One unresolved issue arising from the use of eminent domain power involves how the perceived benefits and costs of eminent domain power affect people’s positions on the reform of eminent domain and police power law. The paper addresses this issue by estimating a voting model that explains...

In this paper we provide simulation and theoretical results concerning the finite sample theory of QML estimators in ARCH models when we include an exogenous variable in the conditional variance equation. In this setting, we find theoretical and simulation support to suggest that if we consider...

This article considers the modelling of short-term interest rates with the ARFIMA model in six European countries based on daily data in the 1990s using the Modified Profile Likelihood estimation method. This allows one to study the different convergence processes that have been followed in each...

In this paper we extend the setting analysed in Hahn and Hausman (2002a) by allowing for conditionally heteroscedastic disturbances. We start by considering the type of conditional variance-covariance matrices proposed by Engle and Kroner (1995) and we show that, when we impose a GARCH...

In this paper we extend the setting analysed in Hahn and Hausman (2002a) by allowing for conditionally heteroscedastic disturbances. We start by considering the type of conditional variance-covariance matrices proposed by Engle and Kroner (1995) and we show that, when we impose a GARCH...

Most of the literature on testing ARCH models focuses on the null hypothesis of no-ARCH effects. In this paper, we consider the general problem of testing any possible set of coefficient values in ARCH models, which may be non-stationary, with Gaussian and non-Gaussian errors, as well as with...

In this article we show how bias approximations for the quasi maximum likelihood estimators of the parameters in Generalized Autoregressive Conditional Heteroskedastic (GARCH)(p, q) models change when any number of exogenous variables are included in the mean equation. The approximate biases are...

In the context of limited dependence at large lags, Andrews (2002) showed the magnitudes of the error in rejection probabilities of the symmetric two-sided block bootstrap t, Wald and J tests. Andrews (2004) introduced the block-block bootstrap and proved that it obtained better asymptotic...

This paper proposes several new tests for structural change in the multivariate linear regression model. One of the most popular alternatives are Sup-Wald type tests along the lines of Bai, Lumsdaine and Stock (1998), which Bernard,Idoudi, Khalaf and Yélou (2007) show to have very large size...