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We consider several variants of a likelihood-ratio process for quantile regression designed to test composite hypotheses about the combined influence of several covariates over an entire range of conditional quantile functions. A closely related process is proposed as a goodness-of-fit criterion...
Persistent link: https://www.econbiz.de/10014068502
Many applications in financial economics use data series with different starting or ending dates. This paper describes estimation methods, based on the generalized method of moments (GMM), which make use of all available data for each moment condition. We introduce two asymptotically equivalent...
Persistent link: https://www.econbiz.de/10012464236
Persistent link: https://www.econbiz.de/10003770562
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Many applications in financial economics use data series with different starting or ending dates. This paper describes estimation methods, based on the generalized method of moments (GMM), which make use of all available data for each moment condition. We introduce two asymptotically equivalent...
Persistent link: https://www.econbiz.de/10012769647
Persistent link: https://www.econbiz.de/10003735935
cointegration techniques. The EKC literature has failed to acknowledge that such regressions involve unit root nonstationary …-sample KPSS type cointegration test. We present simulation results illustrating the performance of the estimators and tests. In … modified estimation ; nonlinear cointegration analysis ; environmental Kuznets curve …
Persistent link: https://www.econbiz.de/10009735348
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The paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The proposed test...
Persistent link: https://www.econbiz.de/10011602570
Corruption is often a source of contentious debate, covering different areas of knowledge, such as philosophy and sociology. In this paper we assess the effects of corruption on economic activity and highlight the relevance of the size of the government. We use dynamic models and the Generalized...
Persistent link: https://www.econbiz.de/10012504814