Narrow search
Showing 1 - 10 of 41,290
Cover Image
Uniform inference for conditional factor models with instrumental and idiosyncratic betas
Liao, Yuan; Yang, Xiye - 2017
It has been well known in financial economics that factor betas depend on observed instruments such as firm specific characteristics and macroeconomic variables, and a key object of interest is the effect of instruments on the factor betas. One of the key features of our model is that we specify...
Persistent link: https://www.econbiz.de/10011771555
Cover Image
Intraday cross-sectional distributions of systematic risk
Andersen, Torben; Riva, Raul; Thyrsgaard, Martin; … - In: Journal of econometrics 235 (2023) 2, pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Cover Image
Estimation and inference by the method of projection minimum distance
Jordà, Òscar (contributor) - 2007
asymptotically equivalent to maximum likelihood estimation (MLE) and nests GMM as a special case. In fact, models whose ML estimation …
Persistent link: https://www.econbiz.de/10003728037
Cover Image
Estimation and inference by the method of projection minimum distance
Jordà, Òscar (contributor); Kozicki, Sharon (contributor) - 2007
asymptotically equivalent to maximum likelihood estimation (MLE) and nests GMM as a special case. In fact, models whose ML estimation …
Persistent link: https://www.econbiz.de/10003596975
Cover Image
Estimation and inference by the method of projection minimum distance : an application to the new Keynesian hybrid Phillips curve
Jordà, Òscar; Kozicki, Sharon - In: International economic review 52 (2011) 2, pp. 461-487
Persistent link: https://www.econbiz.de/10009242374
Cover Image
Empirical [gamma]-divergence : estimation and inference
Cho, Young Su - 2005
Persistent link: https://www.econbiz.de/10002980078
Cover Image
Empirical likelihood
Owen, Art B. - 2001
Persistent link: https://www.econbiz.de/10001574339
Cover Image
Non-asymptotic inference in a class of optimization problems
Horowitz, Joel; Lee, Sokbae - 2019
for estimation of a model's structural parameters. The parameters are characterized by restrictions that involve the …
Persistent link: https://www.econbiz.de/10012008232
Cover Image
In-sample inference and forecasting in misspecified factor models
Carrasco, Marine; Rossi, Barbara - 2016
Persistent link: https://www.econbiz.de/10011524318
Cover Image
Estimation and inference of change points in high-dimensional factor models
Bai, Jushan; Han, Xu; Shi, Yutang - In: Journal of econometrics 219 (2020) 1, pp. 66-100
Persistent link: https://www.econbiz.de/10012483190