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Properties and estimation of asymmetric exponential power distribution
Zhu, Dongming; Zinde-Walsh, Victoria - In: Journal of Econometrics 148 (2009) 1, pp. 86-99
The new distribution class, Asymmetric Exponential Power Distribution (AEPD), proposed in this paper generalizes the class of Skewed Exponential Power Distributions (SEPD) in a way that in addition to skewness introduces different decay rates of density in the left and right tails. Our...
Persistent link: https://www.econbiz.de/10005122554
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On the distributions of Augmented Dickey-Fuller statistics in processes with moving average components
Galbraith, JohnW.; Zinde-Walsh, Victoria - In: Journal of Econometrics 93 (1999) 1, pp. 25-47
Persistent link: https://www.econbiz.de/10005122784
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Transforming the error-components model for estimation with general ARMA disturbances
Galbraith, John W.; Zinde-Walsh, Victoria - In: Journal of Econometrics 66 (1995) 1-2, pp. 349-355
Persistent link: https://www.econbiz.de/10005285394
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Estimation of a linear regression model with stationary ARMA(p, q) errors
Zinde-Walsh, Victoria; Galbraith, John W. - In: Journal of Econometrics 47 (1991) 2-3, pp. 333-357
Persistent link: https://www.econbiz.de/10005285885