Similar Search Results

Standard errors of marginal effects in the heteroskedastic probit model

Cornelißen, Thomas (contributor) - 2005

In non-linear regression models, such as the heteroskedastic probit model, coefficients cannot be interpreted as marginal effects. Marginal effects can be computed as a non-linear combination of the regression coefficients. Standard errors of the marginal effects needed for inference and...

Persistent link: https://www.econbiz.de/10003091785

Error and generalization in discrete choice under risk

Wilcox, Nathaniel T. - 2015

Persistent link: https://www.econbiz.de/10011406788

A multinomial and rank-ordered logit model with inter- and intraindividual heteroscedasticity

Castelein, Anoek; Fok, Dennis; Paap, Richard - 2020

document that interand intra-individual heteroscedasticity both exist. …

Persistent link: https://www.econbiz.de/10012427691

A Multinomial and Rank-Ordered Logit Model With Inter- and Intra-Individual Heteroscedasticity

Castelein, Anoek; Fok, D.; Paap, Richard - 2020

document that inter- and intra-individual heteroscedasticity both exist …

Persistent link: https://www.econbiz.de/10014093304

Misspecified heteroskedasticity in the panel probit model : a small sample comparison of GMM and SML estimators

Inkmann, Joachim - 1999

This paper compares generalized method of moments (GMM) and simulated maximum likeli- hood (SML) approaches to the estimation of the panel probit model. Both techniques circumvent multiple integration of joint density functions without the need to restrict the error term variance-covariance...

Persistent link: https://www.econbiz.de/10011545114

Efficient estimation in heteroscedastic varying coefficient models

Wei, Chuanhua; Wan, Lijie - In: Econometrics : open access journal 3 (2015) 3, pp. 525-531

This paper considers statistical inference for the heteroscedastic varying coefficient model. We propose an efficient estimator for coefficient functions that is more efficient than the conventional local-linear estimator. We establish asymptotic normality for the proposed estimator and conduct...

Persistent link: https://www.econbiz.de/10011297551

Testing conditional moment restriction models using empirical likelihood

Berger, Yves G. - In: The econometrics journal 25 (2022) 2, pp. 384-403

Persistent link: https://www.econbiz.de/10013253841

An application of directional quantiles to economic data with a multivariate response

Kalina, Jan - In: Serbian journal of management : an international … 15 (2020) 2, pp. 193-203

Persistent link: https://www.econbiz.de/10012418067

Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … conditional heteroscedasticity Lagrange multiplier (ARCHLM) techniques in conducting the empirical analysis. Descriptive …, estimates from the ARCHLM model provide evidence of heteroscedasticity in most of the sectors’ returns. Overall results from the …

Persistent link: https://www.econbiz.de/10011862130

An intersection-union test for the sharpe ratio

Frahm, Gabriel - In: Risks : open access journal 6 (2018) 2, pp. 1-13

An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection–union test takes serial dependence into account and...

Persistent link: https://www.econbiz.de/10011866388

1
2
3
4
5
6
7
8
9
10
Next
Last