VAR. We first show that Y(t) has an infinite order VAR representation in terms of its prediction errors, which are a …

VAR. We first show that Y(t) has an infinite order VAR representation in terms of its prediction errors, which are a …

-of-sample moment restrictions, such as orthogonalities of prediction errors. …

-of-sample moment restrictions, such as orthogonalities of prediction errors. …-of-sample moment restrictions, such as orthogonalities of prediction errors. Keywords: Robust Conditional Moment Tests, Finite Sample … Properties, Multiplicative Error Models, Prediction Errors JEL Classification: C12, C22, C52 1 Introduction The multiplicative …

prediction errors in a real time. The requirement of the proposed method is that we have a time series of the target system. We …

prediction errors, εyt, which are a linear process in εxt, the prediction error for Xt. We then apply this result to show that …

perform higher mean of prediction errors when they are classified as less informed investors. Referring to both the more and …

Previous research demonstrates that investors classified as overconfident tend to make more prediction errors and trade … committed more frequent prediction errors and traded in higher volumes in all markets than the less overconfident ones; and …