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Parametric covariance matrix modeling in Bayesian panel regression

Salabasis, Mickael (contributor) - 2004 - [Elektronische Ressource], Rev. February 16, 2005

illustrated. -- Bayesian panel regression ; parametric covariance ; model selection …

Persistent link: https://www.econbiz.de/10002595455

Testing for unit roots in nonlinear dynamic heterogeneous panels

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource]

In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section …

Persistent link: https://www.econbiz.de/10002595402

Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 18, 2005

In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The …, finite sample properties of the test are examined. We highlight scenarios under which the traditional panel unit root tests … by Harris and Tzavalis have inferior or reasonable power compared to our test. -- Dynamic nonlinear panel ; Smooth …

Persistent link: https://www.econbiz.de/10002577852

Likelihood-based cointegration tests in heterogeneous panels

Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael - 1998

Persistent link: https://www.econbiz.de/10000991637

A flexible adjustment model of employment with application to Zimbabwe's manufacturing industries

Ncube, Mthuli; Heshmati, Almas - 1998

Persistent link: https://www.econbiz.de/10000995372

An econometric model of employment in Zimbabwe's manufacturing industries

Ncube, Mthuli; Heshmati, Almas - 1998

Persistent link: https://www.econbiz.de/10000995377

Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation

Skoglund, Jimmy (contributor); Karlsson, Sune (contributor) - 2001 - [Elektronische Ressource]

normality is established for the consistent subsets. -- Panel data ; serial correlation ; random effects …

Persistent link: https://www.econbiz.de/10001600056

Essays on Random Effects models and GARCH

Skoglund, Jimmy - 2001

Persistent link: https://www.econbiz.de/10001565684

Choosing factors in a multifactor asset pricing model : a Bayesian approach

Ericsson, Johan (contributor); Karlsson, Sune (contributor) - 2003 - [Elektronische Ressource], Rev. February 12, 2004

We use Bayesian techniques to select factors in a general multifactor asset pricing model. From a given set of 15 factors we evaluate all possible pricing models by the extent to which they describe the data as given by the posterior model probabilities. Interest rates, premiums, returns on...

Persistent link: https://www.econbiz.de/10001746452

A comparison between bias approximations applied to bivariate VAR models

Brännström, Tomas - 1994

Persistent link: https://www.econbiz.de/10000893698