Similar Search Results

Consistent OLS estimation of AR(1) dynamic panel data models with short time series

Hayakawa, Kazuhiko - In: Applied economics letters 14 (2007) 13/15, pp. 1141-1145

Persistent link: https://www.econbiz.de/10003606924

Simultaneous specification testing of mean and variance structures in nonlinear time series regression

Chen, Song Xi; Gao, Jiti - In: Econometric theory 27 (2011) 4, pp. 792-843

Persistent link: https://www.econbiz.de/10009311732

Dynamic time series binary choice

Jong, Robert M. de; Woutersen, Tiemen - In: Econometric theory 27 (2011) 4, pp. 673-702

Persistent link: https://www.econbiz.de/10009311780

Preliminary evidence on relationships between agricultural commodities futures prices, spot prices and oil prices using reverse regressions

Cartwright, Phillip A.; Riabko, Natalija - In: Applied economics letters 22 (2015) 10/12, pp. 777-782

Persistent link: https://www.econbiz.de/10011285361

Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks

Joseph, Agnes S.; Kiviet, J. F. - 2004

We examine the asymptotic efficiency of OLS and IV estimators in a simple dynamic structural model with a constant and two explanatory variables: the lagged dependent variable and an explanatory variable, which is also autoregressive and may include lagged or instantaneous feedbacks from the...

Persistent link: https://www.econbiz.de/10011335214

Cointegration and US regional gasoline prices : testing market efficiency from the stationarity of price proportions

Hunter, John; Tabaghdehi, Seyedeh Asieh - 2013

Persistent link: https://www.econbiz.de/10009731971

Bias in dynamic panel models under time series misspecification

Lee, Yoonseok - In: Journal of econometrics 169 (2012) 1, pp. 54-60

Persistent link: https://www.econbiz.de/10009666763

A functional version of the ARCH model

Hörmann, Siegfried; Horváth, Lajos; Reeder, Ron - In: Econometric theory 29 (2013) 2, pp. 267-288

Persistent link: https://www.econbiz.de/10009760010

Econometric time series specification testing in a class of multiplicative error models

Saart, Patrick W.; Gao, Jiti; Kim, Nam Hyun - 2014

Persistent link: https://www.econbiz.de/10010245259

A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets

Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014

We apply the fractionally cointegrated vector autoregressive (FCVAR) model to analyze the relationship between spot and futures prices in five commodity markets (aluminium, copper, lead, nickel, and zinc). To this end, we first extend the FCVAR model to accommodate de terministic trends in the...

Persistent link: https://www.econbiz.de/10010381434