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Finite-sample corrected inference for two-step GMM in time series

Hwang, Jungbin; Valdés, Gonzalo - 2020

Persistent link: https://www.econbiz.de/10012214073

GEL estimation and tests of spatial autoregressive models

Jin, Fei; Lee, Lung-fei - In: Journal of econometrics 208 (2019) 2, pp. 585-612

Persistent link: https://www.econbiz.de/10012149371

Testing for moderate explosiveness

Guo, Gangzheng; Sun, Yixiao; Wang, Shaoping - In: The econometrics journal 22 (2019) 1, pp. 73-95

Persistent link: https://www.econbiz.de/10012166654

Efficient maximum likelihood estimation of spatial autoregressive models with normal but heteroskedastic disturbances

Yokoi, Takahisa - 2010

Likelihood functions of spatial autoregressive models with normal but heteroskedastic disturbances have been already derived [Anselin (1988, ch.6)]. But there is no implementation for maximum likelihood estimation of these likelihood functions in general (heteroskedastic disturbances) cases....

Persistent link: https://www.econbiz.de/10012171653

Should we go one step further? : an accurate comparison of one-step and two-step procedures in a generalized method of moments framework

Hwang, Jungbin; Sun, Yixiao - In: Journal of econometrics 207 (2018) 2, pp. 381-405

Persistent link: https://www.econbiz.de/10012116364

Simple and trustworthy cluster-robust GMM inference

Hwang, Jungbin - 2017

Persistent link: https://www.econbiz.de/10011785481

Asymptotic F and t tests in an efficient GMM setting

Hwang, Jungbin; Sun, Yixiao - In: Journal of econometrics 198 (2017) 2, pp. 277-295

Persistent link: https://www.econbiz.de/10011818796

Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

The objective of this paper is to evaluate the behaviour of Nigerian Stock Exchange (NSE) sector indices. Specifically, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking Index, Consumer Goods Index, Oil & Gas Index, NSE 30...

Persistent link: https://www.econbiz.de/10011862130

Dynamic spatial autoregressive models with autoregressive and heteroskedastic disturbances

Catania, Leopoldo; Billé, Anna Gloria - In: Journal of applied econometrics 32 (2017) 6, pp. 1178-1196

Persistent link: https://www.econbiz.de/10011862573

Buffered autoregressive models with conditional heteroscedasticity : an application to exchange rates

Zhu, Ke; Li, Wai Keung; Yu, Philip L. H. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 528-542

Persistent link: https://www.econbiz.de/10011893733