[PDF] Top 20 Directory UMM :Data Elmu:jurnal:J-a:Journal of Econometrics:Vol100.Issue2.2001:

... Hendry, D.F., Achievements and challenges in econometric methodology 7 Horowitz, J.L., The bootstrap and hypothesis tests in econometrics 37 Horowitz, J.L., Response to comments of Esfandiar Maasoumi 97 ... Lihat dokumen lengkap

... estimation of the ex-ante cost function. Recall that the hallmark of this approach is to exploit duality to recover the expected output function dual to the adopted speci"cation of the ex-ante ... Lihat dokumen lengkap

... majority of recent Bayesian literature in this area, we consider a prior distribu- tion that allows for the actual exclusion of regressors from some of the models * see ...with a ... Lihat dokumen lengkap

... estimation of this model is described in Section ...class of estimators using conditional moment functions as the only distributional ...class of estimators exploiting full distributional information ... Lihat dokumen lengkap

... factor a!ecting the behaviour of the estimators is the magnitude of IV-regressor correlation, we consider alternative data generating mechanism in which 25%, 50% and 75% of the total ... Lihat dokumen lengkap

... use of state space models to investigate the presence of stochastic trends in economic time ...series. A model is speci"ed where such a trend can enter either in the autoregressive ... Lihat dokumen lengkap

... for estimating both the slope and intercept terms if our approach is combined with the rank estimators for the slope parameter mentioned above (Cavanagh and Sherman, 1998; Han, 1987; Sherman, 1993). The symmetry ... Lihat dokumen lengkap

... theory of nonparametric binary choice methods is studied more ...are a few existing applications, little theory on nonparametric multiple choice methods has been explicitly ...examine a nonparametric ... Lihat dokumen lengkap

... number of regressors were increased, as the "rst stage estimator would su!er from the usual curse of dimensionality, and possibly have a (second-order) e!ect on the second stage ... Lihat dokumen lengkap

... analysis of cointegrated systems advanced by Johansen (1991,1995) in two important ...consider a sub- system approach in which we regard a subset of random variables which are integrated ... Lihat dokumen lengkap

... development of ARFIMA models was still in its infancy, re- searchers usually assumed that the fractional di!erencing parameter was known in ...been a tremendous amount of promising re- search on the ... Lihat dokumen lengkap

... simulated data of length ¹ rather than simulating one path of length ¹H, even though the two methods should produce estimates with the same asymptotic ...number of Monte Carlos to 100 for M3. ... Lihat dokumen lengkap

... applications of these models, problems of substan- tial heterogeneity/selection/omitted variable bias arise (see, ...source of these biases is potentially more complex in dynamic models than static ... Lihat dokumen lengkap

... just a system of regression equations containing the same explanatory ...variables.8 Of course, under departures from classical assumptions it may not be appropriate to merely correct for bias since ... Lihat dokumen lengkap

... is a correction of the &focused sampler' discussed in Wong et ...iterates of the focused sampler converge to the correct posterior ...performance of the new estimator is investigated ... Lihat dokumen lengkap

... exposition of the OMO and the FMO introduced in Hosoya (1991), focusing on interpreta- tional aspects of those measures in ...preliminary data analysis of Japanese macroeco- nomic time-series ... Lihat dokumen lengkap

... results of Ogawara (1951) are extended to a larger class of processes, which includes multivariate, possibly non-normal, integrated or ex- plosive ...processes of order p, it is shown that the ... Lihat dokumen lengkap

... lengthy data sets which have been generated by stationary processes. The task of adapting them to limited samples from nonstationary processes often causes di$culties and ...start a recursive ... Lihat dokumen lengkap

... concept of market e$ciency leads one to believe that future values of such series should be unpredictable given the ...is a more serious restriction than mere absence of ...function of ... Lihat dokumen lengkap

... presence of the inverse matrix M(r) ~1 that makes the di!erentiation of the log likelihood far more complicated for the case of moving average distur- bances but again the mathematics is greatly ... Lihat dokumen lengkap