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On a simple two-stage closed-form estimator for a stochastic volatility in a general linear regression
Dufour, Jean-Marie; Valéry, Pascale - 2006
Persistent link: https://www.econbiz.de/10003331387
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On a Simple Two-Stage Closed-form Estimator for a Stochastic Volatility in a General Linear Regression
Dufour, Jean-Marie; Valéry, Pascale - In: Econometric analysis of financial and economic time series, (pp. 259-288). 2006
In this paper, we consider the estimation of volatility parameters in the context of a linear regression where the disturbances follow a stochastic volatility (SV) model of order one with Gaussian log-volatility. The linear regression represents the conditional mean of the process and may have a...
Persistent link: https://www.econbiz.de/10015385515
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Some impossibility theorems in econometrics with applications to instrumental variables, dynamic models and cointegration
Dufour, Jean-Marie - 1995
Persistent link: https://www.econbiz.de/10001513075
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[Rezension von: Davidson, Russell, ..., Estimation and inference in econometrics]
Dufour, Jean-Marie - In: The Canadian journal of economics 28 (1995) 3, pp. 718-721
Persistent link: https://www.econbiz.de/10001347494
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Recursive stability analysis : the demand for money during the German hyperinflation
Dufour, Jean-Marie - In: Model reliability, (pp. 18-61). 1986
Persistent link: https://www.econbiz.de/10001274969
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Exact inference methods for first-order autoregressive distributed lag models
Dufour, Jean-Marie; Kiviet, J. F. - 1995
Persistent link: https://www.econbiz.de/10001513117
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Exact tests for structural change in first-order dynamic models
Dufour, Jean-Marie; Kiviet, J. F. - 1995
Persistent link: https://www.econbiz.de/10001513120
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Exact tests in single equation autoregressive distributed lag models
Kiviet, J. F.; Dufour, Jean-Marie - 1995
Persistent link: https://www.econbiz.de/10001513122
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Nonlinear hypotheses, inequality restrictions and non-nested hypotheses : exact simultaneous tests in linear regressions
Dufour, Jean-Marie - 1986
Persistent link: https://www.econbiz.de/10000714605