Similar Search Results

A Test of Heteroskedasticity Based on Kernel Estimation of the Score Function

Zheng, John Xu - 1998

The recent literature on convergence has departed from the earlier literature by focusing on the shape of the production function and the rate at which an economy converges to its own steady state. This paper uses advances from the recent literature to look back at the question that originally...

Persistent link: https://www.econbiz.de/10014076056

A Latent Factor Model of Multivariate Conditional Heteroscedasticity

Aguilar, Mike - 2010

This paper examines the joint dynamics of a system of asset returns by describing and implementing a factor multivariate stochastic volatility (factor MSV) model. The foundation for the model discussed here is the work of Doz and Renault (2006). Despite its attractive design, that model has not...

Persistent link: https://www.econbiz.de/10013150665

Testing for a general class of functional inequalities

Lee, Sokbae; Song, Kyungchul; Whang, Yoon-jae - 2014

functionals of kernel-type estimators (1 < p < ∞) and is easy to implement in general, mainly due to its recourse to the bootstrap … method. The bootstrap procedure is based on nonparametric bootstrap applied to kernel-based test statistics, with estimated … "contact sets". We provide regularity conditions under which the bootstrap test is asymptotically valid uniformly over a large …

Persistent link: https://www.econbiz.de/10010254852

Confidence corridors for multivariate generalized quantile regression

Chao, Shih-Kang; Proksch, Katharina; Dette, Holger; … - 2014

coverage for small sample sizes, a simple bootstrap procedure is designed based on the leading term of the Bahadur … demonstrated that the bootstrap procedure considerably outperforms the asymptotic bands in terms of coverage accuracy. Finally, the … bootstrap confidence corridors are used to study the efficacy of the National Supported Work Demonstration, which is a …

Persistent link: https://www.econbiz.de/10010354164

Testing the "separability" condition in two-stage nonparametric models of production

Daraio, Cinzia; Simar, Léopold; Wilson, Paul W. - 2015

the test statistics or using bootstrap methods to obtain critical values. Our simulation results indicate that our tests …

Persistent link: https://www.econbiz.de/10011317720

Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models

Baltagi, Badi H.; Pirotte, Alain; Yang, Zhenlin - 2020

We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference...

Persistent link: https://www.econbiz.de/10012305035

The limiting behavior of the estimated parameters in a misspecified random field regression model

Dahl, Christian M.; Qin, Yu - School of Economics and Management, University of Aarhus - 2008

This paper examines the limiting properties of the estimated parameters in the random field regression model recently proposed by Hamilton (Econometrica, 2001). Though the model is parametric, it enjoys the flexibility of the nonparametric approach since it can approximate a large collection of...

Persistent link: https://www.econbiz.de/10005787569

Neoclassical convergence versus technological catch-up : a contribution for reaching a consensus

Desdoigts, Alain - 2002

Persistent link: https://www.econbiz.de/10001659231

The law of aggregate demand : empirical evidence from India using nonparametric direct average derivative estimation procedure

Chakrabarty, Manisha - 2001

Persistent link: https://www.econbiz.de/10001645859

Neoclassical Convergence Versus Technological Catch-Up : A Contribution for Reaching a Consensus

Desdoigts, Alain - 2002

New macro empirical evidence is provided to assess the relative importance of object and idea gaps in explaining the world income distribution dynamics over a benchmark period 1960-1985. Results are then extended through 1995. Formal statistical hypothesis tests allow us to discriminate between...

Persistent link: https://www.econbiz.de/10014119836