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Citations of
Douglas Gardiner Steigerwald

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Access and download statistics

Working papers

  1. Hahm, J.-H. & Steigerwald, D.G., 1998. "Consumption Adjustment under Changing Income Uncertainty," Papers 345, Australian National University - Department of Economics.
    Other versions:

    Cited by:

    1. Saito, Makoto & Shiratsuka, Shigenori, 2003. "Precautionary Motives versus Waiting Options: Evidence from Aggregate Household Saving in Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 21(3), pages 1-20, October. [Downloadable!]
    2. Shulian Zhang, 2005. "Consumption Behaviour Under Institutional Transitions in China," School of Economics and Finance Discussion Papers and Working Papers Series 189, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    3. L. Pozzi, 2005. "Income uncertainty and aggregate consumption," Research series 200511-2, National Bank of Belgium. [Downloadable!]
    4. Balázs Romhányi, 2005. "A learning hypothesis of the term structure of interest rates," Macroeconomics 0503001, EconWPA. [Downloadable!]
    5. Myung Hoon Yi & Changkyu Choi, 2006. "A GMM test of the precautionary saving hypothesis with nonexpected-utility preferences," Applied Economics, Taylor and Francis Journals, vol. 38(1), pages 71-78, January. [Downloadable!] (restricted)
    6. Lorenzo Pozzi, 2007. "Idiosyncratic Labour Income Risk and Aggregate Consumption: an Unobserved Component Approach," Tinbergen Institute Discussion Papers 07-069/2, Tinbergen Institute. [Downloadable!]
    7. Joseph Engelberg & Charles F. Manski & Jared Williams, 2006. "Comparing the Point Predictions and Subjective Probability Distributions of Professional Forecasters," NBER Working Papers 11978, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. Oliver Linton & Douglas G. Steigerwald, 1995. "Adaptive Testing in ARCH Models," Cowles Foundation Discussion Papers 1105, Cowles Foundation, Yale University. [Downloadable!]
    Published as:

    Cited by:

    1. Douglas J. Hodgson & Keith Vorkink, 2001. "Efficient Estimation of Conditional Asset Pricing Models," Cahiers de recherche CREFE / CREFE Working Papers 144, CREFE, Université du Québec à Montréal. [Downloadable!]
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    2. Enrique Sentana & Gabriele Fiorentini, 2007. "On The Efficiency And Consistency Of Likelihood Estimation In Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI. [Downloadable!]
      Other versions:

  3. Steigerwald, D.G., 1993. "Efficient Estimation of Models with Conditional Heteroscedasticity," University of California at Santa Barbara, Economics Working Paper Series 5-93, Department of Economics, UC Santa Barbara.

    Cited by:

    1. Oliver Linton & Douglas G. Steigerwald, 1995. "Adaptive Testing in ARCH Models," Cowles Foundation Discussion Papers 1105, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:

  4. Pippenger, J. & Steigerwald, D.G., 1993. "Purchasing Power Parity, Unit Roots, and Dynamic Structure," University of California at Santa Barbara, Economics Working Paper Series 10-93, Department of Economics, UC Santa Barbara.
    Published as:

    Cited by:

    1. Hali J. Edison & Joseph E. Gagnon & William R. Melick, 1994. "Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era," International Finance Discussion Papers 465, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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    2. Philip Shively, 2003. "Threshold stationary real exchange rates: a nonlinear, multivariate approach," Economics Bulletin, Economics Bulletin, vol. 6(2), pages 1-11. [Downloadable!]
    3. Antonio E. Noriega & Lorena Medina, 2003. "Quasi purchasing power parity: Structural change in the Mexican peso/us dollar real exchange rate," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 18(2), pages 227-236. [Downloadable!]

  5. Steigerwald, D., 1989. "On The Finite Sample Behavior Of Adaptative Estimators," University of California at Santa Barbara, Economics Working Paper Series 31-89, Department of Economics, UC Santa Barbara.
    Published as:

    Cited by:

    1. Douglas Steigerwald, 2006. "A Note on Adaptive Estimation," University of California at Santa Barbara, Economics Working Paper Series 04-06, Department of Economics, UC Santa Barbara. [Downloadable!]
    2. Thanasis Stengos & Ximing Wu, 2005. "Partially Adaptive Estimation via Maximum Entropy Densities," University of Cyprus Working Papers in Economics 6-2005, University of Cyprus Department of Economics. [Downloadable!]
    3. Thanasis Stengos & Yiguo Sun, 2005. "The Absolute Health Income Hypothesis Revisited : A Semiparametric Quantile Regression Approach," University of Cyprus Working Papers in Economics 7-2005, University of Cyprus Department of Economics. [Downloadable!]
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    4. Mathias D. Cattaneo & Richard K. Crump & Michael Jansson, 2007. "Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors," CREATES Research Papers 2007-11, School of Economics and Management, University of Aarhus. [Downloadable!]

  6. Roger Craine and Douglas Steigerwald., 1988. "Raiders, Junk Bonds, and Risk," Economics Working Papers 8893, University of California at Berkeley.
    Published as:

    Cited by:

    1. Randall J. Pozdena, 1991. "Why banks need commerce powers," Economic Review, Federal Reserve Bank of San Francisco, issue Sum, pages 18-31. [Downloadable!]

Articles

  1. John Owens & Douglas G. Steigerwald, 2005. "Inferring Information Frequency and Quality," Journal of Financial Econometrics, Oxford University Press, vol. 3(4), pages 500-524. [Downloadable!] (restricted)

    Cited by:

    1. Francis X. Diebold & Georg H. Strasser, 2008. "On the Correlation Structure of Microstructure Noise in Theory and Practice," Boston College Working Papers in Economics 692, Boston College Department of Economics. [Downloadable!]
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  2. Oliver Linton & Douglas Steigerwald, 2000. "Adaptive testing in arch models," Econometric Reviews, Taylor and Francis Journals, vol. 19(2), pages 145-174. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  3. Whitney K. Newey & Douglas G. Steigerwald, 1997. "Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models," Econometrica, Econometric Society, vol. 65(3), pages 587-600, May.

    Cited by:

    1. Douglas J. Hodgson & Keith Vorkink, 2001. "Efficient Estimation of Conditional Asset Pricing Models," Cahiers de recherche CREFE / CREFE Working Papers 144, CREFE, Université du Québec à Montréal. [Downloadable!]
      Other versions:
    2. Komunjer, Ivana, 2002. "Quasi-Maximum Likelihood Estimation for Conditional Quantiles," Working Papers 1139, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
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    3. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. [Downloadable!]
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    4. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," Global COE Hi-Stat Discussion Paper Series gd08-032, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    5. Todd Prono, 2006. "GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique," Working Papers 07-1, Federal Reserve Bank of Boston. [Downloadable!]
    6. Peter Verhoeven & Michael McAleer, 2003. "Fat Tails and Asymmetry in Financial Volatility Models," CIRJE F-Series CIRJE-F-211, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    7. Jushan Bai & Serena Ng, 1998. "A Test for Conditional Symmetry in Time Series Models," Boston College Working Papers in Economics 410, Boston College Department of Economics. [Downloadable!]
    8. Francisco Javier Mencía & Enrique Sentana, 2004. "Estimation And Testing Of Dynamic Models With Generalised Hyperbolic Innovations," Working Papers wp2004_0411, CEMFI. [Downloadable!]
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    9. Lüders, Erik & Schröder, Michael, 2004. "Modeling Asset Returns : A Comparison of Theoretical and Empirical Models," ZEW Discussion Papers 04-19, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    10. Martin T. Bohl & Pierre Siklos, 2004. "Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets," Research Paper Series 137, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
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    11. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CIRJE F-Series CIRJE-F-608, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    12. Roberta Colavecchio & Michael Funke, 2008. "Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures," Quantitative Macroeconomics Working Papers 20803, Hamburg University, Department of Economics. [Downloadable!]
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    13. Nour Meddahi & Éric Renault, 1998. "Quadratic M-Estimators for ARCH-Type Processes," CIRANO Working Papers 98s-29, CIRANO. [Downloadable!]
    14. Alicia Pérez Alonso, 2006. "A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models," Working Papers. Serie AD 2006-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    15. Hao Zhou, 2000. "A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model," Finance and Economics Discussion Series 2000-45, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    16. Schüler , Martin & Schröder, Michael, 2003. "Systemic Risk in European Banking : Evidence from Bivariate GARCH Models," ZEW Discussion Papers 03-11, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    17. Ivana Komunjer, 2001. "Consistent Estimation for Aggregated GARCH Processes," University of California at San Diego, Economics Working Paper Series 2001-08, Department of Economics, UC San Diego. [Downloadable!]
    18. S. Kim & J. Sheen, . "International; Linkages & Macroeconomic News Effects on Interest Rate Volatility - Australia and the US," Working Papers 9811, University of Sydney, Department of Economics. [Downloadable!]
    19. Enrique Sentana & Gabriele Fiorentini, 2007. "On The Efficiency And Consistency Of Likelihood Estimation In Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI. [Downloadable!]
      Other versions:

  4. Douglas G. Steigerwald & Charles Stuart, 1997. "Econometric Estimation Of Foresight: Tax Policy And Investment In The United States," The Review of Economics and Statistics, MIT Press, vol. 79(1), pages 32-40, February. [Downloadable!] (restricted)

    Cited by:

    1. Eric M. Leeper, 2003. "Fiscal Policy and Inflation: Pondering the Imponderables," NBER Working Papers 9506, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Shu-Chun Susan Yang, 2007. "A Chronology Of Postwar U.S. Federal Income Tax Policy," Caepr Working Papers 2007-021, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]
    3. Lanne, Markku & Saikkonen, Pentti, 2009. "Noncausal vector autoregression," Research Discussion Papers 18/2009, Bank of Finland. [Downloadable!]
    4. Austan Goolsbee, 1997. "Investment Tax Incentives, Prices, and the Supply of Capital Goods," NBER Working Papers 6192, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    5. Eric M. Leeper, 2009. "Anchoring Fiscal Expectations," NBER Working Papers 15269, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    6. Boehm, Hjalmar & Funke, Michael, 2000. "Optimal Investment Strategies under Demand and Tax Policy Uncertainty," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]

  5. Crownover, Collin & Pippenger, John & Steigerwald, Douglas G., 1996. "Testing for absolute purchasing power parity," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 783-796, October. [Downloadable!] (restricted)

    Cited by:

    1. Mark Holmes & Ping Wang, 2006. "Asymmetric adjustment towards long-run PPP: Some new evidence for Asian economies," International Economic Journal, Korean International Economic Association, vol. 20(2), pages 161-177, June. [Downloadable!] (restricted)
    2. Mario J. Crucini & Chris I. Telmer & Marios Zachariadis, 2005. "Understanding European Real Exchange Rates," American Economic Review, American Economic Association, vol. 95(3), pages 724-738, June. [Downloadable!]
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    3. Mark Holmes, 2008. "Real Exchange Rate Stationarity in Latin America and Relative Purchasing Power Parity: A Regime Switching Approach," Open Economies Review, Springer, vol. 19(2), pages 261-275, April. [Downloadable!] (restricted)
    4. Mario J. Crucini & Mototsugu Shintani, 2002. "Persistence in Law-Of-One-Price Deviations: Evidence from Micro-Data," Working Papers 0222, Department of Economics, Vanderbilt University, revised Jul 2004. [Downloadable!]
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    5. Kul B. Luintel, 2000. "Real exchange rate behaviour: evidence from black markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 161-185. [Downloadable!]
    6. John Pippenger, 2004. "The Modern Theory of the LOP and PPP: Some Implications," University of California at Santa Barbara, Economics Working Paper Series 03-04, Department of Economics, UC Santa Barbara. [Downloadable!]
    7. Marcos José Dal Bianco, 2008. "Argentinean real exchange rate 1900-2006, test purchasing power parity theory," Estudios de Economia, University of Chile, Department of Economics, vol. 35(1 Year 20), pages 33-64, June. [Downloadable!]

  6. Steigerwald, Douglas G., 1996. "Purchasing power parity, unit roots, and dynamic structure," Journal of Empirical Finance, Elsevier, vol. 2(4), pages 343-357, February. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  7. Steigerwald, Douglas G., 1992. "Adaptive estimation in time series regression models," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 251-275. [Downloadable!] (restricted)

    Cited by:

    1. Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal. [Downloadable!]
    2. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 325-353, November. [Downloadable!]
    3. Drost, F.C. & Werker, B.J.M., 2001. "Semiparametric duration models," Discussion Paper 11, Tilburg University, Center for Economic Research. [Downloadable!]
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    4. Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient estimation in semiparametric GARCH models," Discussion Paper 38, Tilburg University, Center for Economic Research. [Downloadable!]
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  8. Steigerwald, Douglas G., 1992. "On the finite sample behavior of adaptive estimators," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 371-400. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  9. Roger Craine & Douglas Steigerwald, 1989. "Raiders, junk bonds, and risk," Proceedings, Federal Reserve Bank of Chicago, pages 280-300.
    Other versions:

    See citations under working paper version above.

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This page was last updated on 2009-11-6.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.