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Testing separate models with stochastic regressors

Dastoor, Naorayex K.; McAleer, Michael - In: Economic Modelling 2 (1985) 4, pp. 331-338

Persistent link: https://www.econbiz.de/10005171360

A Note on Model Discrimination after Model Testing.

Dastoor, Naorayex K. - In: Canadian Journal of Economics 23 (1990) 1, pp. 236-44

Chin and Kennedy (1987) have recently suggested a procedure that they claim can be used to infer the direction of the true model relative to two rejected nonnested hypotheses. This note argues that their procedure can be viewed as model discrimination after model testing has rejected two...

Persistent link: https://www.econbiz.de/10005604713

A classical approach to Cox's test for non-nested hypotheses

Dastoor, Naorayex K. - In: Journal of Econometrics 27 (1985) 3, pp. 363-370

Persistent link: https://www.econbiz.de/10005122885

A score-type and a Hausman-type statistic based on nonsingular generalized inverses

Dastoor, Naorayex K. - In: Economics Letters 81 (2003) 3, pp. 395-401

Persistent link: https://www.econbiz.de/10005355912

Some aspects of testing non-nested hypotheses

Dastoor, Naorayex K. - In: Journal of Econometrics 21 (1983) 2, pp. 213-228

Persistent link: https://www.econbiz.de/10005285383

Testing for conditional heteroskedasticity with misspecified alternative hypotheses

Dastoor, Naorayex K. - In: Journal of Econometrics 82 (1997) 1, pp. 63-80

Persistent link: https://www.econbiz.de/10005285890

A note on the interpretation of the Cox procedure for non-nested hypotheses

Dastoor, Naorayex K. - In: Economics Letters 8 (1981) 2, pp. 113-119

Persistent link: https://www.econbiz.de/10005275845

The equality of comparable extended families of classical-type and Hausman-type statistics

Dastoor, Naorayex K. - In: Journal of Econometrics 117 (2003) 2, pp. 313-330

Persistent link: https://www.econbiz.de/10005192721

Asymmetry and leverage in conditional volatility models

McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

Persistent link: https://www.econbiz.de/10010417180

Editorial note: special issues of annals of financial economics (AFE)

McAleer, Michael - In: Annals of financial economics 12 (2017) 4, pp. 1-2

Persistent link: https://www.econbiz.de/10011850375