Buscar recursos académicos

Using the result that under the null hypothesis of no misspecification an asymptotically efficient estimator must have zero asymptotic covariance with its difference from a consistent but asymptotically inefficient estim...

This paper models occasional, discrete shifts in the growth rate of a nonstationary series. Algorithms for inferring these unobserved shifts are presented, a byproduct of which permits estimation of parameters by maximum...

This paper uses an intertemporal general equilibrium asset pricing model to study the term structure of interest rates. In this model, anticipations, risk aversion, investment alternatives, and preferences about the timi...

Materias / palabras clave: Fixed effects model; Economics; Econometrics; Mathematics; Panel data

This paper introduces an ARCH model (exponential ARCH) that (1) allows correlation between returns and volatility innovations (an important feature of stock market volatility changes), (2) eliminates the need for inequal...

Matematisk Statistik

Materias / palabras clave: Estimator; Generalized method of moments; Mathematics; Sample (material); Statistics; Method of moments (probability theory); L-moment; Econometrics; Applied mathematics; Physics; Thermodynamics; Order statistic

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