Search Results - subject:"Lagrange Multiplier"

Evaluating models of autoregressive conditional duration

Meitz, Mika; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2004

tests for the ACD class of models are introduced. They are Lagrange multiplier and Lagrange multiplier type tests against …. They are Lagrange multiplier and Lagrange multiplier type tests against general forms of additive and multiplicative …; C52 Key words: ACD model; Model misspecification test; Lagrange multiplier test; Smooth tran- sition ACD model …

Persistent link: https://www.econbiz.de/10005649199

Seasonally and Fractionally Differenced Time Series (revised, August 2006)

Katayama, Naoya - Institute of Economic Research, Hitotsubashi University - 2004

consistent and tends towards normality, the Lagrange multiplier (LM) test and the Wald test statistics are more powerful than the …

Persistent link: https://www.econbiz.de/10005675507

Empirical Modeling of Contagion; A Review of Methodologies

Dungey, Mardi; Fry, Renee; Martin, Vance; … - International Monetary Fund (IMF) - 2004

The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate...

Persistent link: https://www.econbiz.de/10005825971

Tests of Functional Form and Heteroscedasticity

Tse, Y. K.; Yang, Z. L. - Econometric Society - 2004

This paper considers tests of misspecification in a heteroscedastic transformation model. We derive Lagrange multiplier …

Persistent link: https://www.econbiz.de/10005702706

Tests of Functional Form and Heteroscedasticity

Tse, Z. L. Yang Y. K. - Econometric Society - 2004

This paper considers tests of misspecification in a heteroscedastic transformation model. We derive Lagrange multiplier …

Persistent link: https://www.econbiz.de/10005342139

An Empirical Reassessment of the Relationship Between Finance and Growth

Favarra, Giovanni - International Monetary Fund (IMF) - 2003

This paper reexamines the empirical relationship between financial development and economic growth. It presents evidence based on cross-section and panel data using an updated dataset, a variety of econometric methods, and two standard measures of financial development: the level of liquid...

Persistent link: https://www.econbiz.de/10005826253

Testing constancy of the error covariance matrix in vector models

Eklund, Bruno; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2003

This paper contains a Lagrange multiplier test of the hypothesis that the covariance matrix of a multivariate time …

Persistent link: https://www.econbiz.de/10005190819

Forecast accuracy and uncertainty in applied econometrics: a recommendation of specific-to-general predictor selection

Herwartz, Helmut - In: Empirical Economics 41 (2011) 2, pp. 487-510

Persistent link: https://www.econbiz.de/10009324843

Parametrized variational inequality approaches to generalized Nash equilibrium problems with shared constraints

Nabetani, Koichi; Tseng, Paul; Fukushima, Masao - In: Computational Optimization and Applications 48 (2011) 3, pp. 423-452

Persistent link: https://www.econbiz.de/10008925526

Specific-to-general predictor selection in approximate autoregressions—Monte Carlo evidence and a large scale performance assessment with real data

Herwartz, Helmut - In: AStA Advances in Statistical Analysis 95 (2011) 2, pp. 147-168

Persistent link: https://www.econbiz.de/10009149512