Vicente Alfredo (2000-04)
In this work we study the effect of several covariates X on a censored response variable T with unknown probability distribution. A semiparametric model is proposed to consider situations where the functional form of the ... -
Switching Equilibria: The Present Value Model for Stock Prices Revisited
Gutiérrez Huerta, María José; Vázquez Pérez, Jesús (2002-07)
This paper analyzes the different dynamic features displayed by alternative RE equilibria and how these features change for small perturbations of the dividend process parameters. Using historical US data and structural ... -
Técnicas Factoriales de Análisis de Tablas Múltiples: Nuevos Desarrollos Empíricos
Abascal Fernández, Elena; Fernández Aguirre, María Carmen; Modroño Herrán, Juan Ignacio; Landaluce Calvo, M. Isabel (2001-03)
Existen varias técnicas de análisis de tablas múltiples en la literatura. Estas técnicas tienen, sin embargo, lagunas de aplicación cuando las tablas están compuestas por un número diferente de individuos, especialmente ... -
Time-Varying Beta Estimators in the Mexican Emerging Market
Nieto Domenech, Belén; ; Zárraga Alonso, Ainhoa (2011)
This paper compares the performance of three different time-varying betas that have never previously been compared: the rolling OLS estimator, a nonparametric estimator and an estimator based on GARCH models. The study ... -
Two-Stage Nonparametric Regression for Longitudinal Data
Ferreira García, María Eva; Núñez Antón, Vicente Alfredo ; Rodríguez Poo, Juan M. (1999-01)
In the analysis of longitudinal data it is of main interest to investigate the existence of group and individual effects under correlated observations across time. In this paper, we develop a nonparametric two-step procedure ... -
Wavelet multiple correlation and cross-correlation: A multiscale analysis of euro zone stock markets
Fernández Macho, Francisco Javier (2011-06)
Statistical studies that consider multiscale relationships among several variables use wavelet correlations and cross-correlations between pairs of variables. This procedure needs to calculate and compare a large number ...