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Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU) >
Lehrstuhl für Statistik und Ökonometrie, Universität Erlangen-Nürnberg >
Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg >
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http://hdl.handle.net/10419/29598
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Fischer, Matthias J. | | en_US |
| dc.date.accessioned | | 2009-12-02 | | en_US |
| dc.date.accessioned | | 2010-01-13T14:06:33Z | | - |
| dc.date.available | | 2010-01-13T14:06:33Z | | - |
| dc.date.issued | | 2006 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/29598 | | - |
| dc.description.abstract | | A new test for constant correlation is proposed. The TC-test is derived as Lagrange multiplier (LM) test. Whereas most of the traditional tests (e.g. Jennrich, 1970, Tang, 1995 and Goetzmann, Li & Rouwenhorst, 2005) specify the unknown correlations as piecewise constant, our model-setup for the correlation coefficient is based on trigonometric functions. The simulation results demonstrate that the TC-test guarantees correct empirical size, is powerful against many alternatives and able to detect structural breaks in correlations. Finally, application of the TC-test to foreign exchange rate data over the period of 15 years is given. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und empirische Wirtschaftsforschung Nürnberg | | en_US |
| dc.relation.ispartofseries | | Diskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 74/2006 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.title | | Testing for constant correlation by means of trigonometric functions | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 614055504 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Diskussionspapiere des Lehrstuhls für Statistik und Ökonometrie, FAU Erlangen-Nürnberg
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