Showing 1 - 7 of 7
This paper considers tests of misspecification in a heteroscedastic transformation model. We derive Lagrange multiplier (LM) statistics for (i) testing functional form and heteroscedasticity jointly, (ii) testing functional form in the presence of heteroscedasticity, and (iii) testing...
Persistent link: https://www.econbiz.de/10005342139
This paper considers tests of misspecification in a heteroscedastic transformation model. We derive Lagrange multiplier (LM) statistics for (i) testing functional form and heteroscedasticity jointly, (ii) testing functional form in the presence of heteroscedasticity, and (iii) testing...
Persistent link: https://www.econbiz.de/10005702706
Volatility models have been playing an important role in economics and finance. Using a multivariate generalized spectral approach, we propose a new class of generally applicable omnibus tests for univariate and multivariate volatility models. Both GARCH models and stochastic volatility models...
Persistent link: https://www.econbiz.de/10005342373
knowledge prior on preference parameters. I analyze the robustness of equilibria of such games to perturbations in the … of his higher order beliefs. Based on this definition of an $\varepsilon$-equilibrium, I propose a notion of robustness …
Persistent link: https://www.econbiz.de/10005130188
distributions. In this paper, we analyze robustness of these properties and the models based on them to heavy-tailedness assumptions … reversed for very long-tailed distributions. As applications of the results, we study robustness of monotone consistency of the …
Persistent link: https://www.econbiz.de/10005170266
This paper introduces generalized potential functions of complete information games and studies the robustness of sets … behavior close to some equilibrium in the set. First, this paper provides sufficient conditions for the robustness of sets of … the existing sufficient conditions for the robustness of equilibria …
Persistent link: https://www.econbiz.de/10005170271
. Robustness with respect to almost common belief for rationality of $\Delta$-rationalizability is established under general … common belief by common $p$-belief. One important feature of our analysis in the robustness is that in the second approach …
Persistent link: https://www.econbiz.de/10005702725