Showing 1 - 10 of 17
We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are more general than the truncated Gram-Charlier expansions of Jondeau and Rochinger (2001), who impose parameter restrictions to ensure positivity....
Persistent link: https://www.econbiz.de/10005611898
null hypotheses of multivariate normal and Student t innovations, and decompose them into skewness and kurtosis components …
Persistent link: https://www.econbiz.de/10005827087
Multiplier-type tests into skewness and kurtosis components, from which we obtain more powerful one-sided Kuhn-Tucker versions …
Persistent link: https://www.econbiz.de/10008518040
Persistent link: https://www.econbiz.de/10005475095
The factor GARCH model of Engle (1987) and the latent factor ARCH model of Diebold and Nerlove (1989) have become rather popular multivariate volatility parameterizations due to their parsimony, and the commonality in volatility movements across different financial series. Nevertheless, there is...
Persistent link: https://www.econbiz.de/10005475106
Persistent link: https://www.econbiz.de/10005661208
This chapter focuses on two of the developments in panel data econometrics since the Handbook chapter by Chamberlain …
Persistent link: https://www.econbiz.de/10005661210
Persistent link: https://www.econbiz.de/10005661214
Persistent link: https://www.econbiz.de/10005776167
Unit roots in output, an exponential 2% rate of convergence and no change in the underlying dynamics of output seem to be three stylized facts that can not go together. This paper extends the Solow-Swan growth model allowing for cross-sectional heterogeneity. In this framework, aggregate shocks...
Persistent link: https://www.econbiz.de/10005776186