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Lagrange multiplier (LM) test statistics are derived for testing a linear moving average model against an asymmetric moving average model and an LM type test against an additive smooth transition moving average model. The latter model is introduced in the paper. The small sample performance of...
Persistent link: https://www.econbiz.de/10005424043
Non-spherical errors, namely heteroscedasticity, serial correlation and cross-sectional correlation are commonly present within panel data sets. These can cause significant problems for econometric analyses. The FGLS(Parks) estimator has been demonstrated to produce considerable efficiency gains...
Persistent link: https://www.econbiz.de/10010301698
Non-spherical errors, namely heteroscedasticity, serial correlation and cross-sectional correlation are commonly present within panel data sets. These can cause significant problems for econometric analyses. The FGLS(Parks) estimator has been demonstrated to produce considerable efficiency gains...
Persistent link: https://www.econbiz.de/10010303845
In analysing time series of counts, the need to test for the presence of a dependence structure routinely arises. Suitable tests for this purpose are considered in this paper.
Persistent link: https://www.econbiz.de/10010305016
This paper provides high-dimensional and flexible importance sampling procedures for the likelihood evaluation of dynamic latent variable models involving finite or infinite mixtures leading to possibly heavy tailed and/or multi-modal target densities. Our approach is based upon the efficient...
Persistent link: https://www.econbiz.de/10010307607
In this paper the performance of different information criteria for simultaneous model class and lag order selection is evaluated using simulation studies. We focus on the ability of the criteria to distinguish linear and nonlinear models. In the simulation studies, we consider three different...
Persistent link: https://www.econbiz.de/10011324708
GMM estimation of autoregressive panel data equations in error-ridden variables when the noise has memory, is considered. The impact of variation in the memory length in signal and noise spread and in the degree of individual heterogeneity are discussed with respect to finite sample bias, using...
Persistent link: https://www.econbiz.de/10011335588
The measurement error problem in linear time series regression, with focus on the impact of error memory, modeled as nite-order MA processes, is considered. Three prototype models, two bivariate and one univariate ARMA, and ways of handling the problem by using instrumental variables (IVs) are...
Persistent link: https://www.econbiz.de/10011335598
-based estimator (wavelet Whittle estimator) of a FIEGARCH model, ARCH-family model capturing long-memory and asymmetry in volatility …
Persistent link: https://www.econbiz.de/10011340636
This paper presents an original econometric model for estimating a dose-response function through a regression approach when: (i) treatment is continuous, (ii) individuals may react heterogeneously to observable confounders, and (iii) selection-into-treatment may be potentially endogenous. After...
Persistent link: https://www.econbiz.de/10011400044