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Citations for "Estimating Regression Models with Multiplicative Heteroscedasticity"

by Harvey, A C

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  1. DUFOUR, Jean-Marie & KHALAF, Lynda & BERNARD, Jean-Thomas, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche 2001-08, Universite de Montreal, Departement de sciences economiques.
  2. Eggert, Hakan & Tveteras, Ragnar, 2001. "Stochastic Production And Heterogeneous Risk Preferences: Commercial Fishers' Gear Choice," 2001 Annual meeting, August 5-8, Chicago, IL 20671, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  3. Cerqueiro, G.M. & Degryse, H.A. & Ongena, S., 2007. "Rules versus Discretion in Loan Rate Setting," Discussion Paper 2007-026, Tilburg University, Tilburg Law and Economic Center.
  4. Belasco, Eric J. & Taylor, Mykel R. & Goodwin, Barry K., 2006. "Probabilistic Models of Yield, Price, and Revenue Risks for Fed Cattle Production," 2006 Annual meeting, July 23-26, Long Beach, CA 21265, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  5. Juan Mora López & Ana I. Moro, 2003. "Motives For Money-Transfers Within Families: The Role Of Transfers On Education," Working Papers. Serie AD 2003-37, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  6. Spierdijk, L., 2002. "An Empirical Analysis of the Role of the Trading Intensity in Information Dissemination on the NYSE," Discussion Paper 2002-30, Tilburg University, Center for Economic Research.
  7. Bellucci, Andrea & Borisov, Alexander & Zazzaro, Alberto, 2013. "Do banks price discriminate spatially? Evidence from small business lending in local credit markets," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4183-4197.
  8. Carlos Carreira & Paulino Teixeira, 2009. "The Shadow of Death: Analysing the Pre-Exit Productivity of Portuguese Manufacturing Firms," GEMF Working Papers 2008-05, GEMF - Faculdade de Economia, Universidade de Coimbra.
  9. Tassos G. Anastasatos & Ian R. Davidson, 2006. "How Homogenous are Currency Crises? A Panel Study Using Multiple-Response Models," Working Papers 52, Bank of Greece.
  10. Jean-Pierre Lachaud, 2001. "Modélisation des déterminants de la mortalité des enfants et pauvreté aux Comores," Documents de travail 53, Groupe d'Economie du Développement de l'Université Montesquieu Bordeaux IV.
  11. Y. K. Tse & Z. L. Yang, 2004. "Tests of Functional Form and Heteroscedasticity," Econometric Society 2004 Far Eastern Meetings 424, Econometric Society.
  12. Carlsson, Fredrik & Kataria, Mitesh & Krupnick, Alan & Lampi, Elina & Löfgren, Åsa & Qin, Ping & Sterner, Thomas, 2013. "The truth, the whole truth, and nothing but the truth—A multiple country test of an oath script," Journal of Economic Behavior & Organization, Elsevier, vol. 89(C), pages 105-121.
  13. Chen, Songnian & Khan, Shakeeb, 2003. "Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models," Journal of Econometrics, Elsevier, vol. 117(2), pages 245-278, December.
  14. Buch Claudia M & Doepke Joerg & Stahn Kerstin, 2009. "Great Moderation at the Firm Level? Unconditional vs. Conditional Output Volatility," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 9(1), pages 1-27, May.
  15. Sam, Abdoul G. & Innes, Robert & Khanna, Madhu, 2006. "How do Voluntary Pollution Reduction Programs (VPRs) Work? An Empirical Study of Links between VPRs, Environmental Management, and Environmental Performance," 2006 Annual meeting, July 23-26, Long Beach, CA 21192, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  16. David E. A. Giles, 2002. "Calculating a Standard Error for the Gini Coefficient: Some Further Results," Econometrics Working Papers 0202, Department of Economics, University of Victoria.
  17. Xu, Dengke & Zhang, Zhongzhan, 2013. "A semiparametric Bayesian approach to joint mean and variance models," Statistics & Probability Letters, Elsevier, vol. 83(7), pages 1624-1631.
  18. Jean Pinquet & Guillén Montserrat & Catalina Bolancé, 2007. "On the link between credibility and frequency premium," Working Papers hal-00243063, HAL.
  19. Karsten Kohn & Martin Missong, 2003. "Estimation of Quadratic Expenditure Systems Using German Household Budget Data," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 223(4), pages 422-448, July.
  20. King, Robert P. & Park, Timothy A., 2004. "Modeling Productivity In Supermarket Operations: Incorporating The Impacts Of Store Characteristics And Information Technologies," Journal of Food Distribution Research, Food Distribution Research Society, vol. 35(02), July.
  21. Andrea Bassanini & Giorgio Brunello, 2005. "Is Training More Frequent When the Wage Premium Is Smaller? Evidence from the European Community Household Panel," Documents de recherche 05-03, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  22. Liucang Wu & Huiqiong Li, 2012. "Variable selection for joint mean and dispersion models of the inverse Gaussian distribution," Metrika, Springer, vol. 75(6), pages 795-808, August.
  23. Kuhn, Johan Moritz, 2007. "My Pay is Too Bad (I Quit). Your Pay is Too Good (You're Fired)," Working Papers 07-5, University of Aarhus, Aarhus School of Business, Department of Economics.
  24. Roberto Basile & Anna Giunta & Jeffrey Nugent, 2003. "Foreign Expansion by Italian Manufacturing Firms in the Nineties: an Ordered Probit Analysis," Review of Industrial Organization, Springer, vol. 23(1), pages 1-24, August.
  25. Djunaidi, Harjanto & Young, Kenneth B. & Wailes, Eric J. & Hoffman, Linwood A. & Childs, Nathan W., 2001. "Spatial Pricing Efficiency: The Case Of U.S. Long Grain Rice," 2001 Annual meeting, August 5-8, Chicago, IL 20457, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  26. Ncube, Mthuli, 1996. "Modelling implied volatility with OLS and panel data models," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 71-84, January.
  27. Arthur Brooks & Jan Ondrich, 2007. "Quality, service level, or empire: which is the objective of the nonprofit arts firm?," Journal of Cultural Economics, Springer, vol. 31(2), pages 129-142, June.
  28. Peter Selb, 2008. "Supersized votes: ballot length, uncertainty, and choice in direct legislation elections," Public Choice, Springer, vol. 135(3), pages 319-336, June.
  29. Sousa-Poza, Alfonso & Sousa-Poza, Andres A., 2000. "Well-being at work: a cross-national analysis of the levels and determinants of job satisfaction," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 29(6), pages 517-538, November.
  30. Rui Castro & Gian Luca Clementi & Glenn Macdonald, 2009. "Legal Institutions, Sectoral Heterogeneity, and Economic Development," Review of Economic Studies, Oxford University Press, vol. 76(2), pages 529-561.
  31. Zhang, Daowei & Nagubadi, Rao V., 2005. "The influence of urbanization on timberland use by forest type in the Southern United States," Forest Policy and Economics, Elsevier, vol. 7(5), pages 721-731, August.
  32. Carlsson, Magnus & Fumarco, Luca & Rooth, Dan-Olof, 2013. "Artifactual evidence of discrimination in correspondence studies? A replication of the Neumark method," POLIS Working Papers 172, Institute of Public Policy and Public Choice - POLIS.
  33. Germa Manel Bel Queralt & Antonio Miralles, 2002. "Factors influencing privatization of urban solid waste collection: some evidence from Spain," Working Papers in Economics 74, Universitat de Barcelona. Espai de Recerca en Economia.
  34. Trevor A. Reeve, 2002. "Factor endowments and industrial structure," International Finance Discussion Papers 731, Board of Governors of the Federal Reserve System (U.S.).
  35. Cheng, Tsung-Chi, 2011. "Robust diagnostics for the heteroscedastic regression model," Computational Statistics & Data Analysis, Elsevier, vol. 55(4), pages 1845-1866, April.
  36. van Bommel, Jos & Vermaelen, Theo, 2003. "Post-IPO capital expenditures and market feedback," Journal of Banking & Finance, Elsevier, vol. 27(2), pages 275-305, February.
  37. Arndt Reichert & Harald Tauchmann, 2012. "When Outcome Heterogeneously Matters for Selection – A Generalized Selection Correction Estimator," Ruhr Economic Papers 0372, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  38. Iannotta, Giuliano & Nocera, Giacomo & Resti, Andrea, 2013. "Do investors care about credit ratings? An analysis through the cycle," Journal of Financial Stability, Elsevier, vol. 9(4), pages 545-555.
  39. Juan Mora & Ana Moro-Egido, 2012. "Analyzing motives for money-transfers within families: the role of transfers for education," Empirical Economics, Springer, vol. 43(1), pages 357-378, August.
  40. Rosegrant, Mark W. & Roumasset, James A., 1985. "The Effect Of Fertiliser On Risk: A Heteroscedastic Production Function With Measurable Stochastic Inputs," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 29(02), August.
  41. Ahrendsen, Bruce L. & Bierlen, Ralph W. & Langemeier, Larry N. & Dixon, Bruce L., 1999. "Land Leasing And Debt On Farms: Substitutes Or Complements?," 1999 Annual meeting, August 8-11, Nashville, TN 21671, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  42. Agrawal, Vipin & Kothare, Meeta & Rao, Ramesh K. S. & Wadhwa, Pavan, 2004. "Bid-ask spreads, informed investors, and the firm's financial condition," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 58-76, February.
  43. Luis Eduardo Arango & Carlos Esteban Posada & Alejandro Charry, . "La Participación Laboral en Colombia según la Nueva Encuesta: ¿Cambian sus determinantes?," Borradores de Economia 250, Banco de la Republica de Colombia.
  44. Khayyat, Nabaz T. & Heshmati, Almas, 2014. "Production Risk, Energy Use Efficiency and Productivity of Korean Industries," IZA Discussion Papers 8081, Institute for the Study of Labor (IZA).
  45. He, Senhui & White, Fred C. & Fletcher, Stanley M., 2003. "The Effects Of Research On Wheat Yields And Yield Variances," 2003 Annual Meeting, February 1-5, 2003, Mobile, Alabama 35155, Southern Agricultural Economics Association.
  46. Claudia Buch & Martin Schlotter, 2013. "Regional origins of employment volatility: evidence from German states," Empirica, Springer, vol. 40(1), pages 1-19, February.
  47. Carlos Esteban Posada & Luis Eduardo Arango, 2002. "La Participación Laboral En Colombia," BORRADORES DE ECONOMIA 003047, BANCO DE LA REPÚBLICA.
  48. Rulon D. Pope & Richard E. Just, 1977. "On The Competitive Firm Under Production Uncertainty," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 21(2), pages 111-118, 08.
  49. repec:imd:wpaper:wp2010-25 is not listed on IDEAS
  50. Murat Isik & Madhu Khanna, 2003. "Stochastic Technology, Risk Preferences, and Adoption of Site-Specific Technologies," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 85(2), pages 305-317.
  51. Ansgar Belke & Robert Czudaj, 2010. "Is Euro Area Money Demand (Still) Stable? Cointegrated VAR Versus Single Equation Techniques," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 56(4), pages 285-315.
  52. Chen, Songnian & Khan, Shakeeb, 2000. "Estimating censored regression models in the presence of nonparametric multiplicative heteroskedasticity," Journal of Econometrics, Elsevier, vol. 98(2), pages 283-316, October.
  53. Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2013. "Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown," MPRA Paper 49344, University Library of Munich, Germany.
  54. Kelbore, Zerihun Getachew, 2012. "An Analysis of the Impacts of Climate Change on Crop Yield and Yield Variability in Ethiopia," MPRA Paper 49466, University Library of Munich, Germany.
  55. Jean-Pierre Lachaud, 1999. "Le différentiel spatial de pauvreté au Burkina Faso : " capabilities " versus dépenses," Documents de travail 36, Groupe d'Economie du Développement de l'Université Montesquieu Bordeaux IV.
  56. Tveteras, Ragnar & Flaten, Ola & Lien, Gudbrand D., 2008. "Production risk in multi-output industries: estimates from Norwegian dairy farms," 2008 International Congress, August 26-29, 2008, Ghent, Belgium 43958, European Association of Agricultural Economists.
  57. Nwaeze, Emeka T., 2005. "Replacement versus adaptation investments and equity value," Journal of Corporate Finance, Elsevier, vol. 11(3), pages 523-549, June.
  58. Ross, Stephen L. & Zenou, Yves, 2004. "Shirking, Commuting and Labor Market Outcomes," Working Paper Series 627, Research Institute of Industrial Economics.
  59. Schnepf, Randall D. & Goodwin, Barry K., 1999. "Long-Run Price Risk In U.S. Agricultural Markets," 1999 Annual meeting, August 8-11, Nashville, TN 21687, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  60. Hause, John C. & Du Rietz, Gunnar, 1983. "Entry, Industry Growth and the Micro Dynamics of Industry Supply," Working Paper Series 108, Research Institute of Industrial Economics.
  61. LE GALLO, Julie, 2000. "Econométrie spatiale 2 -Hétérogénéité spatiale," LATEC - Document de travail - Economie (1991-2003) 2001-01, LATEC, Laboratoire d'Analyse et des Techniques EConomiques, CNRS UMR 5118, Université de Bourgogne.
  62. Wu, Zai Bin & Yeung, Godfrey & Mok, Vincent & Han, Zhaozhou, 2007. "Firm-specific knowledge and technical efficiency of watch and clock manufacturing firms in China," International Journal of Production Economics, Elsevier, vol. 107(2), pages 317-332, June.
  63. L. Baele & V. De Bruyckere & O. De Jonghe & R. Vander Vennet, 2012. "Do Stock Markets Discipline US Bank Holding Companies: Just Monitoring, or also In?uencing?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 12/827, Ghent University, Faculty of Economics and Business Administration.
  64. Tassos Anastasatos & Ian R. Davidson, 2004. "How Homogenous are Currency Crises? A Panel Study using Multiple-Response Models," Discussion Paper Series 2004_23, Department of Economics, Loughborough University, revised Dec 2004.
  65. Martina Cioni & Marco savioli, 2011. "Accidents and illnesses at the workplace Evidence from Italy," Department of Economics University of Siena 608, Department of Economics, University of Siena.
  66. Howard, Donald D. & English, Burton C. & Larson, James A. & Roberts, Roland K. & Walters, Jeremy T., 2004. "Effects Of Risk, Disease, And Nitrogen Source On Optimal Nitrogen Fertilization Rates In Winter Wheat Production," 2004 Annual Meeting, February 14-18, 2004, Tulsa, Oklahoma 34688, Southern Agricultural Economics Association.
  67. Salvanes, Kjell G. & Steen, Frode & Sorgard, Lars, 2005. "Hotelling in the air? Flight departures in Norway," Regional Science and Urban Economics, Elsevier, vol. 35(2), pages 193-213, March.
  68. Zeba Anjum & Paul J. Burke & Reyer Gerlagh & David I. Stern, 2014. "Modeling the Emissions-Income Relationship Using Long-Run Growth Rates," CCEP Working Papers 1403, Centre for Climate Economics & Policy, Crawford School of Public Policy, The Australian National University.
  69. Asche, Frank & Guttormsen, Atle G. & Roll, Kristin H., 2006. "Modelling Production Risk in Small Scale Subsistence Agriculture," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25574, International Association of Agricultural Economists.
  70. Dong Jin Lee, 2009. "Testing Parameter Stability in Quantile Models: An Application to the U.S. Inflation Process," Working papers 2009-26, University of Connecticut, Department of Economics.
  71. Simas, Alexandre B. & Barreto-Souza, Wagner & Rocha, Andréa V., 2010. "Improved estimators for a general class of beta regression models," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 348-366, February.
  72. Teemu Lyytikäinen, 2006. "Rent Control and Tenants' Welfare: The Effects of Deregulating Rental Markets in Finland," Discussion Papers 385, Government Institute for Economic Research Finland (VATT).
  73. Tedds, Lindsay, 2007. "Keeping it off the Books: An Empirical Investigation of Firms that Engage in Tax Evasion," MPRA Paper 4213, University Library of Munich, Germany.
  74. Nolan, Elizabeth & Santos, Paulo, 2012. "Insurance premiums and GM traits," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 125942, International Association of Agricultural Economists.
  75. Li, Kim-Hung & Chan, Nai Ng, 2000. "Degeneracy in Heteroscedastic Regression Models," Journal of Multivariate Analysis, Elsevier, vol. 74(2), pages 282-295, August.
  76. Spierdijk, L. & Nijman, T.E. & Soest, A.H.O. van, 2002. "Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News," Discussion Paper 2002-69, Tilburg University, Center for Economic Research.
  77. Decker, Ryan & D'Erasmo, Pablo & Moscoso Boedo, Herman J., 2014. "Market exposure and endogenous firm volatility over the business cycle," Working Papers 14-12, Federal Reserve Bank of Philadelphia.
  78. Wang-Sheng Lee, 2013. "Propensity score matching and variations on the balancing test," Empirical Economics, Springer, vol. 44(1), pages 47-80, February.
  79. Stößlein, Martin & Kanet, John Jack & Gorman, Mike & Minner, Stefan, 2014. "Time-phased safety stocks planning and its financial impacts: Empirical evidence based on European econometric data," International Journal of Production Economics, Elsevier, vol. 149(C), pages 47-55.
  80. Tiziana Laureti, 2008. "Modelling Exogenous Variables in Human Capital Formation through a Heteroscedastic Stochastic Frontier," International Advances in Economic Research, Springer, vol. 14(1), pages 76-89, February.
  81. Cysneiros, Francisco José A. & Paula, Gilberto A. & Galea, Manuel, 2007. "Heteroscedastic symmetrical linear models," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1084-1090, June.
  82. Nick Wills-Johnson, 2010. "Lessons for sustainability from the world’s most sustainable culture," Environment, Development and Sustainability, Springer, vol. 12(6), pages 909-925, December.
  83. Maria Grydaki & Stilianos Fountas, 2010. "What Explains Output Volatility? Evidence from the G3," Discussion Paper Series 2010_09, Department of Economics, University of Macedonia, revised Jul 2010.
  84. Tsung-Shan Tsou, 2005. "Inferences of variance function - a parametric robust way," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(8), pages 785-796.
  85. Roberto Dell'Anno & Désirée Teobaldelli, 2012. "Keeping both Corruption and the Shadow Economy in Check: The Role of Decentralization," Working Papers 1213, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2012.
  86. Eric Hillebrand, 2003. "Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models," Econometrics 0301003, EconWPA.
  87. Genaro Sucarrat & Alvaro Escribano, 2010. "The power log-GARCH model," Economics Working Papers we1013, Universidad Carlos III, Departamento de Economía.
  88. Katja Zajc Kejžar, 2011. "The role of foreign direct investment in the host-country firm selection process: firm-level evidence from Slovenian manufacturing," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 147(1), pages 169-193, April.
  89. Iannotta, Giuliano & Navone, Marco, 2012. "The cross-section of mutual fund fee dispersion," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 846-856.
  90. Katja Zajc Kejžar, 2006. "The Role Of Foreign Direct Investment In The Firm Selection Process In A Host Country: Evidence From Slovenia," William Davidson Institute Working Papers Series wp841, William Davidson Institute at the University of Michigan.
  91. Almus, Matthias, 2000. "What Characterizes a Fast Growing Firm?," ZEW Discussion Papers 00-64, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  92. Cem Ertur & Julie Le Gallo, 2008. "Regional Growth and Convergence: Heterogenous reaction versus interaction in spatial econometric approaches," Working Papers hal-00463274, HAL.
  93. Tovar, Beatriz & Wall, Alan, 2014. "The impact of demand uncertainty on port infrastructure costs: Useful information for regulators?," Transport Policy, Elsevier, vol. 33(C), pages 176-183.
  94. Wesley M. Cohen & Richard C. Levin & David C. Mowery, 1987. "Firm Size and R&D Intensity: A Re-Examination," NBER Working Papers 2205, National Bureau of Economic Research, Inc.
  95. William H. Greene & David A. Hensher, 2008. "Modeling Ordered Choices: A Primer and Recent Developments," Working Papers 08-26, New York University, Leonard N. Stern School of Business, Department of Economics.
  96. Podlich, Natalia & Wedow, Michael, 2011. "Credit contagion between financial systems," Discussion Paper Series 2: Banking and Financial Studies 2011,15, Deutsche Bundesbank, Research Centre.
  97. Gill, H. Leroy & Haurin, Donald R., 2001. "The choice of tax base by local authorities: voter preferences, special interest groups, and tax base diversification," Regional Science and Urban Economics, Elsevier, vol. 31(6), pages 733-749, November.
  98. Buch, Claudia M. & Döpke, Jörg & Stahn, Kerstin, 2008. "Great moderation at the firm level? Unconditional versus conditional output volatility," Discussion Paper Series 1: Economic Studies 2008,13, Deutsche Bundesbank, Research Centre.
  99. Dong Jin Lee & Jai Hyung Yoon, 2012. "The New Keynesian Phillips Curves in Multiple Quantiles and the Asymmetry of Monetary Policy," Working papers 2012-03, University of Connecticut, Department of Economics.
  100. Cheng, Tsung-Chi, 2012. "On simultaneously identifying outliers and heteroscedasticity without specific form," Computational Statistics & Data Analysis, Elsevier, vol. 56(7), pages 2258-2272.