[PDF] Top 20 Directory UMM :Data Elmu:jurnal:J-a:Journal of Econometrics:Vol101.Issue2.2001:

... covariance of functions of multivariate normal vectors is applied to approximate autocovariances of time series generated by nonlinear transformation of Gaussian latent variates, and nonlinear ... Lihat dokumen lengkap

... purpose of this paper is to develop appropriate statistical inference for poverty measures with relative poverty ...class of decomposable poverty measures and two types of relative poverty lines: ... Lihat dokumen lengkap

... c.d.f. of these distributions could be quite complicated to describe, but dependent bivariate random samples can be easily ...ease of generating samples, we assume that random variables, x and y, have ... Lihat dokumen lengkap

... panel data re- quires comparison under a variety of panel patterns and true values of the variance ...performance of di!erent estimators for panel data. A recent and very ... Lihat dokumen lengkap

... extensions of the analysis of variance (ANOVA), maximum likelihood (MLE) and minimum norm quadratic unbiased estimators (MINQUE) and compares their performance by means of Monte Carlo experi- ... Lihat dokumen lengkap

... Andrews, D.W.K., Lu, B., Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models 123 Antweiler, W., Nested random e ! ects estimation in unbalanced panel ... Lihat dokumen lengkap

... as a treatment of unobservable individual heterogen- eity in such ...set of variables) is associated with each ...impact of the missing variable on the dependent variable is referred to as the ... Lihat dokumen lengkap

... illustrated a new concept of asymmetry in the dynamics of stock ...signs of past shocks a!ect the current volatility, but also, the impact depends on whether the current excess return ... Lihat dokumen lengkap

... amplitudes of the seasonal #uctuations are clearly related to the level of ...times of high employment, there appears to be a wide- spread hoarding of labour which would be subject, at ... Lihat dokumen lengkap

... upto a greater number of ...magnitude of the individual correlations. When the alternative is the sum of white noise and the "rst di!erence of a stationary autoregressive ... Lihat dokumen lengkap

... generalisations of the vec operator. Proper- ties of these operators are discussed, some theorems involving these operators are presented and their relevance to matrix calculus ... Lihat dokumen lengkap

... properties of Markov processes and a split-sample ...existence of conditional ...context of a linear regression model with AR(1) errors, we show how these results can be used to ... Lihat dokumen lengkap

... 5.2.1 of the paper. Nobile ' s idea of imposing symmetry on the variances as well as the means of the elements of R seems quite ...choice of prior quite easy which is an important ... Lihat dokumen lengkap

... estimator of the covariance matrix of the reduced form or the concentration ...distribution of LIML estimator does not depend much on ( ¹ }K). The observed e!ect of the degrees of ... Lihat dokumen lengkap

... matrix of b K involves the condi- tional error density and thus can be di$cult to estimate ...estimation of the error density, we can in principle apply the bootstrap ...performance of the bootstrap ... Lihat dokumen lengkap

... eigenvectors of the bivari- ate and trivariate as well as four-variate in ECM are given in Tables 1}3, ...variables of the models are indicated in the ...consideration of other aspects of ... Lihat dokumen lengkap

... moments of nondi!erentiable functions of out-of-sample forecasts and forecast ...measurement of a model's predictive ability using the test of equal mean absolute ...predictions ... Lihat dokumen lengkap

... class of estimators of the characteristic index of m-dependent stable sequences is ...addition, a class of goodness-of-"t tests for stability is also ...performance of ... Lihat dokumen lengkap

... the J statistic for testing over-identifying ...use of fewer parameters for a given number of moment conditions and the use of more moment conditions for a given number of ... Lihat dokumen lengkap

... properties of generalized method of moments (GMM) estimators and of a broad class of GMM based tests are investigated in a uni"ed ...obtain a robust version of ... Lihat dokumen lengkap