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econometrics journals taken from the Thomson Reuters ISI Web of Science (ISI) Category of Economics, using citations data from ISI …
Persistent link: https://www.econbiz.de/10010711829
Hausman (1978) developed a widely-used model specification test that has passed the test of time. The test is based on two estimators, one being consistent under the null hypothesis but inconsistent under the alternative, and the other being consistent under both the null and alternative...
Persistent link: https://www.econbiz.de/10010226558
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econometrics journals taken from the Thomson Reuters ISI Web of Science (ISI) Category of Economics, using citations data from ISI …
Persistent link: https://www.econbiz.de/10010224785
Persistent link: https://www.econbiz.de/10008748097
DAMGARCH extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. DAMGARCH models the shocks affecting the conditional variances on the basis of an underlying multivariate distribution....
Persistent link: https://www.econbiz.de/10012720446
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econometrics journals taken from the Thomson Reuters ISI Web of Science (ISI) Category of Economics, using citations data from ISI …
Persistent link: https://www.econbiz.de/10010326514
econometrics journals taken from the Thomson Reuters ISI Web of Science (ISI) Category of Economics, using citations data from ISI …
Persistent link: https://www.econbiz.de/10010421304