Peltonen, Tuomo; Popescu, Adina; Sager, Michael - 2009
;
3 Wellington Management, 75 State Street, Boston, MA 02109, USA
and University of Warwick, Coventry CV4 7AL, UK;
e … univariate ESTAR speci�cation of Lothian and Taylor (2007) to a panel frame-
work. To our knowledge, this is the �rst application …)
+ 2(qit 1 i)(qit d i)2 + uit (10)
6To the best of our knowledge, appropriate tests for heterogeneity, cross …