C Amsler,
J Lee - Econometric Theory, 1995 - Cambridge Univ Press
In this paper, we examine a suitably modified version of the unit root test proposed by
Schmidt and Phillips (1992). A one-time structural break in the intercept does not affect its
asymptotic distribution under the null hypothesis, and this is true whether the break is ...
CE Amsler… - Journal of Financial Economics, 1985 - Elsevier
A Alvarez, C Amsler, L Orea… - Journal of Productivity Analysis, 2006 - Springer
Abstract Let u≥ 0 be technical inefficiency, let z be a set of variables that affect u, and let δ
be the parameters of this relationship. The model satisfies the scaling property if u (z, δ) can
be written as a scaling function h (z, δ) times a random variable u* that does not depend ...
HS Lee… - Economics Letters, 1997 - Elsevier
The enormous literature on testing for a unit root seeks to determine whether an economic time
series is stationary or has a unit root. Dickey, Fuller (1979) tests are most commonly used to test
the hypothesis of a unit root against the alternative of stationarity. In this paper we ...
CE Amsler, RL Bartlett… - History of Political Economy, 1981 - Duke Univ Press
Page 1. History of Political Economy 13:4 o 1981 by Duke University Press Thoughts
of some British economists on early limited liability and corporate legislation Christine
E. Amsler , University of Pennsylvania, Robin L. Bartlett ...
RM De Jong, C Amsler… - Journal of econometrics, 2007 - Elsevier
This paper proposes a test of the null hypothesis of stationarity that is robust to the presence
of fat-tailed errors. The test statistic is a modified version of the so-called KPSS statistic. The
modified statistic uses the “sign” of the data minus the sample median, whereas KPSS ...
[CITATION] Simulations and economics
RL Bartlett… - Simulation in Higher Education, 1979
C Amsler, P Schmidt - … Conference “New Developments in Time Series …, 1999 - Citeseer
This paper considers two tests of the null hypothesis of short memory, the KPSS test of
Kwiatkowski et al.(1992) and the modified rescaled range (MR/S) test of Lo (1991). The
KPSS test was designed as a test of stationarity against the alternative of a unit root. ...
C Amsler,
YH Lee… - Seoul Journal of Economics, 2009 - s-space.snu.ac.kr
Abstract This paper summarizes the literature on stochastic frontier production function
models. It covers the definition of technical efficiency, the basic cross-sectional stochastic
frontier model, and the stochastic frontier model with panel data and time-invariant as well ...
C Amsler - Economics Letters, 1984 - Elsevier
Abstract Including a time varying liquidity premium in Shiller's variance bound does not
reverse Shiller's conclusion that long-term interest rates are too volatile relative to short-term
rates to be explained by the rational expectations model of the term structure.
C Amsler - Journal of Economics and Business, 1984 - ideas.repec.org
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WS Wang, C Amsler… - Journal of Productivity Analysis, 2011 - Springer
Abstract In this paper we discuss goodness of fit tests for the distribution of technical
inefficiency in stochastic frontier models. If we maintain the hypothesis that the assumed
normal distribution for statistical noise is correct, the assumed distribution for technical ...
[CITATION] The term structure of interest rates in an expanded market model
CE Amsler - 1980 - … of Arts and Sciences, University of …
[CITATION] Including time varying liquidity premia in term structure variance bounds
C Amsler - … manuscript(Department of Economics, Michigan State …, 1985
J Lee, C Amsler - Structural Change and Economic Dynamics, 1997 - Elsevier
This paper provides evidence that the common factor restrictions (CFR) play an important
role in testing for a unit root in the presence of a structural break. We first show that the CFR
should not be ignored in the unit root testing procedure when a structural break is allowed ...
[CITATION] What determines expected real interest rates?
CE Amsler - The quarterly review of economics and business, 1985
C Amsler, P Schmidt… - Journal of Time Series …, 2009 - ideas.repec.org
< p> In this paper we consider the KPSS test. We derive the asymptotic distribution of the
statistic under the null of stationarity and under the unit root alternative under the" fixed-b"
assumption that the ratio of the number of lags in the long run variance estimate to the ...
RL Bartlett… - 1977 - eric.ed.gov
ED152799 - An Evaluation of the Synergistic Simulation of the Federal Open Market Committee.
C Amsler - Journal of Post Keynesian Economics, 1993 - JSTOR
Keynes said that the monetary authority's ability to establish full employment interest rates is
limited when the monetary authority uses its bank rate to defend the currency. Specifically,
Keynes refeffed to the case in which two countries are on the gold standard and one ...
C Amsler - Applied Economics Letters, 1999 - Taylor & Francis
In this paper we present evidence on the size and power of the lower tail
Kwiatkowski±Phillips±Schmidt±Shin (here- after KPSS) (1992) ^´¹ and ^´¿ tests for testing the
null hypothesis of short memory against the alternative hypoth- esis of anti-persistence. ...
CE Amsler - The Journal of Economic Education, 1985 - JSTOR
Page 1. Professional Information This section includes reports on economic
enrollments, the economics ma- jor, the labor market for economists, salaries, job
placements, the status of women and minorities, and related topics. ...
CE Amsler - Working Papers, 1988 - econpapers.repec.org
By Christine Elaine Amsler; THE CASE FOR THE CONSOL: EVIDENCE FROM
BRITISH AND AMERICAN MONEY DEMAND FUNCTIONS.
P Schmidt, A Alvarez… - Econometric Society 2004 Far …, 2004 - ideas.repec.org
In this paper, we are interested in a stochastic frontier model in which observable
characteristics of the firms affect their levels of technical inefficiency. Let u ≥ 0 be the one-
sided error reflecting technical inefficiency, and let z be a set of variables that affect u. We ...
C Amsler, A Prokhorov… - Working Papers, 2011 - iza.org
Abstract Current ways of modeling time dependence in stochastic frontier panel data models
are unduly restrictive or computationally intractable. They are based on a restrictive
assumption on the nature of dependence such as the “scaling” property or involve T- ...
C Amsler, P Schmidt… - Journal of Time Series …, 2010 - degruyter.com
In this paper we consider the KPSS test. We derive the asymptotic distribution of the statistic
under the null of stationarity and under the unit root alternative under the" fixed-b"
assumption that the ratio of the number of lags in the long run variance estimate to the ...
A Álvarez, L Orea, C Amsler… - 2005 - webmeets.com
In this paper, we are interested in a stochastic frontier model in which observable
characteristics of the firms affect their levels of technical inefficiency. To be more precise, let
u≥ 0 be the one-sided error reflecting technical inefficiency, and let z be a set of variables ...
C Amsler, A Prokhorov… - 2009 - wwwtest.economics.unsw.edu.au
Abstract Current ways of modeling time dependence in stochastic frontier panel data models
are unduly restrictive or computationally intractable. They impose restrictive assumptions on
the nature of dependence such as the “scaling” property or involve T-dimensional ...
[CITATION] ESTIMATION AND INFERENCE IN PARAMETRIC DETERMINISTIC FRONTIER MODELS
C Amsler, M Leonard… - 2010
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