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More Efficient Estimation under Non-Normality when Higher Moments do not Depend on the Regressors, using Residual-Augmented Lease Squares.
Im. K.S.; Schmidt, P. - Economics Department, Michigan State University - 1999
In this paper we show how the assumption that higher moments do not depend on the regressors can be exploited in a GMM framework, and we provide very simple estimators that are equivalent to GMM estimators. These simple estimators can be calculated by linear regressions which have been augmented...
Persistent link: https://www.econbiz.de/10005256218
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The Minimum Distance Estimator for Fractionally Integrated ARMA Models.
Chung, C.F.; Schmidt, P. - Economics Department, Michigan State University - 1994
Persistent link: https://www.econbiz.de/10005487086
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Long Memory Models and Macroeconomic Time Series.
Tieslau, M.A. - Economics Department, Michigan State University - 1991
Persistent link: https://www.econbiz.de/10005487088
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Prediction from the Regression Model with one-way Error Components.
Baillie, R.T.; Baltagi, B.H. - Economics Department, Michigan State University - 1994
Persistent link: https://www.econbiz.de/10005487089
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A Modification of the Schmidt-Phillips Unit Root Test.
Lee, J.; Schmidt, P. - Economics Department, Michigan State University - 1991
Persistent link: https://www.econbiz.de/10005646698
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Winners, Losers and Fly-by-Nighters: Trade Policy with Risky Investment in Quality.
Creane, A.; Hall, M. - Economics Department, Michigan State University - 1993
Persistent link: https://www.econbiz.de/10005646699
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FINITE SAMPLE PERFORMANCE OF SCHMIDT-PHILIPS UNIT ROOT TESTS IN THE PRESENCE OF AUTOCORRELATION.
LEE, J. - Economics Department, Michigan State University - 1990
Persistent link: https://www.econbiz.de/10005646700
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A Generalized Method of Moments Estimator for Long-Memory Processes.
Tieslau, M.A.; Schmidt, P.; Baillie, R.T. - Economics Department, Michigan State University - 1992
Persistent link: https://www.econbiz.de/10005671948
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GMM Estimation of a Panel Data Regression Model with Time-Varying Individual Effects.
Chan Ahn, S.; Lee, Y.H. - Economics Department, Michigan State University - 1994
Persistent link: https://www.econbiz.de/10005671950
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ECONOMETRIC TESTS OF RATIONALITY AND MARKET EFFICIENCY
BAILLIE, R.T. - Economics Department, Michigan State University - 1988
Persistent link: https://www.econbiz.de/10005671953