Showing 1 - 10 of 17
We test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure. Spurious results can be produced by nonstationarity and aggregation.
Persistent link: https://www.econbiz.de/10005233330
Most hypotheses in binary response models are composite. The null hypothesis is usually that one or more slope coefficients are zero. Typically, the sequence of alternatives of interest is one in which the slope coefficients are increasing in absolute value. In this papar, we prove that the...
Persistent link: https://www.econbiz.de/10005233331
The optimal minimum distance (OMD) estimator for models of covariance structure is asymptotically efficient but has much worse finite-sample properties than does the equally-weighted minimum distance (EWMD) estimator. This paper shows how the bootstrap can be used to improve the finite-sample...
Persistent link: https://www.econbiz.de/10005233334
This paper makes two contributions to the literature on equilibrium search models. We cast the problem of determining the number of productivity types into a search for modes of the wage distribution and we use recent techniques of mode hunting to estimate the number and location of these modes.
Persistent link: https://www.econbiz.de/10005233338
This paper designs and implements a Bayesian dynamic latent factor model for a vector of data describing the Iowa economy.
Persistent link: https://www.econbiz.de/10005755351
Persistent link: https://www.econbiz.de/10005755356
We develop a business cycle model in which consumption goods, physical capital and human capital are produced in separate sectors.
Persistent link: https://www.econbiz.de/10005755359
In econometrics, most null hypotheses are composite, dividing the parameters into parameters of interest and nuisance parameters. The domain of the nuisance parameters can influence the size-corrected critical value and hence the power of a test. We show that the domain of the nuisance...
Persistent link: https://www.econbiz.de/10005755366
This paper applies an equilibrium search to study the transition from schooling to work of US high school graduates. We consider the case where there is heterogeneity in firm productivity and the number of firm types is discrete. For this case the estimation problem is non-standard and the...
Persistent link: https://www.econbiz.de/10005755378
Persistent link: https://www.econbiz.de/10005819505