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Saddlepoint approximations for continuous-time Markov processes
Inference with non-Gaussian Ornstein–Uhlenbeck processes for stochastic volatility
Markov-switching model selection using Kullback–Leibler divergence
Bayesian point estimation of the cointegration space
Modified tests for a change in persistence
Analysis of high dimensional multivariate stochastic volatility models
Estimation of technical and allocative inefficiency: A primal system approach
Pitfalls in the estimation of a cost function that ignores allocative inefficiency: A Monte Carlo analysis
Asymptotic properties of Monte Carlo estimators of diffusion processes
Estimation of quantity games in the presence of indivisibilities and heterogeneous firms
Semiparametric Bayesian inference in smooth coefficient models
平滑系数模型的半参数贝叶斯推断
We describe procedures for Bayesian estimation and testing in cross sectional, panel data and nonlinear smooth coefficient models. The smooth coefficient model is a generalization of the partially linear or additive model wherein coefficients on linear explanatory variables are treated as unknown functions of an observable covariate. In the approach we describe, points on the regression lines are regarded as unknown parameters and priors are placed on differences between…
Distributional properties of portfolio weights
Bootstrap testing for the null of no cointegration in a threshold vector error correction model
Identification and estimation in sequential, asymmetric, English auctions
Matrix exponential GARCH
An instrumental variable approach for panel unit root tests under cross-sectional dependence
Estimation of mis-specified long memory models
Generalized spectral tests for the martingale difference hypothesis
鞅差假设的广义谱检验
This article proposes a test for the Martingale Difference Hypothesis (MDH) using depen- dence measures related to the characteristic function. The MDH typically has been tested using the sample autocorrelations or in the spectral domain using the periodogram. Tests based on these statistics are inconsistent against uncorrelated non-martingales processes. Here, we gen- eralize the spectral test of Durlauf (1991) for testing the MDH taking into account linear and nonlinear…