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-variance preferences that are used in finance theory. We show that standard preferences choose portfolios on a frontier that has not been …
Persistent link: https://www.econbiz.de/10011071262
theory. Comparisons of finite sample performance are carried out using Monte Carlo simulations. …
Persistent link: https://www.econbiz.de/10011268329
, and here our preliminary asymptotic theory for parameter estimates is of some independent value. The test statistic is … hypothesis that one of the two models is correct; this limit theory rests strongly on a central limit theorem for the Gaussian …
Persistent link: https://www.econbiz.de/10011234813
This paper introduces a nonparametric Granger-causality test for covariance stationary linear processes under, possibly, the presence of long-range dependence. We show that the test is consistent and has power against contiguous alternatives converging to the parametric rate T-½. Since the test...
Persistent link: https://www.econbiz.de/10011071140
We propose a smoothed least squares estimator of the parameters of a threshold regression model. Our model generalizes that considered in Hansen (2000) to allow the thresholding to depend on a linear index of observed regressors, thus allowing discrete variables to enter. We also do not assume...
Persistent link: https://www.econbiz.de/10011071260
We propose an econometric model that captures the e¤ects of market microstructure on a latent price process. In particular, we allow for correlation between the measurement error and the return process and we allow the measurement error process to have a diurnal heteroskedasticity. We propose a...
Persistent link: https://www.econbiz.de/10011071545
Persistent link: https://www.econbiz.de/10010928652
contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold autoregression, in … asymptotic theory for this bootstrap. It is demonstrated by a set of Monte Carlo simulations that the Wald test exhibits …
Persistent link: https://www.econbiz.de/10010928673
distribution theory needed to conduct inference, propose some model free upper bound critical values, and apply our methods to …
Persistent link: https://www.econbiz.de/10010928727
We develop inference tools in a semiparametric regression model with missing response data. A semiparametric regression imputation estimator, a marginal average estimator and a (marginal) propensity score weighted estimator are defined. All the estimators are proved to be asymptotically normal,...
Persistent link: https://www.econbiz.de/10010928736