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Influence of foreign direct investment on the Romanian economy
Russu, Corneliu; Ciuiu, Daniel - 2018
Persistent link: https://www.econbiz.de/10012302758
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Testing local versions of correlation coefficients
Kalogirou, Stamatis - 2010
The aim of this paper is to define and test local versions of standard correlation coefficients in statistical analysis … methods is still an open field for basic research. In this paper a local version of Pearson correlation coefficient is defined … correlation among two variables representing spatial data in the absence of a global correlation and vice versa. The application …
Persistent link: https://www.econbiz.de/10012171778
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Efficient maximum likelihood estimation of spatial autoregressive models with normal but heteroskedastic disturbances
Yokoi, Takahisa - 2010
Likelihood functions of spatial autoregressive models with normal but heteroskedastic disturbances have been already derived [Anselin (1988, ch.6)]. But there is no implementation for maximum likelihood estimation of these likelihood functions in general (heteroskedastic disturbances) cases....
Persistent link: https://www.econbiz.de/10012171653
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Heteroskedastic proxy vector autoregressions
Lütkepohl, Helmut; Schlaak, Thore - 2021 - This version: December 15, 2020
In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroskedasticity is occasionally allowed for in inference, it is typically taken for granted that the impact effects of the structural shocks are time-invariant despite the change...
Persistent link: https://www.econbiz.de/10013330658
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Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
Chudik, Alexander; Pesaran, M. Hashem - In: Journal of econometrics 188 (2015) 2, pp. 393-420
Persistent link: https://www.econbiz.de/10011503218
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Testing error serial correlation in fixed effects nonparametric panel data models
Green, Carl; Long, Wei; Hsiao, Cheng - In: Journal of econometrics 188 (2015) 2, pp. 466-473
Persistent link: https://www.econbiz.de/10011503631
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Three non-Gaussian models of dependence in returns
Madan, Dilip B. - In: Advanced modelling in mathematical finance : in honour …, (pp. 107-130). 2016
Persistent link: https://www.econbiz.de/10011800343
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Estimation of correlation between latent processes
Kimura, Akitoshi; Yoshida, Nakahiro - In: Advanced modelling in mathematical finance : in honour …, (pp. 131-146). 2016
Persistent link: https://www.econbiz.de/10011800345
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Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility model
Hartwig, Benny - 2020
indicate that conclusions may critically hinge on a selected ordering of variables. The dynamic correlation Cholesky …
Persistent link: https://www.econbiz.de/10012424283
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Estimation of large covariance matrices with mixed factor structures
Dai, Runyu; Uematsu, Yoshimasa; Matsuda, Yasumasa - In: The econometrics journal 27 (2024) 1, pp. 62-83
Persistent link: https://www.econbiz.de/10014528099