Econometric analysis of model selection and model testing:
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| Main Authors: | , , |
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| Format: | Book |
| Language: | English |
| Published: |
Aldershot[u.a.]
Ashgate
2006
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references (p. [335]-358) and index |
| Physical Description: | xiii, 363 p. ill. 24 cm |
| ISBN: | 0754637158 |
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MARC
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| 245 | 1 | 0 | |a Econometric analysis of model selection and model testing |c M. Ishaq Bhatti, Hatem Al-Shanfari and M. Zakir Hossain |
| 264 | 1 | |a Aldershot[u.a.] |b Ashgate |c 2006 | |
| 300 | |a xiii, 363 p. |b ill. |c 24 cm | ||
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| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Includes bibliographical references (p. [335]-358) and index | ||
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Record in the Search Index
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| adam_text | Contents
List of Figures and Tables vi
Preface xiv
Acknowledgements xv
1 Introduction 1
2 Testing Econometric Models 5
3 Testing for Block Effects 27
4 Model Selection Procedures 67
5 Information Criteria for Model Selection 91
6 Controlled Information Criteria for Model Selection 137
7 Arbitrage Pricing Model 229
8 Model Selection in Testing the Arbitrage Pricing Theory 257
9 Modelling the Risk Premium of Listed Stocks 287
Bibliography 335
Index 359
List of Figures and Tables
List of Figures
7.1 Methods of testing the arbitrage pricing theory 238
8.1 The observed variables for the UK 260
8.2 Residuals generated by restricted autoregressive models for
Oman 268
8.3 Plot of cumulative sum (CUSUM) and cumulative sum of
squares (CUSUMSQ) of recursive residuals for Oman 271
8.4 Residuals from the VAR (12) model for Oman 283
9.1 Residuals generated by restricted autoregressive models for the
UK 294
9.2 Plot of cumulative sum and cumulative sum of squares of the
recursive residuals for the UK 295
9.3 Residuals generated by restricted autoregressive models for
Norway 302
9.4 Plot of cumulative sum and cumulative sum of squares of the
recursive residuals for Norway 303
9.5 Residuals from restricted autoregressive models for Mexico 307
9.6 Plot of cumulative sum and cumulative sum of squares of the
recursive residuals for Mexico 308
9.7 Residuals generated by restricted autoregressive models for
Venezuela 312
9.8 Plot of cumulative sum and cumulative sum of squares of the
recursive residuals for Venezuela 313
9.9 Excess returns of eight sector indices in the UK stock market 324
List of Tables
3.1 Estimated values of the parameters based on models (3.23)
and (3.24) 37
3.2 Some estimates of the random coefficient model 37
3.3 Some estimates of random and fixed coefficient models 39
A3.1 Powers of the DW, LM1, LM2 and POI tests for the nx4
design matrix of cross sectional data for 1961 and 1976, n=32,
p=4 and a=.05 57
List of Figures and Tables vii
A3.2 Powers of the DW, LM1, LM2 and the POI tests for the nx4
design matrix of cross sectional data for 1966 and 1971, n=32,
p=4 and a=.O5 58
A3.3 Powers of the DW, LM1, LM2 and the POI tests for the nx4
design matrix of cross sectional data for 1961 and 1976, n=64,
p=4 and a=. 05 59
A3.4 Powers of t!;e DW, LM1, LM2 and the POI tests for the nx4
design matrix of cross sectional data for 1966 and 1971, n=64,
p=4 and a=05 60
A3.5 Powers of the DW, LM1, LM2 and the POI tests for the nx4
design matrix of cross sectional data for 1961 and 1976, n=96,
p=4anda=.O5 61
A3.6 Powers of the DW, LM 1, LM2 and the POI tests for the nx4
design matrix of cross sectional data for 1966 and 1971, n=96,
p=4 and a=.05 62
A3.7 Some optimal tests for two stage SSMN and SMN
distributions 63
A3.8 Some optimal tests for three stage SSMN and SMN
distributions 64
5.1 Comparison between PAIC, UAIC, PBIC and UBIC based
on estimated probabilities of choosing competing models
Model 1, Model 2 and Model 3 for design matrices XI, XI,
Xi, X4 and X5 when Model 1 is true 126
5.2 Comparison between PAIC, UAIC, PBIC and UBIC based on
estimated probabilities of choosing competing models
Model 1, Model 2 and Model 3 for design matrices XI, XI,
Xi, X4 and X5 when Model 2 is true 127
5.3 Comparison between PAIC, UAIC, PBIC and UBIC based on
estimated probabilities of choosing competing models
Model 1, Model 2 and Model 3 for design matrix X when
X = 0.1, 0.3, 0.5, 0.7 and 0.9 and Model 3 is true 129
5.4 Comparison between PAIC, UAIC, PBIC and UBIC based on
estimated probabilities of choosing competing models
Model 1, Model 2 and Model 3 for Design Matrix XI when
k = 0.1,0.3, 0.5, 0.7 and 0.9 and Model 3 is True. 130
5.5 Comparison between PAIC, UAIC, PBIC and UBIC based on
estimated probabilities of choosing competing models
Model 1, Model 2 and Model 3 for design matrix Xi when
X = 0.1, 0.3, 0.5, 0.7 and 0.9 and Model 3 is true 131
viii Econometric Analysis of Model Selection and Model Testing
5.6 Comparison between PAIC, UAIC, PBIC and UBIC based on
estimated probabilities of choosing competing models
Model 1, Model 2 and Model 3 for design matrix X4 when
k = 0.1, 0.3,0.5, 0.7 and 0.9 and Model 3 is true 132
5.7 Comparison between PAIC, UAIC, PBIC and UBIC based on
estimated probabilities of choosing competing models
Model 1, Model 2 and Model 3 for design matrix X5 when
k = 0.1, 0.3, 0.5, 0.7 and 0.9 and Model 3 is true 133
6.1 Comparison between controlled and other methods for design
matrix XI based on calculated probabilities of selecting
different models 146
6.2 Comparison between controlled and other methods for design
matrix XI based on calculated probabilities of selecting
different models 152
6.3 Comparison between controlled and other methods for design
matrix X3 based on calculated probabilities of selecting
different models 156
6.4 Comparison between controlled and other methods for design
matrix XA based on calculated probabilities of selecting
different models 160
6.5 Comparison between controlled and other methods for design
matrix A3 based on calculated probabilities of selecting
different models 164
6.6 Effect of choice of P1; Po and a values on the probabilities of
selecting competing models for different methods when
model MX with T = 20 is true 170
6.7 Effect of choice of P j, p0 and a values on the probabilities of
selecting competing models for different methods when
model A/2 with T = 20 is true 172
6.8 Effect of choice of P,, po and a values on the probabilities of
selecting competing models for different methods when
k = 0.1 and model A/3 with T = 20 is true 174
6.9 Effect of choice of P,, po and a values on the probabilities of
selecting competing models for different methods when
k = 0.3 and model Mi with T = 20 is true 176
6.10 Effect of choice of P ], Po and a values on the probabilities of
selecting competing models for different methods when
k = 0.5 and model A/3 with T = 20 is true 178
List of Figures and Tables ix
6.11 Effect of choice of p j, p0 and a values on the probabilities of
selecting competing models for different methods when
k = 0.7 and model M3 with T = 20 is true 180
6.12 Effect of choice of P ], po and o values on the probabilities of
selecting competing models for different methods when
X = 0.9 and model M3 is true 182
6.13 Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Ml, Ml, Mi, MA, M5, M6, Ml, MS, and M9 for
design matrices XI and XA when Ml is true 197
6.14 Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models MX, Ml, Mi, MA, M5, M6, Ml, A/8 and M9 for
design matrices XI and XA when Ml is true 199
6.15 Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Ml, M2, Mi, MA, M5, M6, Ml, M8 and M9 for
design matrices XI and XA when Mi is true 200
6.16 Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Ml, Ml, Mi, MA, M5, M6, M7, M8 and M9 for
design matrices XI and XA when MA is true 201
6.17(a) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Ml, Ml, Mi, MA, M5, M6, M7, M8 and M9 for
design matrices XI and XA when X^ = 0.25 and M5 is true 203
6.17(b) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Ml, M2, M3, MA, M5, M6, M7, M8 and M9 for
design matrices XI and XA when X^ = 0.5 and M5 is true 204
6.17(c) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Ml, M2, M3, M4, M5, M6, M7, M8 and M9 for
design matrices XI and XA when X^ = 0.75 and M5 is true 205
6.18(a) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of correctly competing
models Ml, M2, M3, M4, M5, M6, M7, M8 and M9 for
design matrices XI and XA when X^ = 0.25 and M6 is true 206
x Econometric Analysis of Model Selection and Model Testing
6.18(b) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of correctly competing
models A/1, Ml, A/3, A/4, A/5, A/6, A/7, A/8 and A/9 for
design matrices XI andX4 when h^ = 0.5 and A/6 is true 207
6.18(c) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of correctly competing
models A/1, Ml, A/3, A/4, A/5, A/6, A/7, A/8 and A/9 for
design matrices XI and A4 when ~k^ ~ 0 75 and A/6 is true 208
6.19(a) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Ml, Ml, A/3, A/4, M5, M6, Ml, A/8 and A/9 for
design matrices XI and X4 when Xj = 0.25 and A/7 is true 210
6.19(b) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models A/1, Ml, A/3, A/4, A/5, A/6, A/7, A/8 and A/9 for
design matrices .^2 and XA when X[ = 0.5 and A/7 is true 211
6.19(c) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models A/1, Ml, A/3, A/4, A/5, A/6, A/7, A/8 and A/9 for
design matrices XI and X4 when Xj = 0.75 and A/7 is true 212
6.20(a) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models A/1, A/2, A/3, MA, A/5, A/6, A/7, A/8 and A/9 for
design matrices XI and XA when Xj = 0.25 and A/8 is true 213
6.20(b) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models A/1, Ml, A/3, MA, A/5, A/6, Ml, A/8 and A/9 for
design matrices A2 and XA when Xj = 0. 5 and A/8 is true 214
6.20(c) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models A/1, Ml, Mi, MA, A/5, A/6, Ml, A/8 and A/9 for
design matrices XI and XA when Xj = 0.75 and A/8 is true 215
6.21 (a) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models A/1, Ml, A/3, A/4, A/5, A/6, Ml, A/8 and M9 for
design matrices XI andX4 when Xj = 0.25, Xj = 0.25
and A/9 is true 217
List of Figures and Tables xi
6.2 l(b) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Afl, Ml, Mi, MA, M5, M6, Ml, MS and A/9 for
design matrices XI andXA when Xj = 0.25, Xj = 0.5
and M9 is true 218
6.2 l(c) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Ml, Ml, Mi, MA, M5, M6, Ml, MS and M9 for
design matrices XI and A 4 when Xj = 0.25, Xj = 0.75
and A/9 is true 219
6.2 l(d) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models A/1, Ml, Mi, MA, M5, M6, Ml, MS and A/9 for
design matrices XI and XA when Xj = 0.5, X^ = 0.25
and A/9 is true 220
6.2 l(e) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Mi, Ml, Mi, MA, MS, MS, Ml, A/8 and A/9 for
design matrices XI and XA when Xj = 0.5, L^ = 0 5
and A/9 is true 221
6.2 l(f) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Mi, Ml, Mi, MA, M5, M6, Ml, MS and A/9 for
design matrices XI and XA when Xj = 0.5, kj 0.75
and A/9 is true 222
6.2 l(g) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Afl, Ml, Mi, MA, MS, M6, Ml, A/8 and A/9 for
design matrices XI and XA when Xj = 0.75, X2 = 0.25
and A/9 is true 223
6.2 l(h) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models A/1, Ml, Mi, MA, MS, M6, Ml, MS and A/9 for
design matrices XI and XA when Xj = 0.75, X2 = 0.5
and A/9 is true 224
xii Econometric Analysis of Model Selection and Model Testing
6.21(i) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models A/1, A/2, A/3, A/4, A/5, A/6, A/7, A/8 and A/9 for
design matrices XI and X4 when Xi = 0.75, X2 = 0.75
and A/9 is true 225
6.22 Effect of changes in ^ and ^j on PCS for the true models
A/5 to A/8 226
6.23 Effect of changes in ki and h^. on PCS for the true model A/9 226
7.1 Factor analysis approach in testing the APT model 239
7.2 Summary of the number of observed variables used in testing
the APT model 248
7.3 Methods of generating innovations terms from observed
variables 250
7.4 Methods of estimating the risk premiums of the observed
variables 253
8.1 Unit root tests for the level of the observed variables in
the UK 263
8.2 Unit root tests for the first difference of the observed variables
in the UK. 263
8.3 Test of linear restrictions and serial correlation of residuals
from restricted autoregressive models for Oman 266
8.4 Unit root tests of residuals from restricted autoregressive
models for Oman 267
8.5 Chow test of parameter stability of restricted autoregressive
models for Oman 269
8.6 Determining the order of the VAR model for Oman 281
8.7 Diagnostic tests of the residuals from VAR models for Oman 282
8.8 Cointegration test of the five observed variables for Oman 284
9.1 Test of linear restrictions and serial correlation of residuals
from restricted autoregressive models for the UK 293
9.2 Estimate for prices of risk in the UK stock market 299
9.3 Test of linear restrictions and serial correlation of residuals
from restricted autoregressive models for Norway 300
9.4 Estimate for prices of risk in Norway s stock market 305
9.5 Test of linear restrictions and serial correlation of residuals
from restricted autoregressive models for Mexico 306
9.6 Estimate for prices of risk in Mexico s stock market 310
9.7 Test of linear restrictions and serial correlation of residuals
from restricted autoregressive models for Venezuela 311
List of Figures and Tables xiii
9.8 Estimate for prices of risk in Venezuela s stock market 315
9.9 Estimate for prices of risk in Oman s stock market 316
9.10 Multivariate canonical correlation tests of significance:
February 1993 December 1999 326
9.11 Eigenvalues and canonical correlations in the UK stock
market: February 1993 December 1999 327
9.12 Dimension reduction test in the UK stock market:
February 1993 December 1999 327
9.13 Correlations between excess returns variables and canonical
variates in the UK stock market: February 1993 December
1999 328
9.14 Correlations between the innovation terms and the canonical
variates in the UK stock market: February 1993 December
1999 329
9.15 Estimating the risk premiums of the observed variables in the
UK stock market: February 1993 December 1999 331
|
| adam_txt |
Contents
List of Figures and Tables vi
Preface xiv
Acknowledgements xv
1 Introduction 1
2 Testing Econometric Models 5
3 Testing for Block Effects 27
4 Model Selection Procedures 67
5 Information Criteria for Model Selection 91
6 Controlled Information Criteria for Model Selection 137
7 Arbitrage Pricing Model 229
8 Model Selection in Testing the Arbitrage Pricing Theory 257
9 Modelling the Risk Premium of Listed Stocks 287
Bibliography 335
Index 359
List of Figures and Tables
List of Figures
7.1 Methods of testing the arbitrage pricing theory 238
8.1 The observed variables for the UK 260
8.2 Residuals generated by restricted autoregressive models for
Oman 268
8.3 Plot of cumulative sum (CUSUM) and cumulative sum of
squares (CUSUMSQ) of recursive residuals for Oman 271
8.4 Residuals from the VAR (12) model for Oman 283
9.1 Residuals generated by restricted autoregressive models for the
UK 294
9.2 Plot of cumulative sum and cumulative sum of squares of the
recursive residuals for the UK 295
9.3 Residuals generated by restricted autoregressive models for
Norway 302
9.4 Plot of cumulative sum and cumulative sum of squares of the
recursive residuals for Norway 303
9.5 Residuals from restricted autoregressive models for Mexico 307
9.6 Plot of cumulative sum and cumulative sum of squares of the
recursive residuals for Mexico 308
9.7 Residuals generated by restricted autoregressive models for
Venezuela 312
9.8 Plot of cumulative sum and cumulative sum of squares of the
recursive residuals for Venezuela 313
9.9 Excess returns of eight sector indices in the UK stock market 324
List of Tables
3.1 Estimated values of the parameters based on models (3.23)
and (3.24) 37
3.2 Some estimates of the random coefficient model 37
3.3 Some estimates of random and fixed coefficient models 39
A3.1 Powers of the DW, LM1, LM2 and POI tests for the nx4
design matrix of cross sectional data for 1961 and 1976, n=32,
p=4 and a=.05 57
List of Figures and Tables vii
A3.2 Powers of the DW, LM1, LM2 and the POI tests for the nx4
design matrix of cross sectional data for 1966 and 1971, n=32,
p=4 and a=.O5 58
A3.3 Powers of the DW, LM1, LM2 and the POI tests for the nx4
design matrix of cross sectional data for 1961 and 1976, n=64,
p=4 and a=. 05 59
A3.4 Powers of t!;e DW, LM1, LM2 and the POI tests for the nx4
design matrix of cross sectional data for 1966 and 1971, n=64,
p=4 and a=05 60
A3.5 Powers of the DW, LM1, LM2 and the POI tests for the nx4
design matrix of cross sectional data for 1961 and 1976, n=96,
p=4anda=.O5 61
A3.6 Powers of the DW, LM 1, LM2 and the POI tests for the nx4
design matrix of cross sectional data for 1966 and 1971, n=96,
p=4 and a=.05 62
A3.7 Some optimal tests for two stage SSMN and SMN
distributions 63
A3.8 Some optimal tests for three stage SSMN and SMN
distributions 64
5.1 Comparison between PAIC, UAIC, PBIC and UBIC based
on estimated probabilities of choosing competing models
Model 1, Model 2 and Model 3 for design matrices XI, XI,
Xi, X4 and X5 when Model 1 is true 126
5.2 Comparison between PAIC, UAIC, PBIC and UBIC based on
estimated probabilities of choosing competing models
Model 1, Model 2 and Model 3 for design matrices XI, XI,
Xi, X4 and X5 when Model 2 is true 127
5.3 Comparison between PAIC, UAIC, PBIC and UBIC based on
estimated probabilities of choosing competing models
Model 1, Model 2 and Model 3 for design matrix X\ when
X = 0.1, 0.3, 0.5, 0.7 and 0.9 and Model 3 is true 129
5.4 Comparison between PAIC, UAIC, PBIC and UBIC based on
estimated probabilities of choosing competing models
Model 1, Model 2 and Model 3 for Design Matrix XI when
k = 0.1,0.3, 0.5, 0.7 and 0.9 and Model 3 is True. 130
5.5 Comparison between PAIC, UAIC, PBIC and UBIC based on
estimated probabilities of choosing competing models
Model 1, Model 2 and Model 3 for design matrix Xi when
X = 0.1, 0.3, 0.5, 0.7 and 0.9 and Model 3 is true 131
viii Econometric Analysis of Model Selection and Model Testing
5.6 Comparison between PAIC, UAIC, PBIC and UBIC based on
estimated probabilities of choosing competing models
Model 1, Model 2 and Model 3 for design matrix X4 when
k = 0.1, 0.3,0.5, 0.7 and 0.9 and Model 3 is true 132
5.7 Comparison between PAIC, UAIC, PBIC and UBIC based on
estimated probabilities of choosing competing models
Model 1, Model 2 and Model 3 for design matrix X5 when
k = 0.1, 0.3, 0.5, 0.7 and 0.9 and Model 3 is true 133
6.1 Comparison between controlled and other methods for design
matrix XI based on calculated probabilities of selecting
different models 146
6.2 Comparison between controlled and other methods for design
matrix XI based on calculated probabilities of selecting
different models 152
6.3 Comparison between controlled and other methods for design
matrix X3 based on calculated probabilities of selecting
different models 156
6.4 Comparison between controlled and other methods for design
matrix XA based on calculated probabilities of selecting
different models 160
6.5 Comparison between controlled and other methods for design
matrix A3 based on calculated probabilities of selecting
different models 164
6.6 Effect of choice of P1; Po and a values on the probabilities of
selecting competing models for different methods when
model MX with T = 20 is true 170
6.7 Effect of choice of P j, p0 and a values on the probabilities of
selecting competing models for different methods when
model A/2 with T = 20 is true 172
6.8 Effect of choice of P,, po and a values on the probabilities of
selecting competing models for different methods when
k = 0.1 and model A/3 with T = 20 is true 174
6.9 Effect of choice of P,, po and a values on the probabilities of
selecting competing models for different methods when
k = 0.3 and model Mi with T = 20 is true 176
6.10 Effect of choice of P ], Po and a values on the probabilities of
selecting competing models for different methods when
k = 0.5 and model A/3 with T = 20 is true 178
List of Figures and Tables ix
6.11 Effect of choice of p j, p0 and a values on the probabilities of
selecting competing models for different methods when
k = 0.7 and model M3 with T = 20 is true 180
6.12 Effect of choice of P ], po and o values on the probabilities of
selecting competing models for different methods when
X = 0.9 and model M3 is true 182
6.13 Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Ml, Ml, Mi, MA, M5, M6, Ml, MS, and M9 for
design matrices XI and XA when Ml is true 197
6.14 Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models MX, Ml, Mi, MA, M5, M6, Ml, A/8 and M9 for
design matrices XI and XA when Ml is true 199
6.15 Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Ml, M2, Mi, MA, M5, M6, Ml, M8 and M9 for
design matrices XI and XA when Mi is true 200
6.16 Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Ml, Ml, Mi, MA, M5, M6, M7, M8 and M9 for
design matrices XI and XA when MA is true 201
6.17(a) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Ml, Ml, Mi, MA, M5, M6, M7, M8 and M9 for
design matrices XI and XA when X^ = 0.25 and M5 is true 203
6.17(b) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Ml, M2, M3, MA, M5, M6, M7, M8 and M9 for
design matrices XI and XA when X^ = 0.5 and M5 is true 204
6.17(c) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Ml, M2, M3, M4, M5, M6, M7, M8 and M9 for
design matrices XI and XA when X^ = 0.75 and M5 is true 205
6.18(a) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of correctly competing
models Ml, M2, M3, M4, M5, M6, M7, M8 and M9 for
design matrices XI and XA when X^ = 0.25 and M6 is true 206
x Econometric Analysis of Model Selection and Model Testing
6.18(b) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of correctly competing
models A/1, Ml, A/3, A/4, A/5, A/6, A/7, A/8 and A/9 for
design matrices XI andX4 when h^ = 0.5 and A/6 is true 207
6.18(c) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of correctly competing
models A/1, Ml, A/3, A/4, A/5, A/6, A/7, A/8 and A/9 for
design matrices XI and A4 when ~k^ ~ 0 75 and A/6 is true 208
6.19(a) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Ml, Ml, A/3, A/4, M5, M6, Ml, A/8 and A/9 for
design matrices XI and X4 when Xj = 0.25 and A/7 is true 210
6.19(b) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models A/1, Ml, A/3, A/4, A/5, A/6, A/7, A/8 and A/9 for
design matrices .^2 and XA when X[ = 0.5 and A/7 is true 211
6.19(c) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models A/1, Ml, A/3, A/4, A/5, A/6, A/7, A/8 and A/9 for
design matrices XI and X4 when Xj = 0.75 and A/7 is true 212
6.20(a) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models A/1, A/2, A/3, MA, A/5, A/6, A/7, A/8 and A/9 for
design matrices XI and XA when Xj = 0.25 and A/8 is true 213
6.20(b) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models A/1, Ml, A/3, MA, A/5, A/6, Ml, A/8 and A/9 for
design matrices A2 and XA when Xj = 0. 5 and A/8 is true 214
6.20(c) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models A/1, Ml, Mi, MA, A/5, A/6, Ml, A/8 and A/9 for
design matrices XI and XA when Xj = 0.75 and A/8 is true 215
6.21 (a) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models A/1, Ml, A/3, A/4, A/5, A/6, Ml, A/8 and M9 for
design matrices XI andX4 when Xj = 0.25, Xj = 0.25
and A/9 is true 217
List of Figures and Tables xi
6.2 l(b) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Afl, Ml, Mi, MA, M5, M6, Ml, MS and A/9 for
design matrices XI andXA when Xj = 0.25, Xj = 0.5
and M9 is true 218
6.2 l(c) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Ml, Ml, Mi, MA, M5, M6, Ml, MS and M9 for
design matrices XI and A"4 when Xj = 0.25, Xj = 0.75
and A/9 is true 219
6.2 l(d) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models A/1, Ml, Mi, MA, M5, M6, Ml, MS and A/9 for
design matrices XI and XA when Xj = 0.5, X^ = 0.25
and A/9 is true 220
6.2 l(e) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Mi, Ml, Mi, MA, MS, MS, Ml, A/8 and A/9 for
design matrices XI and XA when Xj = 0.5, "L^ = 0 5
and A/9 is true 221
6.2 l(f) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Mi, Ml, Mi, MA, M5, M6, Ml, MS and A/9 for
design matrices XI and XA when Xj = 0.5, kj 0.75
and A/9 is true 222
6.2 l(g) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models Afl, Ml, Mi, MA, MS, M6, Ml, A/8 and A/9 for
design matrices XI and XA when Xj = 0.75, X2 = 0.25
and A/9 is true 223
6.2 l(h) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models A/1, Ml, Mi, MA, MS, M6, Ml, MS and A/9 for
design matrices XI and XA when Xj = 0.75, X2 = 0.5
and A/9 is true 224
xii Econometric Analysis of Model Selection and Model Testing
6.21(i) Comparison between PAIC, UAIC, PBIC, UBIC and CIC 1
based on estimated probabilities of choosing competing
models A/1, A/2, A/3, A/4, A/5, A/6, A/7, A/8 and A/9 for
design matrices XI and X4 when Xi = 0.75, X2 = 0.75
and A/9 is true 225
6.22 Effect of changes in ^ and ^j on PCS for the true models
A/5 to A/8 226
6.23 Effect of changes in 'ki and "h^. on PCS for the true model A/9 226
7.1 Factor analysis approach in testing the APT model 239
7.2 Summary of the number of observed variables used in testing
the APT model 248
7.3 Methods of generating innovations terms from observed
variables 250
7.4 Methods of estimating the risk premiums of the observed
variables 253
8.1 Unit root tests for the level of the observed variables in
the UK 263
8.2 Unit root tests for the first difference of the observed variables
in the UK. 263
8.3 Test of linear restrictions and serial correlation of residuals
from restricted autoregressive models for Oman 266
8.4 Unit root tests of residuals from restricted autoregressive
models for Oman 267
8.5 Chow test of parameter stability of restricted autoregressive
models for Oman 269
8.6 Determining the order of the VAR model for Oman 281
8.7 Diagnostic tests of the residuals from VAR models for Oman 282
8.8 Cointegration test of the five observed variables for Oman 284
9.1 Test of linear restrictions and serial correlation of residuals
from restricted autoregressive models for the UK 293
9.2 Estimate for prices of risk in the UK stock market 299
9.3 Test of linear restrictions and serial correlation of residuals
from restricted autoregressive models for Norway 300
9.4 Estimate for prices of risk in Norway's stock market 305
9.5 Test of linear restrictions and serial correlation of residuals
from restricted autoregressive models for Mexico 306
9.6 Estimate for prices of risk in Mexico's stock market 310
9.7 Test of linear restrictions and serial correlation of residuals
from restricted autoregressive models for Venezuela 311
List of Figures and Tables xiii
9.8 Estimate for prices of risk in Venezuela's stock market 315
9.9 Estimate for prices of risk in Oman's stock market 316
9.10 Multivariate canonical correlation tests of significance:
February 1993 December 1999 326
9.11 Eigenvalues and canonical correlations in the UK stock
market: February 1993 December 1999 327
9.12 Dimension reduction test in the UK stock market:
February 1993 December 1999 327
9.13 Correlations between excess returns variables and canonical
variates in the UK stock market: February 1993 December
1999 328
9.14 Correlations between the innovation terms and the canonical
variates in the UK stock market: February 1993 December
1999 329
9.15 Estimating the risk premiums of the observed variables in the
UK stock market: February 1993 December 1999 331 |
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| author | Bhatti, Muhammad Ishaq 1957- Al-Shanfari, Hatem Hossain, M. Zakir |
| author_GND | (DE-588)171216245 |
| author_facet | Bhatti, Muhammad Ishaq 1957- Al-Shanfari, Hatem Hossain, M. Zakir |
| author_role | aut aut aut |
| author_sort | Bhatti, Muhammad Ishaq 1957- |
| author_variant | m i b mi mib h a s has m z h mz mzh |
| building | Verbundindex |
| bvnumber | BV021683352 |
| callnumber-first | H - Social Science |
| callnumber-label | HB141 |
| callnumber-raw | HB141 |
| callnumber-search | HB141 |
| callnumber-sort | HB 3141 |
| callnumber-subject | HB - Economic Theory and Demography |
| classification_rvk | QH 320 |
| ctrlnum | (OCoLC)62177810 (DE-599)BVBBV021683352 |
| dewey-full | 330.01/5195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.01/5195 |
| dewey-search | 330.01/5195 |
| dewey-sort | 3330.01 45195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
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| illustrated | Illustrated |
| index_date | 2024-07-02T15:12:03Z |
| indexdate | 2024-07-09T20:41:35Z |
| institution | BVB |
| isbn | 0754637158 |
| language | English |
| lccn | 2005933219 |
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| physical | xiii, 363 p. ill. 24 cm |
| publishDate | 2006 |
| publishDateSearch | 2006 |
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| publisher | Ashgate |
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| spelling | Bhatti, Muhammad Ishaq 1957- Verfasser (DE-588)171216245 aut Econometric analysis of model selection and model testing M. Ishaq Bhatti, Hatem Al-Shanfari and M. Zakir Hossain Aldershot[u.a.] Ashgate 2006 xiii, 363 p. ill. 24 cm txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references (p. [335]-358) and index Ökonometrisches Modell Econometric models Modellwahl (DE-588)4304786-5 gnd rswk-swf Testen (DE-588)4367264-4 gnd rswk-swf Modell (DE-588)4039798-1 gnd rswk-swf Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Ökonometrie (DE-588)4132280-0 s Modellwahl (DE-588)4304786-5 s DE-604 Modell (DE-588)4039798-1 s Testen (DE-588)4367264-4 s DE-188 Arbitrage-Pricing-Theorie (DE-588)4112584-8 s Al-Shanfari, Hatem Verfasser aut Hossain, M. Zakir Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014897538&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bhatti, Muhammad Ishaq 1957- Al-Shanfari, Hatem Hossain, M. Zakir Econometric analysis of model selection and model testing Ökonometrisches Modell Econometric models Modellwahl (DE-588)4304786-5 gnd Testen (DE-588)4367264-4 gnd Modell (DE-588)4039798-1 gnd Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd Ökonometrie (DE-588)4132280-0 gnd |
| subject_GND | (DE-588)4304786-5 (DE-588)4367264-4 (DE-588)4039798-1 (DE-588)4112584-8 (DE-588)4132280-0 |
| title | Econometric analysis of model selection and model testing |
| title_auth | Econometric analysis of model selection and model testing |
| title_exact_search | Econometric analysis of model selection and model testing |
| title_exact_search_txtP | Econometric analysis of model selection and model testing |
| title_full | Econometric analysis of model selection and model testing M. Ishaq Bhatti, Hatem Al-Shanfari and M. Zakir Hossain |
| title_fullStr | Econometric analysis of model selection and model testing M. Ishaq Bhatti, Hatem Al-Shanfari and M. Zakir Hossain |
| title_full_unstemmed | Econometric analysis of model selection and model testing M. Ishaq Bhatti, Hatem Al-Shanfari and M. Zakir Hossain |
| title_short | Econometric analysis of model selection and model testing |
| title_sort | econometric analysis of model selection and model testing |
| topic | Ökonometrisches Modell Econometric models Modellwahl (DE-588)4304786-5 gnd Testen (DE-588)4367264-4 gnd Modell (DE-588)4039798-1 gnd Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Ökonometrisches Modell Econometric models Modellwahl Testen Modell Arbitrage-Pricing-Theorie Ökonometrie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014897538&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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