Showing 1 - 10 of 1,055
This paper gives a relatively simple, well behaved solution to the problem of many instruments in heteroskedastic data. Such settings are common in microeconometric applications where many instruments are used to improve efficiency and allowance for heteroskedasticity is generally important. The...
Persistent link: https://www.econbiz.de/10010282870
This paper considers alternative approaches to the analysis of large panel data models in the presence of error cross section dependence. A popular method for modelling such dependence uses a factor error structure. Such models raise new problems for estimation and inference. This paper compares...
Persistent link: https://www.econbiz.de/10010284201
This paper considers the problem of statistical inference in linear regression models whose stochastic regressors and errors may exhibit long-range dependence. A time-domain sieve-type generalized least squares (GLS) procedure is proposed based on an autoregressive approximation to the...
Persistent link: https://www.econbiz.de/10010284208
D. N. McCloskey and Stephen Ziliak have criticized economists and others for confounding statistical and substantive significance, and for committing the logical error of the transposed conditional. In doing so they sometimes misinterpret the function of significance tests. Nonetheless,...
Persistent link: https://www.econbiz.de/10010282075
Macroeconomic time series often involve a threshold effect in theirARMA representation, and exhibit long memory features. In this paperwe introduce a new class of threshold ARFIMA models to account forthis. The threshold effect is introduced in the autoregressive and/or thefractional integration...
Persistent link: https://www.econbiz.de/10005868836
We propose a new multivariate GARCH model with Dynamic Conditional Correlations that extends previous models by admitting multivariate thresholds in conditional volatilitiesand correlations. The model estimation is feasible in large dimensions and the positive definiteness of the conditional...
Persistent link: https://www.econbiz.de/10005858198
We propose a simple class of semiparametric multivariate GARCH models, allowing for asymmetric volatilities and time-varying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of estimates for averaged correlations...
Persistent link: https://www.econbiz.de/10005858366
In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a...
Persistent link: https://www.econbiz.de/10005858728
We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We justify block bootstrap approaches to achieve valid inference in a time series setting. The test statistics are computed...
Persistent link: https://www.econbiz.de/10005858776
We propose a class of new robust GMM tests for endogenous structural breaks. The tests are based on supremum and average statistics derived from robust GMM estimators with a bounded influence function. They imply a bounded linearized asymptotic bias of size and power under local model...
Persistent link: https://www.econbiz.de/10005858906