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Beyond principal component analysis: A trilinear decomposition model and least squares estimation

Pham, Tuan; Möcks, Joachim - In: Psychometrika 57 (1992) 2, pp. 203-215

Persistent link: https://www.econbiz.de/10005381754

Asymptotics for random effects models with serial correlation

Skoglund, Jimmy; Karlsson, Sune - International Conferences on Panel Data - 2002

serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. The consistency and …

Persistent link: https://www.econbiz.de/10005086458

Asymptotic Theory for Multivariate GARCH Processes

Comte, F.; Lieberman, Offer - Cowles Foundation for Research in Economics, Yale University - 2001

We provide in this paper asymptotic theory for the multivariate GARCH (p,q) process. Strong consistency of the quasi …

Persistent link: https://www.econbiz.de/10005087376

Asymptotics of SIMEX-based variance estimation

Fang, Yun; Zhu, Li-Xing - In: Metrika 75 (2012) 3, pp. 329-345

Persistent link: https://www.econbiz.de/10010539345

On a Statistical Analysis of Implied Data

Takahashi, Hajime - In: Asia-Pacific Financial Markets 18 (2011) 3, pp. 231-266

Persistent link: https://www.econbiz.de/10009327798

A locally linear estimation of regression discontinuity

Ai, Chunrong; Meng, Meixia - In: Frontiers of Economics in China 6 (2011) 4, pp. 495-506

Persistent link: https://www.econbiz.de/10009400122

Inference on Power Law Spatial Trends (Running Title: Power Law Trends)

Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2011

dependent errors, are considered for observations over time, space or space-time. Consistency and asymptotic normality of … many in which consistency of a vector of parameter estimates (which converge at different rates) cannot be established by … present a generic consistency result.J …

Persistent link: https://www.econbiz.de/10010610744

On asymptotic properties of the QLM estimators for GARCH models

Cavicchioli, Maddalena - In: Economics Bulletin 33 (2013) 2, pp. 959-966

This note can be considered as a continuation of a nice paper from Francq and Zakoian (2012) concerning with strict stationarity testing and estimation of GARCH models. We compute the asymptotic variances of the quasi-maximum likelihood estimators for stationary GARCH models.

Persistent link: https://www.econbiz.de/10010635348

A time-varying parameter model for local explosions

Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc - In: Journal of econometrics 227 (2022) 1, pp. 65-84

Persistent link: https://www.econbiz.de/10013441623

Maximum likelihood estimation for score-driven models

Blasques, Francisco; Brummelen, Janneke van; Koopman, … - In: Journal of econometrics 227 (2022) 2, pp. 325-346

Persistent link: https://www.econbiz.de/10013442028