Showing 1 - 6 of 6
We investigate confidence intervals and inference for the instrumental variables model with weak instruments. Wald-based confidence intervals for a structural parameter perform poorly in that the probability they reject the null is far greater than their nominal size. We show that the preactice...
Persistent link: https://www.econbiz.de/10005198630
A decade ago Fama and French (1998) estimated that 40% variations in stock returns was predictable over horizons of 3-5 years, which they attributed to a mean reverting stationary component in prices. While it has been clear that the Depression and war years exert a strong influence on these...
Persistent link: https://www.econbiz.de/10005685385
A decade ago Fama and French (1998) estimated that 40% variations in stock returns was predictable over horizons of 3-5 years, which they attributed to a mean reverting stationary component in prices. While it has been clear that the Depression and war years exert a strong influence on these...
Persistent link: https://www.econbiz.de/10005618522
Privious work reported that heteroskedasticity did not affect the sampling distribution of the variance ratio, or had assumed that the investigator know a priori the pattern of heteroskedasticity. This paper uses the Gibbs sampling approach in the context of a three state Markov-switching model...
Persistent link: https://www.econbiz.de/10005474586
Privious work reported that heteroskedasticity did not affect the sampling distribution of the variance ratio, or had assumed that the investigator know a priori the pattern of heteroskedasticity. This paper uses the Gibbs sampling approach in the context of a three state Markov-switching model...
Persistent link: https://www.econbiz.de/10005432399
We investigate confidence intervals and inference for the instrumental variables model with weak instruments. Wald-based confidence intervals for a structural parameter perform poorly in that the probability they reject the null is far greater than their nominal size. We show that the preactice...
Persistent link: https://www.econbiz.de/10005657386