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Specification Tests for Asymmetric GARCH

Hagerud, Gustaf E. - Economics Institute for Research (SIR), … - 1997

In this paper I present two new Lagrange multiplier test statistics designed for testing the null of GARCH (1,1), against the alternative of asymmetric GARCH. For one test the alternative is the generalized QARCH (1,1) model of Sentana [1995], and for the other the alternative is the logistic...

Persistent link: https://www.econbiz.de/10005771173

Health Care System Effects on Cost Efficiency in the OECD Countries

Gerdtham, Ulf-G.; Löthgren, Mickael - Economics Institute for Research (SIR), … - 1998

This paper investigates the effects of different health systems on cost efficiency in inpatient health care among the OECD countries. The results indicate that public contract systems are less efficient and that public integrated health systems are more efficient than public reimbursement systems.

Persistent link: https://www.econbiz.de/10005771184

A simple efficient GMM estimator of GARCH models

Skoglund, Jimmy - Economics Institute for Research (SIR), … - 2001

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general...

Persistent link: https://www.econbiz.de/10005423831

Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects

Karlsson, Sune; Skoglund, Jimmy - Economics Institute for Research (SIR), … - 2000

This paper considers maximum likelihood estimation and inference in the two-way random effects model with serial correlation. We derive a straightforward maximum likelihood estimator when the time-specific component follow an AR(1) or MA(1) process. The estimator is easily generalized to...

Persistent link: https://www.econbiz.de/10005423854

Testing for common cointegrating rank in dynamic panels

Larsson, Rolf; Lyhagen, Johan - Economics Institute for Research (SIR), … - 2000

The panel cointegration test of Larsson et al (1998) test for the maximum number of cointegrating relations in a … dynamic panel given the assumption of a common cointegrating rank. This paper presents a test for this assumption. The test is … based on the test statistic of Larsson et al (1998) and a new panel test based on the principal component estimator of …

Persistent link: https://www.econbiz.de/10005207177

Likelihood-Based Inference in Multivariate Panel Cointegration Models

Larsson, Rolf; Lyhagen, Johan - Economics Institute for Research (SIR), … - 1999

This paper presents a general likelihood-based framework for inference in panel-VAR models with cointegrating …

Persistent link: https://www.econbiz.de/10005207209

Likelihood-Based Cointegration Tests in Heterogeneous Panels

Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael - Economics Institute for Research (SIR), … - 1998

This paper presents a likelihood-based panel test of cointegrating rank in heterogeneous panel models based on the mean …

Persistent link: https://www.econbiz.de/10005649283

Modeling Nordic Stock Returns with Asymmetric GARCH models

Hagerud, Gustaf E. - Economics Institute for Research (SIR), … - 1997

This paper investigates the presence of asymmetric GARCH effects in a number of equity return series, and compare the modeling performance of seven different conditional variance models, within the parametric GARCH class of models. The data consists of daily returns for 45 Nordic stocks, during...

Persistent link: https://www.econbiz.de/10005649300

Specification and estimation of random effects models with serial correlation of general form

Skoglund, Jimmy; Karlsson, Sune - Economics Institute for Research (SIR), … - 2001

This paper is concerned with maximum likelihood based inference in random effects models with serial correlation. Allowing for individual effects we introduce serial correlation of general form in the time effects as well as the idiosyncratic errors. A straightforward maximum likelihood...

Persistent link: https://www.econbiz.de/10005649391

Bootstrapping Error Component Models

Andersson, Michael K.; Karlsson, Sune - Economics Institute for Research (SIR), … - 1999

This paper proposes several resampling algorithms suitable for error component models and evaluates them in the context of bootstrap testing. In short, all the algorithms work well and lead to tests with correct or close to correct size. There is thus little or no reason not to use the bootstrap...

Persistent link: https://www.econbiz.de/10005649435