Narrow search
Showing 1 - 10 of 6,259
Cover Image
Nonlinear Properties of Multifactor Financial Models
Chen, Kim Heng; Jandhyala, Venkata K.; Fotopoulos, … - 2005
This paper provides a comprehensive analysis of the nonlinear properties of multifactor pricing models. Beginning with the generalized geometric Brownian motion, we develop a method whereby the log returns of a set of d-assets or portfolios admit a scale mixture model. This is followed by an...
Persistent link: https://www.econbiz.de/10009444682
Cover Image
Investigating Scale Heterogeneity in Latent Class Models
Boeri, Marco; Doherty, Edel; Campbell, Danny; Longo, Alberto - Socio-Economic Marine Research Unit, National … - 2012
heteroskedasticity) in latent class models. Our modelling approach compares two different representations of heteroskedasticity …
Persistent link: https://www.econbiz.de/10010879096
Cover Image
Estimating Gravity Equation Models in the Presence of Sample Selection and Heteroskedasticity
Xiong, Bo; Chen, Sixia - Agricultural and Applied Economics Association - AAEA - 2012
and heteroskedasticity. We propose a Two-Step Nonlinear Least Square estimator that satisfactorily deals with both …
Persistent link: https://www.econbiz.de/10010916663
Cover Image
ANALYSIS OF FLEXIBLE ENGEL FUNCTIONS
Blaylock, James; Green, Richard - In: Agricultural Economics Research (1980) 4
Quantifying the relationship between expenditure for a commodity and household income (Engel analysis) has focused on the use of classical functional forms with few rigorous procedures available for selecting the most appropriate function We employ flexible functional forms {Box-Cox curves} to...
Persistent link: https://www.econbiz.de/10010919581
Cover Image
ESTIMATION OF EFFICIENT REGRESSION MODELS FOR APPLIED AGRICULTURAL ECONOMICS RESEARCH
Ramirez, Octavio A.; Misra, Sukant K.; Nelson, Jeannie - Agricultural and Applied Economics Association - AAEA - 2002
, non-normality, skewness, heteroskedasticity, autocorrelation. …
Persistent link: https://www.econbiz.de/10005460298
Cover Image
Structural vector autoregressions with smooth transition in variances : the interaction between US monetary policy and the stock market
Lütkepohl, Helmut; NetŠunajev, Aleksei - 2014
In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a … standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance … used conventional identification schemes in this context are rejected by the data if heteroskedasticity is allowed for …
Persistent link: https://www.econbiz.de/10010361372
Cover Image
Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
Persistent link: https://www.econbiz.de/10010233639
Cover Image
Structural vector autoregressions checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
Persistent link: https://www.econbiz.de/10010233991
Cover Image
Structural vector autoregressions with smooth transition in variances : the interaction between US monetary policy and the stock market
Lütkepohl, Helmut; Netšunajev, Aleksei - 2014
In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a … standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance … used conventional identification schemes in this context are rejected by the data if heteroskedasticity is allowed for …
Persistent link: https://www.econbiz.de/10010364697
Cover Image
Fixed effects and random effects estimation of higher-order spatial autoregressive models with spatial autoregressive and heteroskedastic disturbances
Badinger, Harald; Egger, Peter - 2014
panel data models with spatial autoregressive disturbances and heteroskedasticity of unknown form in the idiosyncratic error … heteroskedasticity of unknown form in the idiosyncratic error component. Finally, we derive a robust Hausman-test of the spatial random …
Persistent link: https://www.econbiz.de/10010367382