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Rank tests for unit roots
Nonparametric dynamic modelling
Local parametric analysis of hedging in discrete time
离散时间对冲的局部参数分析
When continuous-time portfolio weights are applied to a discrete-time hedging problem, errors are likely to occur. This paper evaluates the overall importance of the discretization-induced tracking error. It does so by comparing the performance of Black-Scholes hedge ratios against those obtained from a novel estimation procedure, namely local parametric estimation. In the latter, the weights of the duplicating portfolio are estimated by fitting parametric models (in this…
Testing cointegration in infinite order vector autoregressive processes
Detecting shocks: Outliers and breaks in time series
Exact tests in single equation autoregressive distributed lag models
Discussion of paper by H. Li & G.S. Maddala
Inference in a nearly integrated autoregressive model with nonnormal innovations
Analysis of cointegrated VARMA processes
Bootstrapping cointegrating regressions
Testing of unit root and other nonstationary hypotheses in macroeconomic time series
Codependent cycles
Random walks with drifts: Nonsense regression and spurious fixed-effect estimation
An introduction to stochastic unit-root processes
Semiparametric estimation of the Type-3 Tobit model
Multiple unit roots in periodic autoregression
Statistical inference in the multinomial multiperiod probit model
Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments
回归变量与工具变量可能非平稳时的完全修正 IV、GIVE 与 GMM 估计
This paper develops a general theory of instrumental variables (IV) estimation that allows for both I(1) and I(0) regressors and instruments. The main goal of this paper is to develop a theory in which one does not need to know the integration properties of the regressors in order to obtain efficient estimators. The estimation techniques involve an extension of the fully modified (FM) regression procedure that was introduced in earlier work by Phillips and Hansen (1990). FM…
Analyzing properties of K-cones in the generalized data envelopment analysis model
On seasonality and business cycle durations: A nonparametric investigation
A count data model with unobserved heterogeneity
Association measures for durations in bivariate hazard rate models
双变量风险率模型中持续期的关联度量
In multivariate hazard rate models, the duration variables are dependent if their unobserved determinants are dependent on each other. This paper derives properties of association measures for these duration variables. Sharp bounds for correlations are derived in the general case as well as in cases in which the bivariate distribution of unobserved heterogeneity belongs to specific families. Similar results are derived for Kendall's tau, which does not depend on the shape of…