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Alright : asymmetric LaRge-scale (I)GARCH with Hetero-Tails

Paolella, Marc S.; Polak, Pawel - In: International review of economics & finance : IREF 40 (2015), pp. 282-297

Persistent link: https://www.econbiz.de/10011573592

Generalized spatialt two stage least squares estimation of spatial autoregressive models with autoregressive disturbances in the presence of endogenous regressors and many instrume...

Jin, Fei; Lee, Lung-fei - In: Econometrics : open access journal 1 (2013) 1, pp. 71-114

This paper studies the generalized spatial two stage least squares (GS2SLS) estimation of spatial autoregressive models with autoregressive disturbances when there are endogenous regressors with many valid instruments. Using many instruments may improve the efficiency of estimators...

Persistent link: https://www.econbiz.de/10009754510

Outlier detection in regression using an iterated one-step approximation to the huber-skip estimator

Johansen, Søren; Nielsen, Bent - In: Econometrics : open access journal 1 (2013) 1, pp. 53-70

In regression we can delete outliers based upon a preliminary estimator and re-estimate the parameters by least squares based upon the retained observations. We study the properties of an iteratively defined sequence of estimators based on this idea. We relate the sequence to the Huber-skip...

Persistent link: https://www.econbiz.de/10009754516

On diagnostic checking of vector ARMA-GARCH models with Gaussian and Student-t innovations

Wang, Yongning; Tsay, Ruey S. - In: Econometrics : open access journal 1 (2013) 1, pp. 1-31

This paper focuses on the diagnostic checking of vector ARMA (VARMA) models with multivariate GARCH errors. For a … fitted VARMA-GARCH model with Gaussian or Student-t innovations, we derive the asymptotic distributions of autocorrelation … available in the literature. In addition, we also investigate the effect of GARCH shocks on checking a fitted VARMA model …

Persistent link: https://www.econbiz.de/10009754537

Mean reversion in stock prices of seven Asian stock markets : unit root test and stationary test with Fourier functions

Wang, Juan; Zhang, Dongxiang; Zhang, Jian - In: International review of economics & finance : IREF 37 (2015), pp. 157-164

Persistent link: https://www.econbiz.de/10011538307