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Complex times : asset pricing and conditional moments under non-affine diffusions
Kimmel, Robert (contributor) - 2007
Persistent link: https://www.econbiz.de/10003477020
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Iterative and recursive estimation in structural nonadaptive models
Pastorello, Sergio; Patilea, Valentin; Renault, Eric - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 4, pp. 449-482
Persistent link: https://www.econbiz.de/10001807000
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Testing the Heath-Jarrow-Morton - Ho-Lee model of interest rate contingent claims pricing
Flesaker, Bjorn - In: Journal of financial and quantitative analysis : JFQA 28 (1993) 4, pp. 483-495
Persistent link: https://www.econbiz.de/10001160498
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Inference for parameters defined by moment inequalities : a recommended moment selection procedure
Andrews, Donald W. K. (contributor); Jia, Panle (contributor) - 2008
Persistent link: https://www.econbiz.de/10003773569
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The modified mixture of distributions model : a revisit
Fong, Wai-mun; Wong, Wing Keung - In: Annals of finance 2 (2006) 2, pp. 167-178
Persistent link: https://www.econbiz.de/10003282228
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The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
Bun, Maurice J. G.; Kiviet, J. F. - In: Journal of econometrics 132 (2006) 2, pp. 409-444
Persistent link: https://www.econbiz.de/10003348774
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Enhanced routines for instrumental variables/GMM estimation and testing
Baum, Christopher F.; Schaffer, Mark E.; Stillman, Steven - 2008
Persistent link: https://www.econbiz.de/10003837731
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Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
Kelejian, Harry H. (contributor);  … - 2008
theory is kept general to cover a wide range of settings. We note the estimation theory developed by Kelejian and Prucha …
Persistent link: https://www.econbiz.de/10003790570
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A spatial Cliff-ord-type model with heteroskedastic innovations : small and large sample results
Arraiz, Irani; Drukker, David M.; Kelejian, Harry H.; … - 2008
In this paper we specify a linear Cliff and Ord-type spatial model. The model allows for spatial lags in the dependent variable, the exogenous variables, and disturbances. The innovations in the disturbance process are assumed to be heteroskedastic with an unknown form. We formulate a multi-step...
Persistent link: https://www.econbiz.de/10003792846
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Identifying fiscal policy behavior : an investigation of OLS regression on the fiscal policy rule
Li, Bing (contributor) - 2008
Persistent link: https://www.econbiz.de/10003806864