Global ETD Search
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Showing 1 to 20 of 81 for “"heteroscedasticity"”.
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LINEAR HYPOTHESIS TESTING FOR HIGH-DIMENSIONAL DATA UNDER HETEROSCEDASTICITY
… MANOVA, and the general linear hypothesis under heteroscedasticity. Although these problems have been thoroughly studied in the classical setting, high-dimensional data make most classical methods invalid due to the singularity of the sample covariance matrix, and new tools and techniques are in …
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Testing for Constancy of Correlation in Autoregressive Conditional Heteroscedasticity (Arch) Models
… generalized autoregressive conditional heteroscedasticity (GARCH) models (Bollerslev (1990)). Bollerslev (1990) states ""... the validity of the model remains an empirical question"". We show that the test statistic derived in the unconditional normal case can be applied to GARCH model …
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A Study of Conditional Volatilities in Financial Markets using Generalized Conditional Heteroscedasticity Jump Models
In this manuscript, I investigate the time-varying volatilities and co-volatilities in the fixed income and equities market using jump augmented stochastic volatility models. The results highlights that the fact that jumps are inherent in financial markets and have implications for the dynamics of …
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Detection of Latent Heteroscedasticity and Group-Based Regression Effects in Linear Models via Bayesian Model Selection
… approaches to reveal latent group-based heteroscedasticity, regression effects, and/or interactions. Failure to account for such structures can produce misleading conclusions. Since the presence of latent group structures is frequently unknown a priori to the researcher, we use fractional …
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The Efficacy Of Select Nonparametric And Distribution-Free Research Methods: Examining The Case Of Concomitant Heteroscedasticity And Effect Of Treatment
… specifically, the condition of concomitant heteroscedasticity and treatment effect under nonnormal distributions.</p> <p>The selection of nonparametric methods for this investigation was based upon their ability to detect population differences under varying effect and variance conditions. …
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Market thinness and the potential benefits of domestic-only portfolio diversification in Canadian equity markets
… for the simulated portfolios do not exhibit heteroscedasticity based on the Portmanteau Q and Lagrange Multiplier tests for the time periods examined in this thesis. However, some evidence exists that thin trading induces some heteroscedasticity into the monthly returns of Canadian stocks.
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An Examination into the Structure of Freight Rates in the Shipping Freight Markets
… of Generalised Autoregressive Conditional Heteroscedasticity (GARCH), Integrated Generalised Autoregressive Conditional Heteroscedasticity (IGARCH) and Fractionally Integrated Generalised Autoregressive Conditional Heteroscedasticity (FIGARCH) models indicate that FIGARCH models …
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Alcohol Use Disorders And Labor Market Outcomes: An Analysis Using 2001-02 National Epidemiology Survey On Alcohol And Related Conditions
… problems in estimations, the endogeneity and heteroscedasticity in the sample. The estimation strategy (appropriate estimation method) to address endogeneity is required to consider the potential presence of heteroscedasticity in the sample since the sample set is cross-sectional (see details …
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Positional competition: from low-number license plates to McMansions
… of the positionality effect and test them for heteroscedasticity and normality; I compare these with CLAD models (Powell) which are robust with respect to non-normality and heteroscedasticity.
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The impact of remittances on poverty in Africa: A cross-country empirical analysis
… Assistance (ODA). Accounting for possible heteroscedasticity and endogeneity, the results consistently show that remittances significantly reduce poverty. Exports and ODA are found to have a statistically insignificant effect on poverty. The absence of a significant relationship between …
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Robustness And Power Comparison Of The Mood-Westenberg And Siegel-Tukey Tests
… become aware of the Behrens-Fisher problem (heteroscedasticity) in order to apply an approximate solution, such as the Yuen's statistic (1974). It was expected that both the Mood-Westenberg dispersion test (1948) and the Siegel-Tukey test (1960) would remain robust with respect to Type I and …
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Power Transformation Towards Linear or Partially Linear Quantile Regression Models
… better than competing methods in the presence of heteroscedasticity and heavy-tails. Inferences about the transformation parameter and about the covariate effects are considered mathematically as well as empirically. A test for the adequacy of the power-transformation models is also proposed. For …
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Pretest Estimators for the Two Sample Linear Statistical Model
… the covariance matrix had the simplist type of heteroscedasticity. Frequently however for two samples of economic data both the location and scale parameters differ. The two sample heteroscedastic model has received considerable attention recently with the development of a two stage test: one …
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Pengaruh kualitas pelayan terhadap kepuasan konsumen JNE Malang
… assumption test (multicollinearity, normality, heteroscedasticity), multiple linear regression analysis, goodness of fit test (F test, t test, the coefficient of determination). Based on the results of the study, obtained the following regression equation: Y = 1.437 + 0.188 X1 + 0.300 X2 + 0.270 …
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Analysis of the determinants of exchange rate volatility in the SACU region
… uses the generalised autoregressive conditional heteroscedasticity GARCH (1 , I) approach. The results from the study revealed that interest rates and inflation were both significant factors in explaining exchange rate volatility in Lesotho. Interest rates were also found to be a determinant of …
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Domestic Influences for Interstate Cooperation: Do Domestic Conditions Affect the Occurrence of Cooperative Events in Democratic Regimes?
… Least Square (FGLS) in order to take care of heteroscedasticity and autocorrelations in residuals. The individual case analysis used linear time series analysis.
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Solving Some Behrens-Fisher Problems Using Modified Bartlett Correction
… and regression coefficient comparison under heteroscedasticity. For each BF problem, we show that the asymptotic distribution of the test statistic is Chi-square with some known degrees of freedom and we find out the expressions of the asymptotic mean and variance of the test statistic which …
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The effects of exchange rate volatility on private capital inflows in Zambia,1992-2012
… using the generalized autoregressive conditional heteroscedasticity (GARCH) model while its effect on private capital inflows to Zambia was captured through the Johansen Maximum Likelihood for Cointegration and Error Correction Model. The findings show that the volatility of the nominal exchange …
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The effects of exchange rate volatility on private capital inflows in Zambia,1992-2012
… using the generalized autoregressive conditional heteroscedasticity (GARCH) model while its effect on private capital inflows to Zambia was captured through the Johansen Maximum Likelihood for Cointegration and Error Correction Model. The findings show that the volatility of the nominal exchange …
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Change point detection for high dimensional data and valid inference for Bayesian linear models
… for high dimensional observations with unknown heteroscedasticity. The proposed tests target a dense alternative and a wild bootstrap procedure is used to estimate the unknown limiting distribution. The bootstrap test is free of tuning parameters and we derive bootstrap consistency under the …
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