On Regression Model with Autocorrelated Error: Small Sample Properties
Book information
Similar books
Volatility Transmission between Japan, U.K. and U.S. in Daily Stokc Returns
2009 · PDF
The Time-Varying Parameter Model Revisited
2000 · PDF
Simulation-based inference in nonlinear state-space models: Application to testing the permanent income hypothesis
1996 · PDF
Prediction, filtering and smoothing in non-linear and non-normal cases using Monte Carlo integration
1994 · PDF
On Small Properties of Permutation Tests: A Significance Test for Regression Models
2009 · PDF
On Markov chain Monte Carlo methods for nonlinear and non-gaussian state-space models
On Asymmetry, Holiday and Day-of-the-week Effects in Volatility of Daily Stock Returns: the Case of Japan
2004 · PDF
Nonliner and Non-Gaussian State Space Modeling Using Sampling Tecyniques
2001 · PDF