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A robust test for weak instruments in Stata
Pflueger, Carolin E.; Wang, Su - In: Stata Journal 15 (2015) 1, pp. 216-225
homoskedastic and serially uncorrelated. It extends the Stock and Yogo (2005, Testing for weak instruments in linear IV regression …–Huber–White heteroskedasticity robust estimates, Newey and West (1987, Econometrica 55: 703–708) heteroskedasticity and autocorrelation …
Persistent link: https://www.econbiz.de/10011265704
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A Comparison of the Power of Some Tests for Conditional Heteroscedasticity.
Peguin-Feissolle, A. - Groupement de Recherche en Économie Quantitative … - 1999
This paper compares the power in small samples of different tests for conditional heteroscedasticity. Two new tests, based on neural networks, are proposed: the main interest in them arises from the fact that they do not require the exact specification of the conditional variance under the...
Persistent link: https://www.econbiz.de/10005779680
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Bubbles and long-range dependence in asset prices volatilities
KIRMAN, Alan; TEYSSIÈRE, Gilles - Center for Operations Research and Econometrics (CORE), … - 2002
A model for a financial asset is constructed with two types of agents. The agents differ in terms of their beliefs. The proportions of the two types change over time according to a stochastic process which models the interaction between the agents. Thus, unlike other models, agents do not...
Persistent link: https://www.econbiz.de/10005008606
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Robust tests for heteroskedasticity in the one-way error components model
Montes-Rojas, Gabriel; Sosa-Escudero, Walter - HAL - 2010
This paper constructs tests for heteroskedasticity in one-way error components models, in line with Baltagi, Bresson … tests for heteroskedasticity in the individual component are shown to be negatively affected by heteroskedasticity in the … remainder component. We derive modified tests that are insensitive to heteroskedasticity in the component not being checked, and …
Persistent link: https://www.econbiz.de/10010820497
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Robust tests for heteroskedasticity in the one-way error components model
Montes-Rojas, Gabriel; Sosa-Escudero, Walter - HAL - 2010
This paper constructs tests for heteroskedasticity in one-way error components models, in line with Baltagi, Bresson … tests for heteroskedasticity in the individual component are shown to be negatively affected by heteroskedasticity in the … remainder component. We derive modified tests that are insensitive to heteroskedasticity in the component not being checked, and …
Persistent link: https://www.econbiz.de/10010820829
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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
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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
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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
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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
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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