The study presents an analysis of the stochastic nature of the gross domestic product of Mexico for the period 1900-2001. Several specifications to test for the existence of unit roots are presented. The conventional tests, Dickey Fuller, Augmented Dickey Fuller and Phillips Perron, indicate...

This paper discusses two alternative two-part models for fractional response variables that are defined as ratios of integers. The first two-part model assumes a Binomial distribution and known group size. It nests the one-part fractional response model proposed by Papke and Wooldridge (1996)...

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...

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...

Credible Granger-causality analysis appears to require post-sample inference, as it is well-known that in-sample fit can be a poor guide to actual forecasting effectiveness. However, post-sample model testing requires an often-consequential a priori partitioning of the data into an "in-sample"...

An information matrix of a parametric model being singular at a certain true value of a parameter vector is irregular. The maximum likelihood estimator in the irregular case usually has a rate of convergence slower than the Ín-rate in a regular case. We propose to estimate such models by the...

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...

A standard test for weak instruments compares the first-stage F-statistic to a table of critical values obtained by Stock and Yogo (2005) using simulations. We derive a closed-form solution for the expectation from which these critical values are derived, as well as present some second-order...

We retrieve news stories and earnings announcements of the S&P 100 constituents from two professional news providers, along with ten macroeconomic indicators. We also gather data from Google Trends about these firms' assets as an index of retail investors' attention. Thus, we create an extensive...

The vast majority of spatial econometric research relies on the assumption that the spatial network structure is known a priori. This study considers a two-step estimation strategy for estimating the n(n..1) interaction effects in a spatial autoregressive panel model where the spatial dimension...