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The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples. If each element of a vect...

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...

Existing strategies for econometric analysis related to macroeconomics are subject to a number of serious objections, some recently formulated, some old. These objections are summarized in this paper, and it is argued th...

This paper presents a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic. This estimator does not depend on a formal model of the structu...

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 describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction. It also establishes consistency of the estimated c...

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...

Traditional econometric models assume a constant one-period forecast variance. To generalize this implausible assumption, a new class of stochastic processes called autoregressive conditional heteroscedastic (ARCH) proce...

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

Materias / palabras clave: Common value auction; Insider trading; Insider; Economics; Financial economics; Business; Mathematical economics; Microeconomics; Finance; Political science; Law

Matematisk Statistik

There occurs on some occasions a difficulty in deciding the direction of causality between two related variables and also whether or not feedback is occurring. Testable definitions of causality and feedback are proposed ...

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

Materias / palabras clave: Unit root; Series (stratigraphy); Statistics; Autoregressive model; Mathematics; Econometrics; Geology; Paleontology

Materias / palabras clave: Nonparametric statistics; Econometrics; Statistics; Economics; Mathematics

This paper presents a critique of expected utility theory as a descriptive model of decision making under risk, and develops an alternative model, called prospect theory. Choices among risky prospects exhibit several per...

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Sample selection bias as a specification error This paper discusses the bias that results from using non-randomly selected samples to estimate behavioral relationships as an ordinary specification error or «omitted vari...

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...