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Determining security speed of adjustment coefficients
Posted: Thu Mar 13, 2014 2:15 pm
by prashantj
Dear Tom,
I am looking for the code for the work done by Michael Theobald and Peter Yallup. The detail of their article is as follows:
Michael Theobald and Peter Yallup(2004), Determining Security Speed of Adjustment Coeffiecients, Journal of Financial Markets,vol.7, pp. 75-96.
I shall be grateful for your reply,
Best,
Prashant
Re: Determining security speed of adjustment coefficients
Posted: Thu Mar 13, 2014 3:21 pm
by TomDoan
Doesn't that just require fitting ARMA(1,1) models?
Re: Determining security speed of adjustment coefficients
Posted: Thu Mar 13, 2014 9:14 pm
by prashantj
thanks for your reply. AR coefficient reflects 1-∏ value. the authors mentioned that ∏ is the speed of adjustment coefficient. So we have to subtract AR coefficient value from 1 to get the value of ∏. I would like to know how do I test for statistical significance of 1-AR coefficient? please. I mean which one is better--t-test or wald test?
Prashant
Re: Determining security speed of adjustment coefficients
Posted: Fri Mar 14, 2014 6:23 am
by TomDoan
prashantj wrote:thanks for your reply. AR coefficient reflects 1-∏ value. the authors mentioned that ∏ is the speed of adjustment coefficient. So we have to subtract AR coefficient value from 1 to get the value of ∏. I would like to know how do I test for statistical significance of 1-AR coefficient? please. I mean which one is better--t-test or wald test?
Prashant
They're numerically identical.
If you have a specific question about a specific calculation, please ask it directly. I don't appreciate having to fish up a relatively obscure paper only to discover it's an application of a fairly simple model.
Re: Determining security speed of adjustment coefficients
Posted: Sat Mar 15, 2014 1:33 am
by prashantj
Sure. Sorry for the inconvenience.
Prashant