Search Results - subject:"OLS estimation."

Purchasing power parity tests in cointegrated panels

Pedroni, Peter Louis - In: The review of economics and statistics 83 (2001) 4, pp. 727-731

Persistent link: https://www.econbiz.de/10001627259

The Gauss Markov theorem : a pedagogical note

Allen, Ralph C.; Stone, Jack Herbert - In: The American economist : journal of Omnicron Delta … 45 (2001) 1, pp. 92-94

Persistent link: https://www.econbiz.de/10001696843

Convergence in income inequality

Panizza, Ugo - In: Journal of income distribution : an international quarterly 10 (2001) 1/2, pp. 5-12

Persistent link: https://www.econbiz.de/10001718589

The specification of conditional expectations

Harvey, Campbell R. - In: Journal of empirical finance 8 (2001) 5, pp. 573-637

Persistent link: https://www.econbiz.de/10001655355

Valuing American options by simulation : a simple least-squares approach

Longstaff, Francis A.; Schwartz, Eduardo S. - In: The review of financial studies 14 (2001) 1, pp. 113-147

Persistent link: https://www.econbiz.de/10001543109

Reconsidering the gains on efficiency from ML estimation versus OLS in ARCH models

Iglesias, Emma M.; Phillips, Garry D. A. - In: Economics letters 74 (2001) 1, pp. 21-24

Persistent link: https://www.econbiz.de/10001635125

Predicting LDC debt rescheduling : performance evaluation of OLS, logit, and neural network models

Barney, Douglas K.; Alse, Janardhanan - In: Journal of forecasting 20 (2001) 8, pp. 603-615

Persistent link: https://www.econbiz.de/10001635755

On the robustness of Least-Squares Monte Carlo (LSM) for pricing American derivatives

Moreno, Manuel (contributor); Navas, Javier F. (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001578818

On the estimation and inference of a cointegrated regression in panel data

Kao, Chihwa; Chiang, Min-Hsien - In: Nonstationary panels, panel cointegration, and dynamic …, (pp. 179-222). 2001

In this chapter, we study the asymptotic distributions for ordinary least squares (OLS), fully modified OLS (FMOLS), and dynamic OLS (DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FMOLS, and DOLS estimators are all asymptotically normally distributed....

Persistent link: https://www.econbiz.de/10015390074

Fully modified OLS for heterogeneous cointegrated panels

Pedroni, Peter - In: Nonstationary panels, panel cointegration, and dynamic …, (pp. 93-130). 2001

This chapter uses fully modified OLS principles to develop new methods for estimating and testing hypotheses for cointegrating vectors in dynamic panels in a manner that is consistent with the degree of cross sectional heterogeneity that has been permitted in recent panel unit root and panel...

Persistent link: https://www.econbiz.de/10015390077