 | Professor of Economics, UC Santa Barbara Verified email at econ.ucsb.edu Cited by 379 |
WK Newey… - Econometrica: Journal of the Econometric …, 1997 - JSTOR
Page 1. Econometrica, Vol. 65, No. 3 (May, 1997), 587-599 ASYMPTOTIC BIAS FOR
QUASI-MAXIMUM-LIKELIHOOD ESTIMATORS IN CONDITIONAL HETEROSKEDASTICITY
MODELS BY WHITNEY K. NEWEY AND DOUGLAS G. STEIGERWALD ...
C Crownover, J Pippenger… - Journal of International …, 1996 - Elsevier
JH Hahm… - Review of Economics and Statistics, 1999 - MIT Press
Page 1. CONSUMPTION ADJUSTMENT UNDER TIME-VARYING INCOME UNCERTAINTY
Joon-Ho Hahm and Douglas G. Steigerwald Abstract—We study the effect of income uncertainty
on consumption in a model that includes precautionary saving. ...
DG Steigerwald… - Review of Economics and Statistics, 1997 - MIT Press
Page 1. ECONOMETRIC ESTIMATION OF FORESIGHT: TAX POLICY AND INVESTMENT
IN THE UNITED STATES Douglas G. Steigerwald and Charles Stuart* Abstract—We
develop a method for measuring the foresight agents have. ...
J Owens… - Journal of Financial Econometrics, 2005 - Oxford Univ Press
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JP Owens… - 2005 - emeraldinsight.com
Microstructure noise contaminates high-frequency estimates of asset price volatility. Recent work
has determined a preferred sampling frequency under the assumption that the properties of noise
are constant. Given the sampling frequency, the high-frequency observations are given ...
OB Linton… - Econometric reviews, 2000 - Taylor & Francis
Page 1. ECONOMETRIC REVIEWS, l9(2), 145-1 74 (2000) ADAPTIVE TESTING IN
ARCH MODELS OLIVER B. LINTON DOUGLAS G. STEIGERWALD Department of
Economics Department of Economics Yale University University ...
W Newey… - 1998 - papers.ssrn.com
Abstract: Virtually all empirical studies that assume a time-varying conditional variance use a
quasi-maximum likelihood estimator (QMLE). If the density from which the likelihood is
constructed is assumed to be Gaussian, the QMLE is known to be consistent under correct ...
SF LeRoy… - Handbooks in Operations Research and …, 1995 - Elsevier
DL Kelly… - 2003 - escholarship.org
Page 1. ...
[CITATION] Cleansing recessions: Evidence from stock prices
AB Bernard… - Working Paper, 1993
Page 1. JOURNALOF Econometrics ELSEMER Journal of Econometrics 66 (1995) 13 1 - 132
Reply to BM P6tscher's comment on 'Adaptive estimation in time series regression models'
Douglas G. Steigerwald Department of Economics, Unirersi~ of Cahfornia. Santa Barbara. ...
AV Carter… - 2010 - escholarship.org
Page 1. ...
R Craine… - 1988 - escholarship.org
Abstract This paper examines the effect of financing on risk in a disciplinary takeover. The
famous Modigliani—Miller theorem on the irrelevance of the firm's financial structure
assumes agents possess full information about the activities of the firm. We assume only ...
Page 1. Consumption Ad ustment under Changing Income Uncertainty by Joon Ho
Hahm and Douglas G. Steigerwald University of California at Santa Barbara July
11, 1997 Abstract We study the role of income uncertainty in ...
MA Magdalinos, M Lee, MD McCarthy… - Econometric …, 1992 - Cambridge Univ Press
Page 1. Econometric Theory Vol. 8 No. 3 September 1992 ANNOUNCEMENT The
Tjalling C. Koopmans Econometric Theory Prize: 1988-1990 i ARTICLES James
Davidson A Central Limit Theorem for Globally Nonstationary ...
DG Steigerwald… - University of California at …, 1992 - en.scientificcommons.org
B HANSEN… - 2009 - econ.ucla.edu
Page 1. SUBSAMPLE TESTS FOR REGIME SWITCHING BENJAMIN HANSEN AND
DOUGLAS G. STEIGERWALD Abstract. Models of regime switching do not satisfy the standard
assumptions that govern the large sample behavior of test statistics. ...
Abstract Empirical research with Markov regime# switching models often re# quires the
researcher not only to estimate the model but also to test for the presence of more than one
regime. Despite the need for both estimation and testing, methods of estimation are better ...
J Griffin, C Kolstadt… - ncsu.edu
Page 1. Paradise at a Loss: Estimating Market Power in Hawaiian Gasoline Markets
Jay Griffin, Charles Kolstad and Douglas G. Steigerwald Abstract We present a method
for analyzing the exercise of market power in an industry ...
MN Conte… - 2007 - webmeets.com
Page 1. Do Daylight-Saving Time Adjustments Impact Human Performance? Marc N. Conte
and Douglas G. Steigerwald∗ December 28, 2007 Abstract We study the possible impact
of daylight-saving time adjustments on human performance. ...
AV Carter… - 2011 - econ.ucsb.edu
Page 1. Markov Regime#Switching Tests: Asymptotic Critical Values Andrew V. Carter
Department of Statistics University of California, Santa Barbara Douglas G. Steigerwald!
Department of Economics University of California Santa Barbara July 27, 2011 ...
Abstract: Fake antivirus (AV) programs have been utilized to defraud millions ofcomputer
users into paying as much as one hundred dollars for a phony softwarelicense. As a result,
fake AV software has evolved into one of the most lucrativecriminal operations on the ...
Page 1. Econometric Theory, 8, 1992, 407-412. Printed in the United States of America.
Arthur Go/dberger Harvard University Press, 1991 DOUGLAS G. STEIGERWALD
University of California Arthur Goldberger?s new text, A ...
DG Steigerwald - Econometric Society World Congress 2000 …, 2000 - ideas.repec.org
Downloadable! We develop a theoretical model that replicates three observed phenomena in
securities markets: serial correlation in trades; serial correlation in squared price changes
(conditional heteroskedasticity); and more persistent serial correlation in trades than in squared ...
DG Steigerwald - University of California at Santa …, 1991 - en.scientificcommons.org
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