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Robust standard errors in transformed likelihood estimation of dynamic panel data models

Hayakawa, Kazuhiko; Pesaran, M. Hashem - 2012

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao, Pesaran, and Tahmiscioglu (2002) to the case where the errors are crosssectionally heteroskedastic. This extension is not trivial due to the incidental parameters problem that...

Persistent link: https://www.econbiz.de/10010282268

Robust standard errors in transformed likelihood estimation of dynamic panel data models

Hayakawa, Kazuhiko; Pesaran, M. Hashem - 2012

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao, Pesaran, and Tahmiscioglu (2002) to the case where the errors are cross-sectionally heteroskedastic. This extension is not trivial due to the incidental parameters problem that...

Persistent link: https://www.econbiz.de/10010283629

A note on the coefficient of determination in regression models with infinite-variance variables

Loretan, Michael Stanislaus; Kurz-Kim, Jeong-Ryeol - 2007

Since Mandelbrot's seminal work (1963), alpha-stable distributions with infinite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially financial data. After providing a brief survey of theoretical results on...

Persistent link: https://www.econbiz.de/10010295847

Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns

Kapetanios, George; Pesaran, Mohammad Hashem - 2005

This paper considers alternative approaches to the analysis of large panel data models in the presence of error cross section dependence. A popular method for modelling such dependence uses a factor error structure. Such models raise new problems for estimation and inference. This paper compares...

Persistent link: https://www.econbiz.de/10010276160

Linking corporate reputation and shareholder value using the publication of reputation rankings

Tischer, Sven; Hildebrandt, Lutz - 2011

affect financial performance. According to this theory, two event studies are conducted to analyze the impact of publishing …

Persistent link: https://www.econbiz.de/10010281513

Long memory and tail dependence in trading volume and volatility

Rossi, Eduardo; Santucci de Magistris, Paolo; … - 2008

During the last decades a wide literature has focused on the relationship volume-volatility on financial markets. This … paper investigates the temporal dynamics of volatility and volumes, supposing, as in Bollerslev and Jubinsky (1999), that …. We analyze the volume-volatility relationship using IBM stocks data. In particular, we rely on the realized volatility …

Persistent link: https://www.econbiz.de/10010326126

Finite-Sample Stability of the KPSS Test

Jönsson, Kristian - 2006

In the current paper, the finite-sample stability of various implementations of the KPSS test is studied. The implementations considered differ in how the so-called long-run variance is estimated under the null hypothesis. More specifically, the effects that the choice of kernel, the value of...

Persistent link: https://www.econbiz.de/10013208507

Classical and Bayesian estimation of volatility in the Black-Scholes model

Cangrejo Esquivel, Alvaro Javier; Tovar Cuevas, José Rafael - In: Revista de Métodos Cuantitativos para la Economía y … 34 (2022), pp. 237-262

volatility, since this is precisely the variable that is negotiated. We present then a statistical methodology for the estimation … of the volatility parameter for an asset using methods of the Bayesian approach to statistics. As prior distributions for … volatility parameter, models of the Gamma family and the Standard Levy are assumed. The results obtained using the proposed …

Persistent link: https://www.econbiz.de/10014494469

Natural resources: Curse or blessing?

van der Ploeg, Frederick - 2010

Are natural resources a 'curse' or a 'blessing'? The empirical evidence suggests either outcome is possible. The paper surveys a variety of hypotheses and supporting evidence for why some countries benefit and others lose from the presence of natural resources. These include that a resource...

Persistent link: https://www.econbiz.de/10010270490

Stock returns and risk: Evidence from quantile

Chiang, Thomas C.; Li, Jiandong - In: Journal of Risk and Financial Management 5 (2012) 1, pp. 20-58

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...

Persistent link: https://www.econbiz.de/10011843232