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Spurious inference in the GARCH (1,1) model : when it is weakly identified

Ma, Jun; Nelson, Charles R.; Startz, Richard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 11 (2007) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10009512627

A Bayesian analysis of weak identification in stock price decompositions

Balke, Nathan S.; Ma, Jun; Wohar, Mark E. - In: Macroeconomic dynamics 19 (2015) 4, pp. 728-752

Persistent link: https://www.econbiz.de/10011309216

Recent advances in estimating nonlinear models : with applications in economics and finance

Ma, Jun (contributor); Wohar, Mark E. (contributor) - 2014

Persistent link: https://www.econbiz.de/10011385393

Determining what drives stock returns : proper inference is crucial ; evidence from the UK

Ma, Jun; Wohar, Mark E. - In: International review of economics & finance : IREF 33 (2014), pp. 371-390

Persistent link: https://www.econbiz.de/10010532715

On maximum likelihood estimation of competing risks using the cause-specific semi-parametric Cox model with time-varying covariates : an application to credit risk

Thackham, Mark; Ma, Jun - In: Journal of the Operational Research Society 73 (2022) 1, pp. 5-14

Persistent link: https://www.econbiz.de/10012872877

Second-order refinement of empirical likelihood ratio tests of nonlinear restrictions

Ma, Jun - In: The econometrics journal 20 (2017) 1, pp. 139-148

Persistent link: https://www.econbiz.de/10011719975

Inference for first-price auctions with Guerre, Perrigne, and Vuong's estimator

Ma, Jun; Marmer, Vadim; Shneyerov, Artyom - In: Journal of econometrics 211 (2019) 2, pp. 507-538

Persistent link: https://www.econbiz.de/10012303834

Optimal bandwidth selection for local linear estimation of discontinuity in density

Jales, Hugo; Ma, Jun; Yu, Zhengfei - In: Economics letters 153 (2017), pp. 23-27

Persistent link: https://www.econbiz.de/10011810532

Monotonicity-constrained nonparametric estimation and inference for first-price auctions

Ma, Jun; Marmer, Vadim; Shneyerov, Artyom; Pai Xu - In: Econometric reviews 40 (2021) 10, pp. 944-982

Persistent link: https://www.econbiz.de/10012624567

Inference for First-Price Auctions with Guerre, Perrigne, and Vuong's Estimator

Ma, Jun - 2016

In this paper, we focus on inference on the probability density function (PDF) of the valuations in the first-price sealed-bid auction models within the independent private value paradigm in the presence of auction-specific heterogeneity. We show the asymptotic normality of the two-step...

Persistent link: https://www.econbiz.de/10012997115