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A simple estimation method and finite-sample inference for a stochastic volatility model

VALERY, Pascale - Econometric Society - 2004

The aim of the paper is to fulfill the gap for testing hypotheses on parameters of the log-normal stochastic volatility model, more precisely, to propose finite sample exact tests in the sense that the tests have correct levels in small samples. To do this, we examine method-of-moments-based...

Persistent link: https://www.econbiz.de/10005130214

Robustness of a semiparametric estimator of a copula

Silvapulle, Param; Kim, Gunky; Silvapulle, Mervyn J. - Econometric Society - 2004

Copulas offer a convenient way of modelling multivariate observations and capturing the intrinsic dependence between the components of a multivariate random variable. A semiparametric method for estimating the dependence parameters of copulas was proposed by Genest, Ghoudi and Rivest (1995), in...

Persistent link: https://www.econbiz.de/10005063630

What Explains the Varying Monetary Response to Technology SHocks in G7-Countries

Theodorou, Athena T.; Francis, Neville R.; Owyang, … - Econometric Society - 2004

) estimated two models: a bivariate model of productivity and hours and a five-variable model adding money, inflation, and … interest rates. His identification estimates a decomposition of productivity and hours into innovations to technology and non …-technology components by assuming that only the former can have long-run effects on labor productivity. Empirical identification of the …

Persistent link: https://www.econbiz.de/10005342196

R&D, Agency Costs and Capital Structure: International Evidence

Davidson, Sinclair; Brooks, Robert - Econometric Society - 2004

We examine the impact of R&D intensity and agency costs on the value of firms across 13 economies. We find that R&D adds value while high agency costs reduce value. R&D adds value, however, even when agency costs are high. We show that in those firms where agency costs are high and R&D intensity...

Persistent link: https://www.econbiz.de/10005063647

How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations

Hwang, Soosung; Satchell, Steve E.; Pereira, Pedro L. Valls - Econometric Society - 2004

We introduce SV models with Markov regime changing state equation (SVMRS) to investigate the important properties of volatility, high persistence and smoothness. With the quasi-ML approach proposed in our study, we showed that volatility is far less persistent and smooth than the GARCH or SV...

Persistent link: https://www.econbiz.de/10005129787

Investigación y Desarrollo, Innovación y Productividad: un análisis econométrico a nivel de la firma.

Benavente, José Miguel - Econometric Society - 2004

El principal objetivo de este trabajo ha sido analizar los principales determinantes de las actividades innovativas en la industria manufacturera chilena durante la segunda mitad de los años noventa. Los resultados confirman las principales hipótesis acerca de la importancia del tamaño de la...

Persistent link: https://www.econbiz.de/10005129803

Quasi Empirical Likelihood Estimation of Moment Condition Models

Sherlund, Shane M. - Econometric Society - 2004

In this paper, I develop a quasi empirical likelihood estimator that has good finite-sample properties when there are many moment conditions. I show that the quasi empirical likelihood estimator, which uses semiparametric efficient estimation, is an approximation to the empirical likelihood...

Persistent link: https://www.econbiz.de/10005130203

Wavelet transform for log periodogram regression in long memory stochastic volatility model

Lee, Jin - Econometric Society - 2004

We consider semiparametric log periodogram regression estimation of memory parameter for the latent process in long memory stochastic volatility models. It is known that though widely used among researchers, the Geweke and Porter-Hudak (1983; GPH) LP estimator violates the Gaussian or Martingale...

Persistent link: https://www.econbiz.de/10005130237

Wavelet transform for regression estimation of non-stationary fractional time series

Lee, Jin - Econometric Society - 2004

We consider a semiparametric log periodogram regression estimation of memory parameter $d$ for non-stationary fractional time series using wavelet transformation. We propose wavelet-based log periodogram regression estimator, and obtain the asymptotic mean squared error, consistency and...

Persistent link: https://www.econbiz.de/10005342229

A Dynamic Stochastic Ananlysis of International Patent Application and Renewal Processes

Deng, Yi - Econometric Society - 2004

This paper develops a dynamic stochastic model to examine the joint patent application and renewal behavior under an international patent protection regime. This framework makes it possible to utilize both the cross-sectional (multi-country filing) and the time-series (patent renewal) dimensions...

Persistent link: https://www.econbiz.de/10005342234

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