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heteroskedasticity and serial correlation. The limit theory of the LAD estimator is obtained without assuming the finite density …
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. Concordant with existing theory (Phillips, 1986, 1998; Sun, 2004, 2014), the usual t test and HAC standardized test fail to …
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. Limit theory for the sample kurtosis reveals that STUR specifications provide two sources of excess kurtosis, both of which …
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We propose a functional estimation procedure for homogeneous stochastic differential equations based on a discrete sample of observations and with minimal requirements on the data generating process. We show how to identify the drift and diffusion function in situations where one or the other...
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