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Finite-sample properties of the maximum lilelihood estimator in GARCH (1,1) and IGARCH (1,1) models : a Monte Carlo investigation

Lumsdaine, Robin L. - In: Journal of business & economic statistics : JBES ; a … 13 (1995) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10001177133

Recursive and sequential tests of the unit root and trend break hypotheses : theory and international evidence

Banerjee, Anindya; Lumsdaine, Robin L.; Stock, James H. - 1990

Persistent link: https://www.econbiz.de/10000803376

Consistency and asymptotic normality of the quasi-maximum likelihood estimator in IGARCH (1,1) and covariance stationary GARCH (1,1) models

Lumsdaine, Robin L. - In: Econometrica : journal of the Econometric Society, an … 64 (1996) 3, pp. 575-596

Persistent link: https://www.econbiz.de/10001199896

Estimation of Panel Group Structure Models with Structural Breaks in Group Memberships and Coefficients

Lumsdaine, Robin L. - 2020

This paper considers linear panel data models with a grouped pattern of heterogeneity when the latent group membership structure and/or the values of slope coefficients change at a break point. We propose a least squares approach to jointly estimate the break point, group membership structure,...

Persistent link: https://www.econbiz.de/10012832314