Time-varying coefficient (TVC) estimation is a technique that has been developed to produce consistent estimates of parameters in the simultaneous face of measurement errors, unknown functional form and omitted variables. Previous work on the technique has not paid explicit attention to the...

Misspecifications of econometric models can lead to biased coefficients and error terms, which in turn can lead to incorrect inference and incorrect models. There are specific techniques such as instrumental variables which attempt to deal with some individual forms of model misspecification....

We calculate the bias of the profile score for the autoregressive parameters p and covariate slopes in the linear model for N x T panel data with p lags of the dependent variable, exogenous covariates, fixed effects, and unrestricted initial observations. The bias is a vector of multivariate...

We calculate the bias of the profile score for the autoregressive parameters p and covariate slopes in the linear model for N x T panel data with p lags of the dependent variable, exogenous covariates, fixed effects, and unrestricted initial observations. The bias is a vector of multivariate...

Long memory processes have been extensively studied over the past decades. When dealing with the financial and economic data, seasonality and time-varying long-range dependence can often be observed and thus some kind of non-stationarity can exist inside financial data sets. To take into account...

This research identifies the presence of long memory given return series of the stock markets in the ASEAN-4 countries, namely, Indonesia, Malaysia, the Philippines and Thailand. Daily stock prices from 1994 to 2004, which were neither adjusted for dividends nor inflation, were employed in the...

[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules, due to be launched in March by the Basel Committee on...

We explore the cost of implicit leverage associated with an S&P 500 Index futures contract and derive an implied financing rate (the Futures-Implied Rate or FIR), based on a simple model of stock and futures, without any explicit arbitrage or other relationship to market interest rates. We...