Arbeitspapier
Post-Sample Prediction Tests for the Efficient Method of Moments
In this paper a post-sample prediction test is derived forestimators based on the Efficient Method of Moments. The mainadvantage of this particular test over other stability tests isthat no time-consuming estimation of the structural parameters forthe post-sample is needed. The asymptotic properties of the testand local power properties against certain alternatives are deduced.Using the Efficient Method of Moments methodology, anapplication is made to stochastic volatility models for theBritish pound versus Canadian dollar exchange rates. The breakpointfor the stability test is a priori set at September 16th 1992,when Britain was forced to leave the European Monetary UnionExchange Rate System.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 97-054/4
- Klassifikation
-
Wirtschaft
- Thema
-
Schätztheorie
Wechselkurs
Volatilität
Großbritannien
Kanada
- Ereignis
-
Geistige Schöpfung
- (wer)
-
van der Sluis, Pieter J.
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
1997
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- van der Sluis, Pieter J.
- Tinbergen Institute
Entstanden
- 1997
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