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A Note on Wavelet Correlation and Cointegration
(2013-11)
In a recent paper Leong-Huang:2010 {Journal of Applied Statistics 37, 215–233} proposed a wavelet-correlation-based approach to test for cointegration between two time series.
However, correlation and cointegration are ...
Seasonal Stability Tests in gretl. An Application to International Tourism Data
(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 ...
Generating cluster submodels from a multistage stochastic mixed integer optimization model using break stage
(2013-07)
We present a scheme to generate clusters submodels with stage ordering from a (symmetric or a
nonsymmetric one) multistage stochastic mixed integer optimization model using break stage. We
consider a stochastic model ...
Selecting random parameters in discrete choice experiment for environmental valuation: A simulation experiment
(Elsevier, 2013-06-03)
This paper examines two tests commonly used to select random parameters in choice modelling: the Lagrange Multiplier (LM) test as proposed by McFadden and Train (2000) and the t-statistic of the deviation of the random ...