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The maximum number of parameters for the Hausman test when the estimators are from different Sets of equations
Nawata, Kazumitsu; McAleer, Michael - 2013
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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How does Zinfluence affect article influence?
Chang, Chia-Lin; McAleer, Michael; Oxley, Les - 2010
Persistent link: https://www.econbiz.de/10003995686
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Ranking leading econometrics journals using citations data from ISI and RePEc
Chang, Chia-Lin; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10010354385
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Ranking leading econometrics journals using citations data from ISI and RePEc
Zhang, Jialin; McAleer, Michael - 2013
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
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Big data, computational science, economics, finance, marketing, management, and psychology : connections
Chang, Chia-Lin; McAleer, Michael; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-29
, Marketing, Management, and Psychology, and discusses research issues that are related to the various disciplines. Academics …
Persistent link: https://www.econbiz.de/10011855163
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Expert opinion versus expertise in forecasting
Franses, Philip Hans (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003780793
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Moment restriction-based econometric methods : an overview
Kunitomo, Naoto; McAleer, Michael; Nishiyama, Yoshihiko - 2010
Persistent link: https://www.econbiz.de/10008666915
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Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008689069
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Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10003987667
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Asymmetry and leverage in conditional volatility models
McAleer, Michael - 2014
The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...
Persistent link: https://www.econbiz.de/10010405194