Document Type

Journal Article

Department/Unit

Department of Economics

Abstract

The technique of ANOVA has been widely used in economics and finance where the observations are usually time-dependent but the model itself is treated as independent in time. In this paper, we extend an ANOVA model by relaxing the assumption of independence in time. We further relax the assumption of homoskedasticity in the traditional profile analysis by introducing GARCH innovations in our proposed profile analysis that allows for both autoregressive and moving average components in the heteroskedastic variance to display a high degree of persistence. We reprise the model with regards to the issue of American depository receipts by relaxing the time-dependence assumption that has been ignored in the literature. Applying our model, we find that the returns from the stocks and the American depository receipts are time-dependent and hence the traditional ANOVA cannot fully explore the time effect from the data.

Publication Year

2008

Journal Title

Mathematics and Computers in Simulation

Volume number

77

Issue number

1

Publisher

Elsevier

First Page (page number)

1

Last Page (page number)

8

Referreed

1

DOI

10.1016/j.matcom.2006.12.011

ISSN (print)

0378-4754

Link to Publisher’s Edition

http://dx.doi.org/10.1016/j.matcom.2006.12.011

Keywords

ANOVA, MANOVA, GARCH model, Time-dependence, Profile analysis, Treatment, American depository receipts

Included in

Economics Commons

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