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Robust Wald Tests in SUR Systems with Adding-up Restrictions

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  • B. Ravikumar
  • Surajit Ray
  • N. Eugene Savin

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  • B. Ravikumar & Surajit Ray & N. Eugene Savin, 2000. "Robust Wald Tests in SUR Systems with Adding-up Restrictions," Econometrica, Econometric Society, vol. 68(3), pages 715-720, May.
  • Handle: RePEc:ecm:emetrp:v:68:y:2000:i:3:p:715-720
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    References listed on IDEAS

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    1. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, pages 177-188.
    2. Mikhail Chernov & Eric Ghysels, 1998. "What Data Should Be Used to Price Options?," CIRANO Working Papers 98s-22, CIRANO.
    3. David S. Bates, 1997. "Post-'87 Crash Fears in S&P 500 Futures Options," NBER Working Papers 5894, National Bureau of Economic Research, Inc.
    4. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, pages 381-408.
    5. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, pages 151-184.
    6. Jamshidian, Farshid, 1989. " An Exact Bond Option Formula," Journal of Finance, American Finance Association, vol. 44(1), pages 205-209, March.
    7. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, pages 385-407.
    8. Sanjiv R. Das, 1998. "Poisson-Guassian Processes and the Bond Markets," NBER Working Papers 6631, National Bureau of Economic Research, Inc.
    9. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, pages 687-720.
    10. Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Society for Financial Studies, pages 481-523.
    11. Torben G. Andersen & Luca Benzoni, 2009. "Stochastic volatility," Working Paper Series WP-09-04, Federal Reserve Bank of Chicago.
    12. Bates, David S, 1996. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," Review of Financial Studies, Society for Financial Studies, pages 69-107.
    13. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    14. Robert A. Jarrow & David Lando & Stuart M. Turnbull, 2008. "A Markov Model for the Term Structure of Credit Risk Spreads," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 18, pages 411-453 World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Haupt, Harry & Oberhofer, Walter, 2006. "Generalized adding-up in systems of regression equations," Economics Letters, Elsevier, pages 263-269.
    2. Hecq Alain & Victor Issler João, 2012. "A Common-Feature Approach for Testing Present-Value Restrictions with Financial Data," Research Memorandum 006, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    3. Iwan Bos & Joseph E. Harrington, 2015. "Competition Policy And Cartel Size," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56, pages 133-153, February.
    4. Tian, Yongge & Jiang, Bo, 2016. "Equalities for estimators of partial parameters under linear model with restrictions," Journal of Multivariate Analysis, Elsevier, pages 299-313.
    5. Hecq Alain & Palm Franz C. & Laurent Sébastien, 2016. "On the Univariate Representation of BEKK Models with Common Factors," Journal of Time Series Econometrics, De Gruyter, pages 91-113.
    6. Hsieh Hsih-chia & Hsieh Pei-gin, 2004. "A Generalized Theory of Monetary and Macroeconomics," Money Macro and Finance (MMF) Research Group Conference 2004 50, Money Macro and Finance Research Group.
    7. repec:ebl:ecbull:v:3:y:2002:i:1:p:1-7 is not listed on IDEAS
    8. Yongge Tian, 2010. "On equalities of estimations of parametric functions under a general linear model and its restricted models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, pages 313-330.
    9. Wang, Cheng & Williamson, Stephen D., 2002. "Moral hazard, optimal unemployment insurance, and experience rating," Journal of Monetary Economics, Elsevier, pages 1337-1371.
    10. Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2016. "Testing for Granger causality in large mixed-frequency VARs," Journal of Econometrics, Elsevier, pages 418-432.
    11. Arne J. Nagengast & Robert Stehrer, 2016. "The Great Collapse in Value Added Trade," Review of International Economics, Wiley Blackwell, pages 392-421.
    12. Ren, Xingwei, 2014. "On the equivalence of the BLUEs under a general linear model and its restricted and stochastically restricted models," Statistics & Probability Letters, Elsevier, pages 1-10.
    13. Ren, Xingwei, 2016. "Estimation in singular linear models with stepwise inclusion of linear restrictions," Journal of Multivariate Analysis, Elsevier, pages 60-72.
    14. Götz, T.B. & Hecq, A.W. & Smeekes, S., 2015. "Testing for Granger Causality in Large Mixed-Frequency VARs," Research Memorandum 036, Maastricht University, Graduate School of Business and Economics (GSBE).

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