Zobrazeno 1 - 10
of 33
pro vyhledávání: '"Diego Lubian"'
Autor:
Diego Lubian
Publikováno v:
Economics & Sociology, Vol 13, Iss 1 (2020)
Externí odkaz:
https://doaj.org/article/3e145e66cf35430eb69fdadde56b8552
Autor:
Nunzio Cappuccio, Diego Lubian
Publikováno v:
Econometrics, Vol 4, Iss 2, p 21 (2016)
In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series. In this note, we point out that this procedure may imply large size distortion of the unit root tests if the DGP is a VAR. It is w
Externí odkaz:
https://doaj.org/article/ff256425ac994617870c1c4156d81123
Autor:
Diego Lubian
This article provides empirical evidence on the existence and the extent of the influence of trust in financial decisions using individual data on Italian households from the Survey on Household Income and Wealth, 2010. This article studies the relat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9647e76662cf122378b9f8ae08aeffb6
https://doi.org/10.4018/978-1-7998-8049-3.ch005
https://doi.org/10.4018/978-1-7998-8049-3.ch005
Autor:
Diego Lubian
This article provides empirical evidence on the existence and the extent of the influence of trust in financial decisions using individual data on Italian households from the Survey on Household Income and Wealth, 2010. This article studies the relat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f968d57a9892eb68d76eed3911f7edd3
http://hdl.handle.net/11562/1021547
http://hdl.handle.net/11562/1021547
Autor:
Nunzio Cappuccio, Diego Lubian
Publikováno v:
Statistical Methods and Applications. 19:237-253
Stationarity tests exhibit extreme size distortions if the observable process is stationary yet highly persistent. In this paper we provide a theoretical explanation for the size distortion of the KPSS test for DGPs with a broad range of first order
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::008a336975cc08d18960cdf4e6d59f74
https://doi.org/10.1007/s10260-010-0130-3
https://doi.org/10.1007/s10260-010-0130-3
Autor:
Nunzio Cappuccio, Diego Lubian
Publikováno v:
Oxford Bulletin of Economics and Statistics. 58:409-415
In this paper we provide a proof of the ‘Granger representation theorem’ starting from Phillips' triangular representation of a cointegrated system. Proofs of the theorem have already been provided but starting either from the MA representation o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3b3f6929e39dec6dcec12b358fbed2f0
https://doi.org/10.1111/j.1468-0084.1996.mp58002011.x
https://doi.org/10.1111/j.1468-0084.1996.mp58002011.x
Publikováno v:
Scopus-Elsevier
We carried out a survey among a large group of undergraduate students of different disciplines and different years to test whether the study of economics or scientific majors influences the degree by which people are affected by money illusion. We fi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::d9d9d4685207efa57e42a0c37c952aeb
http://www.accessecon.com/pubs/EB/2008/Volume1/EB-08A20001A.pdf
http://www.accessecon.com/pubs/EB/2008/Volume1/EB-08A20001A.pdf
We study the power of four popular unit root tests in the presence of a local-to-finite variance DGP. We characterize the asymptotic distribution of these tests under a sequence of local alternatives, considering both stationary and explosive ones. W
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::904ee91ec239c53c6daea687360e5344
http://hdl.handle.net/11562/955151
http://hdl.handle.net/11562/955151
Publikováno v:
Applied Financial Economics. 16:479-490
This study provides empirical evidence on asymmetry in financial returns using a simple stochastic volatility model which allows a parsimonious yet flexible treatment of both skewness and heavy tails in the conditional distribution of returns. In par
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e5ef0c3a2c7bad2b5a4004f43d455b4e
https://doi.org/10.1080/09603100500397179
https://doi.org/10.1080/09603100500397179
Publikováno v:
Journal of Statistical Planning and Inference. 116:277-303
In this paper, we study the limiting distribution of the OLS estimators and t-statistics of the null hypothesis of a unit root in various regression models when the true generating mechanism is either a driftless random walk or a random walk with dri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6ea0f65dbc5e6c938b608d54822fcd81
https://doi.org/10.1016/s0378-3758(02)00236-7
https://doi.org/10.1016/s0378-3758(02)00236-7