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Estimating a model of sportfishing trip expenditures using a quasi-maximum likelihood approach

Melstrom, Richard T. - In: Tourism economics : the business and finance of tourism … 23 (2017) 2, pp. 448-459

Persistent link: https://www.econbiz.de/10011646484

Estimating gravity equation models in the presence of sample selection and heteroscedasticity

Xiong, Bo; Chen, Sixia - In: Applied economics 46 (2014) 22/24, pp. 2993-3003

Persistent link: https://www.econbiz.de/10010417731

Efficient estimation in heteroscedastic varying coefficient models

Wei, Chuanhua; Wan, Lijie - In: Econometrics : open access journal 3 (2015) 3, pp. 525-531

This paper considers statistical inference for the heteroscedastic varying coefficient model. We propose an efficient estimator for coefficient functions that is more efficient than the conventional local-linear estimator. We establish asymptotic normality for the proposed estimator and conduct...

Persistent link: https://www.econbiz.de/10011297551

Double AR model without intercept : an alternative to modeling nonstationarity and heteroscedasticity

Li, Dong; Shaojun, Guo; Zhu, Ke - In: Econometric reviews 38 (2019) 3, pp. 319-331

Persistent link: https://www.econbiz.de/10012181294

On the treatment of heteroscedasticity in crop yield data

Ker, Alan P.; Tolhurst, Tor N. - In: American journal of agricultural economics 101 (2019) 4, pp. 1247-1261

Persistent link: https://www.econbiz.de/10012115344

Identification and estimation using heteroscedasticity without instruments : the binary endogenous regressor

Lewbel, Arthur - 2016

Persistent link: https://www.econbiz.de/10011712374

An intersection-union test for the sharpe ratio

Frahm, Gabriel - In: Risks : open access journal 6 (2018) 2, pp. 1-13

An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection–union test takes serial dependence into account and...

Persistent link: https://www.econbiz.de/10011866388

Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … conditional heteroscedasticity Lagrange multiplier (ARCHLM) techniques in conducting the empirical analysis. Descriptive …, estimates from the ARCHLM model provide evidence of heteroscedasticity in most of the sectors’ returns. Overall results from the …

Persistent link: https://www.econbiz.de/10011862130

An application of directional quantiles to economic data with a multivariate response

Kalina, Jan - In: Serbian journal of management : an international … 15 (2020) 2, pp. 193-203

Persistent link: https://www.econbiz.de/10012418067

Heteroscedasticity testing after outlier removal

Berenguer-Rico, Vanessa; Wilms, Ines - In: Econometric reviews 40 (2021) 1, pp. 51-85

Persistent link: https://www.econbiz.de/10012483796