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The robustness, reliabiligy and power of heteroskedasticity tests
Godfrey, L. G.; Orme, C. D. - In: Econometric Reviews 18 (1999) 2, pp. 169-194
Several tests for heteroskedasticity in linear regression models are examined. Asymptoticrobustness to heterokurticity …, nonnormality and skewness is discussed. The finite sample eliability of asymptotically valid tests is investigated using Monte …
Persistent link: https://www.econbiz.de/10005511948
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Robust Sign-Based and Hodges-Lehmann Estimators in Linear Median Regressions with Heterogenous Serially Dependent Errors
Coudin, Elise; Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2011
(non-normality) and heteroskedasticity. … distribution including no condition on the existence of moments allowing for heterogeneity (or heteroskedasticity) of unknown form … condition on error moment existence, allowing for heterogeneity (or heteroskedasticity) of unknown form, noncontinuous …
Persistent link: https://www.econbiz.de/10008855591
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The Likelihood Ratio Test of Common Factors under Non-Ideal Conditions
mur, jesus; Angulo, Ana M. - In: INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH (2011) 21, pp. 37-52
, we study the performanceof the test in the case of heteroscedasticity, non-normality, endogeneity,dense weighting … matrices and non-linearity. Our results offer a positive view of theLikelihood Ratio test of Common Factors, which appears to …
Persistent link: https://www.econbiz.de/10010992173
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A Time Series Analysis of U.K. Construction and Real Estate Indices
Belaire-Franch, Jorge; Opong, Kwaku - In: The Journal of Real Estate Finance and Economics 46 (2013) 3, pp. 516-542
deviate from the null hypothesis of white noise. Moreover, we have found evidence of nonlinearity but strong evidence against … chaos for the returns series. Further tests show that the source of nonlinearity is rather different. Hence, the …
Persistent link: https://www.econbiz.de/10010866953
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Statistical Properties of the Asymmetric Power ARCH Process
He, Changli; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1997
. Its performance is compared with that of standard models of conditional heteroskedasticity such as GARCH. This has … for the A-PARCH model that are derived for the purpose. The role of the heteroskedasticity parameter of the A …
Persistent link: https://www.econbiz.de/10005423779
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Heterogeneity, Endogeneity, Measurement Error and Identification of the Union Wage Impact
Chrysanthou, Georgios Marios - Departamento de Métodos Cuantitativos y Teoría … - 2014
. Using the unified measurement error and endogeneity bias expression, we obtain a discernible pattern between uncorrected …, endogeneity corrected and fixed effects estimates of the union wage effect. …
Persistent link: https://www.econbiz.de/10010991671
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Controlling for Demand Side Factors and Job Matching: Maximum Likelihood Estimates of the Returns to Seniority Using Matched Employer-Employee Data.
Dostie, Benoit - Institut d'Économie Appliquée, HEC Montréal (École … - 2003
In this paper, we match firm data to work history files in order to simultaneously estimate the wage and employment duration processes of a longitudinal sample of two million French workers employed in roughly one million firms and followed over twenty years. We use the particular structure of...
Persistent link: https://www.econbiz.de/10005207881
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Job Turnover and the Returns to Seniority
Dostie, Benoit - Econometric Society - 2004
In this paper, we match firm data to individual work history files in order to simultaneously estimate the wage and employment duration processes of a longitudinal sample of two million French workers employed in roughly one million firms and followed over twenty years. The particular structure...
Persistent link: https://www.econbiz.de/10005699664
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Identification and estimation of nonlinear dynamic panel data models with unobserved covariates
Shiu, Ji-Liang; Hu, Yingyao - In: Journal of Econometrics 175 (2013) 2, pp. 116-131
. Including such unobserved covariates may control for both the individual-specific unobserved heterogeneity and the endogeneity …
Persistent link: https://www.econbiz.de/10010666080
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Moment-based estimation of nonlinear regression models with boundary outcomes and endogeneity, with applications to nonnegative and fractional responses
Ramalho, Esmeralda A.; Ramalho, Joaquim J.S. - Centro de Estudos e Formação Avançada em Gestão e … - 2014
In this paper we suggest simple moment-based estimators to deal with unobserved heterogeneity in a special class of nonlinear regression models that includes as main particular cases exponential models for nonnegative responses and logit and complementary loglog models for fractional responses....
Persistent link: https://www.econbiz.de/10010892263