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Zero-diagonality as a linear structure
Magnus, Jan R.; Sentana, Enrique - In: Economics letters 196 (2020), pp. 1-4
Persistent link: https://www.econbiz.de/10012510901
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Estimating nonseparable models with mismeasured endogenous variables
Song, Suyong; Schennach, Susanne M.; White, Halbert - In: Quantitative economics : QE ; journal of the … 6 (2015) 3, pp. 749-794
We study the identification and estimation of covariate-conditioned average marginal effects of endogenous regressors in nonseparable structural systems when the regressors are mismeasured. We control for the endogeneity by making use of covariates as control variables; this ensures conditional...
Persistent link: https://www.econbiz.de/10011757766
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Risk and return in the Spanish stock market : some evidence from individual assets
Sentana, Enrique - In: Investigaciones económicas 21 (1997) 2, pp. 297-359
Persistent link: https://www.econbiz.de/10001234518
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Quadratic ARCH models
Sentana, Enrique - In: The review of economic studies 62 (1995) 4, pp. 639-661
Persistent link: https://www.econbiz.de/10001189784
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High breakdown point conditional dispersion estimation with application to S&P 500 daily returns to volatility
Sakata, Shinichi - In: Econometrica : journal of the Econometric Society, an … 66 (1998) 3, pp. 529-567
Persistent link: https://www.econbiz.de/10001240761
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Estimating nonseparable models with mismeasured endogenous variables
Song, Suyong; Schennach, Susanne M.; White, Halbert - In: Quantitative economics : QE ; journal of the … 6 (2015) 3, pp. 749-794
Persistent link: https://www.econbiz.de/10011440715
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VAR for VaR: measuring tail dependence using multivariate regression quantiles
White, Halbert; Kim, Tae-hwan; Manganelli, Simone - In: Journal of econometrics 187 (2015) 1, pp. 169-188
Persistent link: https://www.econbiz.de/10011498808
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Testing conditional independence via empirical likelihood
Su, Liangjun; White, Halbert - In: Journal of econometrics 182 (2014) 1, pp. 27-44
Persistent link: https://www.econbiz.de/10010497148
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Testing for separability in structural equations
Lu, Xun; White, Halbert - In: Journal of econometrics 182 (2014) 1, pp. 14-26
Persistent link: https://www.econbiz.de/10010497150
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Testing structural change in partially linear models
Su, Liangjun; White, Halbert - In: Econometric theory 26 (2010) 6, pp. 1761-1806
Persistent link: https://www.econbiz.de/10008738330