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conditional heteroskedasticity is present, or at least suspected, the practice of reweighting the data has long been abandoned in … favor of estimating model parameters by ordinary least squares (OLS), in conjunction with using heteroskedasticity … heteroskedasticity. A Monte Carly study demonstrates attractive finite-sample properties of our proposals compared to the status quo …
Persistent link: https://www.econbiz.de/10010402669
functional form of conditional heteroskedasticity. First, we provide rigorous proofs under reasonable assumptions; second, we …
Persistent link: https://www.econbiz.de/10011305755
functional form of conditional heteroskedasticity. First, we provide rigorous proofs under reasonable assumptions; second, we …
Persistent link: https://www.econbiz.de/10011508056
In the presence of conditional heteroskedasticity, inference about the coefficients in a linear regression model these … days is typically based on the ordinary least squares estimator in conjunction with using heteroskedasticity consistent … standard errors. Similarly, even when the true form of heteroskedasticity is unknown, heteroskedasticity consistent standard …
Persistent link: https://www.econbiz.de/10011518606
functional form of conditional heteroskedasticity. First, we provide rigorous proofs under reasonable assumptions; second, we …
Persistent link: https://www.econbiz.de/10011554051
This paper reviews important concepts and methods that are useful for hypothesis testing.First, we discuss the Neyman-Pearson framework. Various approaches to optimalityare presented, including finite-sample and large-sample optimality. Then, some of the mostimportant methods are summarized, as...
Persistent link: https://www.econbiz.de/10005868540
Consider the problem of testing s hypotheses simultaneously. In order to deal with themultiplicity problem, the classical approach is to restrict attention to procedures that controlthe familywise error rate (FWE). Typically, it is known how to construct tests of the individualhypotheses, and...
Persistent link: https://www.econbiz.de/10005868541
It is often desired to rank different populations according to the value of some feature of each population. For example, it may be desired to rank neighborhoods according to some measure of intergenerational mobility or countries according to some measure of academic achievement. These rankings...
Persistent link: https://www.econbiz.de/10014302519
Many postulated relations in finance imply that expected asset returns should monotonicallyincrease in a certain characteristic. To examine the validity of such a claim, onetypically considers a finite number of return categories, ordered according to the underlyingcharacteristic. A standard...
Persistent link: https://www.econbiz.de/10009486852
Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...
Persistent link: https://www.econbiz.de/10010316931