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Dirichlet prior for estimating unknown regression error heteroskedasticity

Chigira, Hiroaki; Shiba, Tsunemasa - 2015

Persistent link: https://www.econbiz.de/10011804434

Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity

Zheng, Yao - 2016

in finance. It is well-known that financial time series display conditional heteroscedasticity. Among the large number of …

Persistent link: https://www.econbiz.de/10012980638

Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions with Many Weak Instruments

Chao, John C.; Swanson, Norman R. - 2004

This paper develops Wald type tests for general possibly nonlinear restrictions, in the context of heteroskedastic IV regression with many weak instruments. In particular, it is first shown that consistency and asymptotically normality can be obtained when estimating structural parameters using...

Persistent link: https://www.econbiz.de/10014028913

Identification and estimation of a heteroskedastic censored regression model with random coefficient dummy endogenous regressors

Guo, Jing; Wang, Lei; Zhang, ZhengYu - In: Economic modelling 110 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013348383

Prediction of extremal expectile based on regression models with heteroscedastic extremes

Xu, Wen; Hou, Yanxi; Li, Deyuan - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 522-536

Persistent link: https://www.econbiz.de/10013533450

Efficient estimation for models with nonlinear heteroscedasticity

Xu, Zhanxiong; Zhao, Zhibiao - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 4, pp. 1498-1508

Persistent link: https://www.econbiz.de/10013540367

The log of gravity at 15

Silva, João Santos; Tenreyro, Silvana - In: Portuguese economic journal 21 (2022) 3, pp. 423-437

Persistent link: https://www.econbiz.de/10013463066

Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model

Chen, Yu; Ma, Mengyuan; Sun, Hongfang - In: Insurance / Mathematics & economics 111 (2023), pp. 142-162

Persistent link: https://www.econbiz.de/10014317142

Jackknife estimation of a cluster-sample IV regression model with many weak instruments

Chao, John C.; Swanson, Norman R.; Woutersen, Tiemen - In: Journal of econometrics 235 (2023) 2, pp. 1747-1769

Persistent link: https://www.econbiz.de/10014471426

Extensions to IVX methods of inference for return predictability

Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-30

Persistent link: https://www.econbiz.de/10014471800