This paper takes a computationnaly simple LS approach to develop a more efficient estimation procedure, which we call Residual Augmented Least Square (RALS), than OLS when the errors are not normally distributed. The efficiency gain is from manipulating the higher moment conditions implied by...

Let X1,X2,...Xn be i.i.d. N-dimensional random variables having an unknown support of probability density denoted G; we suppose that G belongs to a functional class "g" of compact sets with smooth upper surface called boundary fragments. The problem consists in testing the hypotheses G=Go...

A new simple formula is found to correct the underestimation of the standard deviation for total lead time demand when using simple exponential smoothing. This new formula allows one to see readily the significant size of the underestimation of the traditional formula and can easily be...

Procedures for estimating a linear single-equation model by means of panel data with errors-in-variables are considered. To eliminate fixed individual heterogeneity, the equation is differenced across one or more than one periods. The differenced equations can be estimated by using as...

Generalized Method of Moments (GMM) Estimators are derived for Reduced Rank Regression Models, the Error Corrections Cointegration Model (ECCM) and the Incomplete Simultaneous Equations Model (INSEM). The GMM (2SLS) estimators of the cointegrating vector in the ECCM are shown to have normal...

In this paper we present a test statistic, which will be used to test for significant differences between generating processes of two time series that may be logically connected. The test statistic is based on the differences between estimated parameters of the autoregressive models which are...

In this paper we extend the model of Easley and O'Hara (1992) to allow the arrival rates of informed and uninformed trades to be time-varying and forecastable. We specify a generalized autoregressive bivariate process for the arrival rates of informed and uninformed trades and estimate the model...

The aim of the paper is to compare reactions of two stock markets, the German and the French, to releases of macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC40 and the DAX indices to macroeconomic surprises. We...

This study proposes a new approach to the estimation of daily volatility. This approach is different ( in the sense of using all available intraday price data) and unbiased ( in the sense of accounting for the high levels of autocorrelation found in intraday price data).

This paper deals with the impact of nine categories of scheduled and unscheduled news announcements on the Euro/Dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high-frequency intraday data and within the framework of...