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| Dec 03 2012 |
Ke Yang |
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Multivariate Local Polynomial Regression With Autocorrelated Errors |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 22 2012 |
Gijsbert Suren and Guilherme Moura |
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Heteroskedastic Dynamic Factor Models: A Monte Carlo Study |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Aug 28 2012 |
Shigeyuki Hamori and Yoshihiro Hashiguchi |
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Small sample properties of CIPS panel unit root test under conditional and unconditional heteroskedasticity |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 19 2012 |
Esmeralda Ramalho , Joaquim Ramalho and Jose M.R. Murteira |
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A supremum-type RESET test for binary choice models |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 27 2012 |
Takuya Hasebe |
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The tests for the level moment conditions: GMM estimation in a linear dynamic panel data model |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 18 2011 |
David E Giles and Hui Feng |
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Reducing the bias of the maximum likelihood estimator for the Poisson regression model |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 26 2011 |
Rachida Ouysse |
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Computationally efficient approximation for the double bootstrap mean bias correction |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 25 2011 |
Marcio Laurini |
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Bayesian Factor Selection in Dynamic Term Structure Models |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 28 2010 |
Ivan Jeliazkov and Rui Liu |
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A model-based ranking of U.S. recessions |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| May 12 2010 |
Daniel Ventosa-santaulària |
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Testing for an irrelevant regressor in a simple cointegration analysis |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jan 11 2010 |
Samih A Azar |
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Random risk aversion and the cost of eliminating the foreign exchange risk of the Euro |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 09 2009 |
Patrick Richard |
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Improving the accuracy of the analytical indirect inference estimator for MA models. |
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Abstract Contact Information Citation Full Text - Note |
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| Sep 16 2009 |
Brennan S. Thompson |
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Nonparametric estimation and specification testing of a two-factor interest rate model |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Sep 02 2009 |
Stephen Norman |
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Testing for a unit root against ESTAR nonlinearity with a delay parameter greater than one. |
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Abstract Contact Information Citation Full Text - Note |
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| Sep 02 2009 |
Katsuhiro Sugita |
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A Monte Carlo comparison of Bayesian testing for cointegration rank |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 02 2009 |
Takamitsu Kurita |
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A note on small-sample correction for hypothesis testing on cointegrating vectors: recursive Monte Carlo analysis |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 05 2009 |
Helena Veiga |
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Financial Stylized Facts and the Taylor-Effect in Stochastic Volatility Models |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 21 2008 |
David Jacho-Chávez |
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k nearest-neighbor estimation of inverse density weighted expectations |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 18 2008 |
Andrea Cerasa |
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Panel Unit Root Tests and the Specification of Cross-sectional Dependence |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 14 2008 |
Katsuhiro Sugita |
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Bayesian analysis of a vector autoregressive model with multiple structural breaks |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 19 2008 |
Andrea Cerasa |
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CIPS test for Unit Root in Panel Data: further Monte Carlo results |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 06 2008 |
Manami Ogura |
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The examination of the validity of the Divisia price index for the almost ideal demand system model: Some Monte Carlo results |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 27 2008 |
Deniz Dilan Karaman Örsal |
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Comparison of Panel Cointegration Tests |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Nov 03 2007 |
Kazumitsu Nawata |
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A monte carlo analysis of the type II tobit maximum likelihood estimator when the true model is the type I tobit model |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 31 2007 |
Jamel JOUINI and Mohamed BOUTAHAR |
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Spuriousness of information criteria when selecting the number of breaks in stationary AR(p) process |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 10 2007 |
Jamel JOUINI and Mohamed BOUTAHAR |
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wrong estimation of the true number of shifts in structural break models: Theoretical and numerical evidence |
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Abstract Contact Information Citation Full Text - Note |
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| Dec 06 2006 |
Haibin Wu |
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Wavelet Estimation of Time Series Regression with Long Memory Processes |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 06 2006 |
Jonas Andersson |
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Searching for the DGP when forecasting - Is it always meaningful for small samples? |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 03 2006 |
Fulvia Focker and Umberto Triacca |
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A new proxy of the average volatility of a basket of returns: A Monte Carlo study |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| May 25 2006 |
Johan Lyhagen |
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The seasonal KPSS statistic |
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Abstract Contact Information Citation Full Text - Note |
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| Feb 22 2006 |
Barry Falk and Anindya Roy |
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Efficiency Tradeoffs in Estimating the Linear Trend Plus Noise Model |
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Abstract Contact Information Citation Full Text - Note |
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| Dec 27 2005 |
Kazuhiko Kakamu |
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Bayesian Estimation of A Distance Functional Weight Matrix Model |
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Abstract Contact Information Citation Full Text - Note |
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| Dec 19 2005 |
Dimitris Hatzinikolaou and Athanassios Stavrakoudis |
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A New Variant of RESET for Distributed Lag Models |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Nov 30 2005 |
S. C. Goh |
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Simple Edgeworth approximations for semiparametric averaged derivatives |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 01 2005 |
Théophile Azomahou and Dong Li |
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A consistent nonparametric estimation of spatial autocovariances |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 10 2005 |
Patrik Guggenberger |
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Monte-carlo evidence suggesting a no moment problem of the continuous updating estimator |
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Abstract Contact Information Citation Full Text - Note |
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| Feb 24 2005 |
Min-Hsien Chiang and Chihwa Kao |
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Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Model |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 17 2005 |
Robert Taylor |
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On the limiting behaviour of augmented seasonal unit root tests |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 10 2005 |
Sunil Sapra |
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"A regression error specification test (RESET) for generalized linear models". |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 08 2004 |
Peter E. Kennedy and John Elder |
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More on F versus t tests for unit roots when there is no trend |
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Abstract Contact Information Citation Full Text - Comment |
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| Sep 22 2004 |
Ted Juhl |
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A nonparametric adjustment for tests of changing mean |
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Abstract Contact Information Citation Full Text - Note |
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| Sep 16 2004 |
Francesca Di Iorio and Stefano Fachin |
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Models of labour demand with fixed costs of adjustment: a generalised tobit approach |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 15 2004 |
Sudhanshu Mishra |
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Multicollinearity and maximum entropy leuven estimator |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jun 19 2004 |
Valerie Mignon and Sandrine Lardic |
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The exact maximum likelihood estimation of ARFIMA processes and model selection criteria: A Monte Carlo study |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 12 2004 |
SK Mishra |
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Median as a weighted arithmetic mean of all sample observations |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jun 01 2004 |
SK Mishra |
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Median as a weighted arithmetic mean of all sample observations |
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Abstract Contact Information Citation Full Text - Note |
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| May 13 2004 |
Olivier Darné |
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The effects of additive outliers on stationarity tests: a monte carlo study |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 09 2004 |
Paulo M. M. Rodrigues and Andrew Tremayne |
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F versus t tests for unit roots: a comment |
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Abstract Contact Information Citation Full Text - Comment |
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| Mar 16 2004 |
Steven Cook |
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On the finite-sample power of modified Dickey-Fuller tests: The role of the initial condition |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 29 2003 |
Jérôme Fillol |
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Multifractality: Theory and Evidence an Application to the French Stock Market |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 26 2003 |
Boriss Siliverstovs |
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Unusual behaviour of Dickey-Fuller tests in the presence of trend misspecification: comment |
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Abstract Contact Information Citation Full Text - Comment |
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| Oct 08 2003 |
David O. Cushman |
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Further evidence on the size and power of the Bierens and Johansen cointegration procedures |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 07 2003 |
jérôme Fillol and Fabien Tripier |
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The scaling function-based estimator of the long memory parameter: a comparative study |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 16 2003 |
Robert Phillips |
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Some Monte Carlo results for a generalized error component model with heteroskedastic disturbances |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 01 2002 |
Elena Casquel and Ezequiel Uriel |
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An efficient monte carlo study of two-step generalized least squares estimators for random-effects panel data models |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 17 2001 |
Quirino Paris |
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Multicollinearity and maximum entropy estimators |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jul 26 2001 |
Claudio Lupi and Patrizia Ordine |
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Testing for asymmetry in economic time series using bootstrap methods |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 17 2001 |
Steven Cook |
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Asymmetric unit root tests in the presence of structural breaks under the null |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| May 04 2001 |
Peter E. Kennedy and John Elder |
| |
F versus t tests for unit roots |
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Abstract Contact Information Citation Full Text - Note |
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