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User profiles for author:"Douglas Steigerwald"

Douglas G. Steigerwald

Professor of Economics, UC Santa Barbara
Verified email at econ.ucsb.edu
Cited by 379

Asymptotic bias for quasi-maximum-likelihood estimators in conditional heteroskedasticity models

[PDF] from ucsb.edu
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 ...
Cited by 129 - Related articles - Get it from MIT Libraries - BL Direct - All 8 versions

Testing for absolute purchasing power parity

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Full text - MIT Libraries
C Crownover, J Pippenger… - Journal of International …, 1996 - Elsevier
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Consumption adjustment under time-varying income uncertainty

[PDF] from ucsb.edu
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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. ...
Cited by 37 - Related articles - All 6 versions

Adaptive estimation in time series regression models

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DG Steigerwald - Journal of Econometrics, 1992 - Elsevier
Cited by 28 - Related articles - All 9 versions

Purchasing power parity, unit roots, and dynamic structure

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DG Steigerwald - Journal of Empirical Finance, 1996 - Elsevier
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Econometric estimation of foresight: Tax policy and investment in the United States

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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. ...
Cited by 14 - Related articles - All 9 versions

Inferring information frequency and quality

[PDF] from ourarchive.ac.nz
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J Owens… - Journal of Financial Econometrics, 2005 - Oxford Univ Press
Skip Navigation. ...
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On the finite sample behavior of adaptive estimators

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DG Steigerwald - Journal of econometrics, 1992 - Elsevier
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Noise reduced realized volatility: a kalman filter approach

[PDF] from escholarship.org
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 ...
Cited by 10 - Related articles - All 26 versions

Adaptive testing in ARCH models

[PDF] from yale.edu
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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 ...
Cited by 7 - Related articles - Library Search - BL Direct - All 12 versions

Consistency of quasi-maximum likelihood estimators for models with conditional heteroskedasticity

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 ...
Cited by 7 - Related articles

Volatility

SF LeRoy… - Handbooks in Operations Research and …, 1995 - Elsevier
Cited by 6 - Related articles - Library Search - All 7 versions

[PDF] Private information and high-frequency stochastic volatility

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DL Kelly… - 2003 - escholarship.org
Page 1. ...
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[CITATION] Cleansing recessions: Evidence from stock prices

AB Bernard… - Working Paper, 1993
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[PDF] Reply to BM Potscher's comment on'adaptive estimation in time series regression models'

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DG Steigerwald - Journal of Econometrics, 1995 - econ.ucsb.edu
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. ...
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[PDF] Do Daylight-Saving Time Adjustments Really Impact Stock Returns?

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DG Steigerwald… - 2007 - escholarship.org
Page 1. ...
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[PDF] Testing for Regime Switching: A Comment

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AV Carter… - 2010 - escholarship.org
Page 1. ...
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[PDF] Raiders, junk bonds, and risk

[PDF] from escholarship.org
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 ...
Cited by 1 - Related articles - All 9 versions

[BOOK] Consumption Adjustment Under Changing Income Uncertainty

[PDF] from ucsb.edu
JH Hahm, DG Steigerwald… - 1998 - econ.econ.ucsb.edu
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 ...
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James Davidson

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 ...
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[CITATION] Policy Expectations: Taxes and Investment in the US

DG Steigerwald… - University of California at …, 1992 - en.scientificcommons.org
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[PDF] SUBSAMPLE TESTS FOR REGIME SWITCHING

[PDF] from ucla.edu
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. ...
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[PDF] Markov Regime-Switching Tests: Asymptotic Critical Values

[PDF] from escholarship.org
D Steigerwald… - 2011 - escholarship.org
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 ...
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[PDF] Paradise at a Loss: Estimating Market Power in Hawaiian Gasoline Markets

[PDF] from ncsu.edu
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 ...
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[PDF] Do Daylight-Saving Time Adjustments Impact Human Performance?

[PDF] from webmeets.com
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. ...
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[PDF] Markov Regime# Switching Tests: Asymptotic Critical Values

[PDF] from ucsb.edu
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 ...
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[PDF] The Underground Economy of Fake Antivirus Software

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D Steigerwald, G Vigna, C Kruegel, R Kemmerer… - 2011 - escholarship.org
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 ...
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Arthur Go/dberger Harvard University Press, 1991

Full text - MIT Libraries
DG Steigerwald - Econometric Theory, 1992 - Cambridge Univ Press
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 ...
All 5 versions

Explaining Stochastic Volatility in Asset Prices

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 ...
Cached - All 4 versions

[PDF] Accurately Sized Test Statistics with Misspecified Conditional Homoskedasticity

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DG Steigerwald… - 2007 - escholarship.org
Page 1. ...
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[PDF] A Note on the Consumption Function

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DG Steigerwald - 2009 - escholarship.org
Page 1. ...
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[CITATION] Purchasing Power Parity, Unit Roots, and Dynamic Structure

JE Pippenger, D Steigerwald… - 1993 - en.scientificcommons.org
Cited by 1 - Related articles - Cached - Get it from MIT Libraries - Library Search - All 5 versions

[CITATION] Generalized Adaptive Estimation For Econometric And Financial Models

D Steigerwald - 1990 - en.scientificcommons.org
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[CITATION] A Course in Econometrics: A Review

DG Steigerwald - University of California at Santa …, 1991 - en.scientificcommons.org
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[CITATION] Conditional Heteroscedasticity Modeling in Macroeconomics and Finance

D Steigerwald… - 1994 - en.scientificcommons.org
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