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Articles 91 - 102 of 102
Full-Text Articles in Applied Statistics
Asymptotic Bias For Quasi-Maximum Likelihood Estimators In Models With Conditional Heteroskedasticity, Douglas G. Steigerwald, Whitney Newey
Asymptotic Bias For Quasi-Maximum Likelihood Estimators In Models With Conditional Heteroskedasticity, Douglas G. Steigerwald, Whitney Newey
Douglas G. Steigerwald
Virtually all applications of time-varying conditional variance models use a quasi-maximum likelihood estimator (QMLE). Consistency of a QMLE requires an identification condition that the quasi-log-likelihood have a unique maximum at the true conditional mean and relative scale parameters. We show that the identification condition holds for a non-Gaussian QMLE if the conditional mean is identically zero or if a symmetry condition is satisfied. Without symmetry an additional parameter, for the location of the innovation density, must be added for consistency. We calculate the efficiency loss from adding such a parameter under symmetry, when the parameter is not needed. We also …
Testing For Absolute Purchaing Power Parity, Douglas G. Steigerwald, Collin Crownover, John Pippenger
Testing For Absolute Purchaing Power Parity, Douglas G. Steigerwald, Collin Crownover, John Pippenger
Douglas G. Steigerwald
Purchasing power parity (PPP) is an equilibrium condition equating the nominal exchange rate between two countries with the relative price of an identical bundle of goods in each country. Previous time-series researchers use price indicies to study PPP, so they study relative PPP. We use new data that measures price levels, so we test absolute PPP. Price levels provide a test of absolute PPP because, unlike price indicies, do not contain a base period in which the nominal exchange rate equals the price ratio by construction. We find support for absolute PPP.
Purchasing Power Parity, Unit Roots And Dynamic Structure, Douglas G. Steigerwald
Purchasing Power Parity, Unit Roots And Dynamic Structure, Douglas G. Steigerwald
Douglas G. Steigerwald
Recent studies of puchasing power parity (PPP) account for the possible presence of unit roots in nominal exchange rates and relative price indicies by applying standard unit-root tests to real exchange rates, which are ratios of nominal exchange rates and relative price indicies. These studies occasionally find evidence of PPP but, as a whole, the evidence is not definitive. Standard unit-root tests impose a restrictive dynamic structure between nominal exchange rates and relative price indicies. I specify and estimate a generalized dynamic structure. I reject the dynamic restrictions implicit in standard unit-root tests of PPP, and find stronger evidence of …
Modeling Volatility Dynamics, Douglas Steigerwald
Modeling Volatility Dynamics, Douglas Steigerwald
Douglas G. Steigerwald
No abstract provided.
Volatility, Douglas G. Steigerwald, Stephen Leroy
Volatility, Douglas G. Steigerwald, Stephen Leroy
Douglas G. Steigerwald
How should one determine if capital markets are efficient? We examine the statistical foundations of tests of efficiency.
Adaptive Estimation In Timeseries Regression Models, Douglas Steigerwald
Adaptive Estimation In Timeseries Regression Models, Douglas Steigerwald
Douglas G. Steigerwald
I develop adaptive estimators for linear regression with serially correlated errors. The efficiency results hold even when the serial correlation structure is unknown. Simulations indicate that efficiency gains can be substantial with samples of only 50 observations. We apply the method to a study of forward exchange rates.
On The Finite Sample Behavior Of Adaptive Estimators, Douglas Steigerwald
On The Finite Sample Behavior Of Adaptive Estimators, Douglas Steigerwald
Douglas G. Steigerwald
With only 50 observations, the adaptive estimator produces confidence intervals that are 20 to 50 percent shorter than those produced by GLS procedures. The key feature is that the underlying error density is symmetric. Under asymmetry the interval length is shortened by a smaller amount.
A Course In Econometrics: A Review, Douglas G. Steigerwald
A Course In Econometrics: A Review, Douglas G. Steigerwald
Douglas G. Steigerwald
No abstract provided.
The Truncated Cauchy Distribution: Estimation Of Parameters And Application To Stock Returns, Paul G. Staneski
The Truncated Cauchy Distribution: Estimation Of Parameters And Application To Stock Returns, Paul G. Staneski
Mathematics & Statistics Theses & Dissertations
The problem addressed in this dissertation is the existence and estimation of the parameters of a truncated Cauchy distribution. It is known that when a number of distributions with infinite support are truncated to a finite interval that the maximum likelihood estimator of the scale parameter fails to exist with positive probability. In particular, necessary and sufficient conditions which give rise to instances of non-existence have been found for the exponential (Deemer and Votaw (1955)), gamma (Broeder (1955), Hegde and Dahiya (1989)), Weibull (Mittal and Dahiya (1989)) and normal distribution (Barndorff-Nielsen (1978), Mittal and Dahiya (1987), Hegde and Dahiya (1989)). …
Direct Tests Of The Rational Expectations Hypothesis: A Study Of Italian Entrepreneurs’ Inflationary Expectations (1980-1988), Claudio Lupi
Direct Tests Of The Rational Expectations Hypothesis: A Study Of Italian Entrepreneurs’ Inflationary Expectations (1980-1988), Claudio Lupi
Claudio Lupi
The primary concern of this paper is to test the rational expectations hypothesis for Italian entrepreneurs' inflationary expectations between 1980 and 1988 using monthly observed expectations. Particular care is devoted to analyzing the problems arising when multiperiod expectations and a nonwhite noise measurement error in the expectations series are considered. The empirical analysis is carried out using cross correlations on ARIMA residuals and transfer function models. This technique seems to be particularly appealing for rationality testing.
Uncertainty And Policy Agressiveness, Douglas Steigerwald, Roger Craine
Uncertainty And Policy Agressiveness, Douglas Steigerwald, Roger Craine
Douglas G. Steigerwald
How should a decision maker proceed with uncertain knowledge of the decision outcome? We use the unknown coefficient control problem to shed light on the issue.
Dickey-Lincoln School Lakes Project Environmental Impact Statement: Appendix C: Social & Economic Assessment (Supplement 1), Pamela D. Savetsky, New England Division, United States Army Engineer Division
Dickey-Lincoln School Lakes Project Environmental Impact Statement: Appendix C: Social & Economic Assessment (Supplement 1), Pamela D. Savetsky, New England Division, United States Army Engineer Division
Dickey-Lincoln School Lakes Project
A review of available literature on rural communities which have been affected by construction projects of a similar scale has been completed. This review will aid in the development of a scenario of the construction labor peak and decline effects on the Dickey-Lincoln area.