The main econometric issue in testing the Lucas (1973) hypothesis in a time series context is estimation of the forecast-error variance conditional on past ...
Annales d'Économie et de Statistique, No. 91/92, Econometric Evaluation of Public Policies: Methods and Applications (JULY - DECEMBER 2008), pp. 175-187 (13 pages) In paired randomized experiments ...
The AUTOREG procedure can produce two kinds of predicted values for the response series and corresponding residuals and confidence limits. The residuals in both cases are computed as the actual value ...
The exponentially weighted moving average (EWMA) estimator is widely used to forecast the conditional volatility of short-horizon asset returns. The EWMA estimator is appropriate when returns are ...
Engel, C., J. Frankel, Kenneth A. Froot, and T. Rodrigues. "Tests of Conditional Mean-Variance Efficiency of the U.S. Stock Market." Journal of Empirical Finance 2 (March 1995). (Revised from NBER ...
In the prediction of genetic values and quantitative trait loci (QTLs) mapping via the mixed model method incorporating marker information in animal populations, it is important to model the genetic ...
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