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Adaptive estimation of heteroskedastic econometric modelsAdaptive estimation of heteroskedastic econometric models
(Sociedade Brasileira de Econometria, 1987)
Analysis of the correlation structure of square time series
(WILEY, 2004)
This paper analyses the asymptotic behaviour of the autocorrelation structure exhibited by squares of time series with a Wold expansion where the input error is a sequence of random variables with mean zero and finite ...
Omitted asymmetric persistence and conditional heteroskedasticity
(2006)
We show that asymmetric persistence induces ARCH effects, but the LM-ARCH test has power against it. On the other hand, the test for asymmetric dynamics proposed by Koenker and Xiao (2004) has correct size under the presence ...
Testing for heteroskedasticity in fixed effects models
(Elsevier, 2014-01)
We derive tests for heteroskedasticity after fixed effects estimation of linear panel models. The asymptotic results are based on a ‘large N–fixed T’ framework, where the incidental parameters problem is bypassed by utilizing ...
Inference in differences-in-differences with few treated groups and heteroskedasticity
(2015-10-27)
Differences-in-Differences (DID) is one of the most widely used identification strategies in applied economics. However, how to draw inferences in DID models when there are few treated groups remains an open question. We ...
Conditional heteroskedasticity and cross-sectional dependence in panel data: An empirical study of inflation uncertainty in the G7 countries
(Centro de Investigación y Docencia Económicas, 2011)
Conditional Heteroskedasticity and cress-sectional dependence in panel data: Theory, simulations and examples
(Centro de Investigación y Docencia Económicas, 2011)
Conditional Heteroskedasticity and cress-sectional dependence in panel data: Theory, simulations and examples
(Centro de Investigación y Docencia Económicas, 2011)
Conditional heteroskedasticity and cross-sectional dependence in panel data: An empirical study of inflation uncertainty in the G7 countries
(Centro de Investigación y Docencia Económicas, 2011)
Prediction with measurement errors in finite populations
(ELSEVIER SCIENCE BVAMSTERDAM, 2012)
We address the problem of selecting the best linear unbiased predictor (BLUP) of the latent value (e.g., serum glucose fasting level) of sample subjects with heteroskedastic measurement errors. Using a simple example, we ...