The AUTOREG procedure can produce two kinds of predicted values for the response series and corresponding residuals and confidence limits. The residuals in both cases are computed as the actual value ...
This is a preview. Log in through your library . Abstract This paper tests for the presence of output mean and variance nonlinearities in international industrial production and UK and US sectoral ...
Annales d'Économie et de Statistique, No. 91/92, Econometric Evaluation of Public Policies: Methods and Applications (JULY - DECEMBER 2008), pp. 175-187 (13 pages) In paired randomized experiments ...
Abstract: A radar detection scheme based on a GARCH clutter model has been proposed recently. This adaptive detector depends on the conditional variance of the GARCH ...
The exponentially weighted moving average (EWMA) estimator is widely used to forecast the conditional volatility of short-horizon asset returns. The EWMA estimator is appropriate when returns are ...
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