Search Results - subject:"asymptotic approximations"

Improved average estimation in seemingly unrelated regressions

Mehrabani, Ali; Ullah, Aman - In: Econometrics 8 (2020) 2, pp. 1-22

In this paper, we propose an efficient weighted average estimator in Seemingly Unrelated Regressions. This average estimator shrinks a generalized least squares (GLS) estimator towards a restricted GLS estimator, where the restrictions represent possible parameter homogeneity specifications. The...

Persistent link: https://www.econbiz.de/10012696278

Improved average estimation in seemingly unrelated regressions

Mehrabani, Ali; Ullah, Aman - In: Econometrics : open access journal 8 (2020) 2/15, pp. 1-22

Persistent link: https://www.econbiz.de/10012265514

Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors

Symeonides, Spyridon D.; Karavias, Yiannis; Tzavalis, Elias - In: Journal of time series econometrics 9 (2017) 1, pp. 1-41

Persistent link: https://www.econbiz.de/10011671115

Asymptotic approximations for pricing derivatives under mean-reverting processes

Jordan, Richard; Tier, Charles - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-31

Persistent link: https://www.econbiz.de/10011525106

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models

Peñaranda, Francisco; Sentana, Enrique - In: The Review of Economics and Statistics 2 (2015) 97, pp. 412-435

Persistent link: https://www.econbiz.de/10011266978

Efficient multistep forecast procedures for multivariate time series

Jouini, Tarek - In: Journal of forecasting 34 (2015) 7, pp. 604-618

Persistent link: https://www.econbiz.de/10011390494

Near-exact distributions for the likelihood ratio test statistic to test equality of several variance-covariance matrices in elliptically contoured distributions

Coelho, Carlos; Marques, Filipe - In: Computational Statistics 27 (2012) 4, pp. 627-659

-covariance matrices has a non-manageable form. On the other hand, the existing asymptotic approximations do not exhibit the necessary …

Persistent link: https://www.econbiz.de/10010600754

Asymptotic null distribution of person fit statistics with estimated person parameter

Snijders, Tom - In: Psychometrika 66 (2001) 3, pp. 331-342

Persistent link: https://www.econbiz.de/10005757682

Error Bounds for Asymptotic Approximations of the Linear Discriminant Function When the Sample Sizes and Dimensionality are Large

Fujikoshi, Yasunori - In: Journal of Multivariate Analysis 73 (2000) 1, pp. 1-17

normal populations with a common covariance matrix. The asymptotic approximations considered are the ones under the situation … where both the sample sizes and the demensionality are large. We give explicit error bounds for asymptotic approximations of …

Persistent link: https://www.econbiz.de/10005093915

Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors

Symeondes, Spyridon D.; Karavias, Yiannis; Tzavalis, Elias - Granger Centre for Time Series Econometrics, School of …

Refined asymptotic methods are used to produce degrees-of-freedom adjusted Edgeworth and Cornish-Fisher size corrections of the t and F testing procedures for the parameters of a S.U.R. model with serially correlated errors. The corrected tests follow the Student-t and F distributions,...

Persistent link: https://www.econbiz.de/10010772948