Manajemen | Fakultas Ekonomi Universitas Maritim Raja Ali Haji jbes%2E2009%2E07182
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First, the authors survey new methods for inference in models with possibly weak instruments, especially in view of dealing with parameter subset inference in a GMM context.. The
In addition, we discuss how to construct confidence intervals by inverting bootstrap tests based on boot- strap DGPs that impose the null hypothesis, such as the RE and WRE
While some papers contain theoretical results related to the fact that the variance and autocorrelations have similar properties under structural change and long memory, most of
The rationale for generalizing the AP tests is that they have attractive properties for cases for which they were originally designed: they are consistent against all
Third, in comparison with the nonparametric estimator of Ziegelmann ( 2002 ), our estimator can result in bias reduction as long as the parametric model can capture some
Before focusing on the empirical applications we note that we will consider the new method, the criteria of Bai and Ng ( 2002 ) and, in addition to methods investigated in the
position in the stock, based on some information.) The market- maker sets the pair of bid-ask prices to adjust his inventory, and his policy results in having a preferred
The first contribution of this article is to propose the Gaussian mixture dynamic conditional correlation (GMDCC) model with conditional volatilities following EGARCH models and with
