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Two sided analysis of variance with a latent time series

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Author Info

  • Lars Hougaard Hansen

    (University of Copenhagen and Codan forsikring)

  • Bent Nielsen

    ()
    (Nuffield College, Oxford University, UK)

  • Jens Perch Nielsen

    (Codan forsikring)

Abstract

Many real life regression problems exhibit some kind of calender time dependency and it is often of interest to predict the behavior of the regression function along this calender time direction. This can be formulated as a regression model with an added latent time series and the task is to be able to analyse this series. In this paper we engage this through a two step procedure, firstly we treat the time dependent elements as parameters and estimate them in the two-sided analysis of variance setup, secondly we use the estimated time series as predictor of the latent time series. An application to risk theory is discussed.

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File URL: http://www.nuff.ox.ac.uk/economics/papers/2004/w25/latent.pdf
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Bibliographic Info

Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2004-W25.

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Length: 12 pages
Date of creation: 18 Oct 2004
Date of revision:
Handle: RePEc:nuf:econwp:0425

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Web page: http://www.nuff.ox.ac.uk/economics/

Related research

Keywords: regression; time series; risk theory;

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References

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  1. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000. "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November.
  2. M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
  3. Nielsen, B., 1995. "Bartlett Correction of the Unit Root test in Autoregressive Models," Economics Papers, Economics Group, Nuffield College, University of Oxford 98, Economics Group, Nuffield College, University of Oxford.
  4. Bent Nielsen, 1999. "The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes," Economics Series Working Papers, University of Oxford, Department of Economics 1999-W19, University of Oxford, Department of Economics.
  5. Lai, T. L. & Wei, C. Z., 1983. "Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 13(1), pages 1-23, March.
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Cited by:
  1. Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24504, London School of Economics and Political Science, LSE Library.
  2. Szymon Borak & Wolfgang Härdle & Enno Mammen & Byeong U. Park, 2007. "Time Series Modelling with Semiparametric Factor Dynamics," SFB 649 Discussion Papers SFB649DP2007-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

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