We propose a jackknife for reducing the order of the bias of maximum likelihood estimates of nonlinear dynamic fixed-effect panel models. In its simplest form, the half-panel jackknife, the estimatorisjust 2θˆ−θ1/2,where θˆ!istheMLEfromthefullpaneland θ1/2 istheaverageofthe two...

We investigate the existence of chart patterns in the Euro/Dollar intra-daily foreign exchange market. We use two identification methods of the different chart patterns: one built on close prices only, and one based on low and high prices. We look for twelve types of chart patterns and we study...

Copulas are extensively used for dependence modeling. In many cases the data does not reveal how the dependence can be modeled using a particular parametric copula. Nonparametric copulas do not share this problem since they are entirely data based. This paper proposes nonparametric estimation of...

The EGARCH is a popular model for discrete time volatility since it allows for asymmetric effects and naturally ensures positivity even when including exogenous variables. Estimation and inference is usually done via maximum likelihood. Although some progress has been made recently, a complete...

In this paper, we study maximum likelihood estimation and Lagrange multiplier testing of a one-way error components regression model suitable for incomplete panel and including parametrically specified variance functions for both individual-specific and general error disturbances.

This paper examines the empirical interplay between economic growth and greenhouse gas emissions using panel data. Relying on nonparametric methods, we find evidence supporting specifications which assume the constancy of the relationship between CO2 emissions and GDP per capita during the...

This paper examines the empirical interplay between economic growth and greenhouse gas emissions using panel data. Relying on nonparametric methods, we find evidence supporting specifications which assume the constancy of the relationship between CO2 emissions and GDP per capita during the...

Novel model specifications that include a time-varying long run component in the dynamics of realized covariance matrices are proposed. The adopted modeling framework allows the secular component to enter the model structure either in an additive fashion or as a multiplicative factor, and to be...

In this paper, we study the behaviour of second order pseudo-maximum likelihood estimators under conditional variance misspecification. We first determine sufficient and essentially necessary conditions for such an estimator to be, regardless of the conditional variance (mis)specification,...

This article deals with the estimation of the parameters of an -stable distribution by the indirect inference method with the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate for an auxiliary model since it has the same number of parameters as the...