07350015%2E2014%2E975555 (1)
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However, because a primary purpose of PCVA is to search for the absence of multivariate time-varying conditional het- eroskedasticity in vector time series, it would have been
Downloaded by [Universitas Maritim Raja Ali Haji], [UNIVERSITAS MARITIM RAJA ALI HAJI TANJUNGPINANG, KEPULAUAN RIAU] at 20:59 11 January 2016.. When π > 0, we perform the test in
The data-dependent bandwidth developed by Sun, Phillips, and Jin ( 2008 ), which seeks to balance the over-rejection problem with power, does tend to choose larger bandwidths than
Downloaded by [Universitas Maritim Raja Ali Haji], [UNIVERSITAS MARITIM RAJA ALI HAJI TANJUNGPINANG, KEPULAUAN RIAU] at 20:55 11 January 2016... The AR(1) log-spectral density
The Journal of Business & Economic Statistics (ISSN 0735-0015) is published quarterly in January, April, July, and October by the American Statistical Association (ASA), 732
For each of the four estimators, we calculate the bias as the average difference between the estimate and the true value (note that liml does not have finite moments, so the bias
This article describes and implements a maximum likelihood method for estimating the parameters of an equity index model with latent stochastic volatility, and possibly jumps, by
For any loss function used, we compute four estimators, including the oracle estima- tor where the nonparametric and the parametric components are correctly specified with no
