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Generalized spectral tests for conditional mean models in time series with conditional heteroscedasticity of unknown form

[PDF] from cenet.org.cn
Full text - MIT Libraries
Y Hong… - Review of Economic Studies, 2005 - Wiley Online Library
Economic theories in time series contexts usually have implications on and only on the
conditional mean dynamics of underlying economic variables. We propose a new class of
specification tests for time series conditional mean models, where the dimension of the ...
Cited by 56 - Related articles - All 18 versions

Unintended consequences of chloramine hit home

[PDF] from paho.org
M Edwards, B Marshall, Y Zhang… - Proceedings of the …, 2005 - ingentaconnect.com
Abstract: The known drawbacks of chloramination include nitrification, elastomer decay, and
required pre-treatment steps for fish culture and dialysis patients. To date, there has been no
explicit consideration of adverse consequences of chloramination on property and water ...
Cited by 5 - Related articles - All 6 versions

Detecting misspecifications in autoregressive conditional duration models

[PDF] from iub.edu
Y Hong… - Caepr Working Papers, 2007 - papers.ssrn.com
Abstract: We propose a new class of specification tests for Autoregressive Conditional
Duration (ACD) models. Both linear and nonlinear ACD models are covered, and
standardized innovations can have time-varying conditional dispersion and higher order ...
Cited by 3 - Related articles - All 6 versions

An improved generalized spectral test for conditional mean models in time series with conditional heteroskedasticity of unknown form

[PDF] from xmu.edu.cn
Full text - MIT Libraries
Y Hong… - Econometric Theory, 2007 - Cambridge Univ Press
Abstract Dynamic economic theories usually have implications on and only on the
conditional mean dynamics of economic processes. Using a generalized spectral derivative
approach, Hong and Lee (2005, Review of Economic Studies 72, 499–541) recently ...
Cited by 1 - Related articles - BL Direct - All 10 versions

Is the Drift of the Interest Rate Process Linear? A New Approach and Evidence

[PDF] from xmu.edu.cn
Y Hong, YJ Lee… - 2009 - papers.ssrn.com
Abstract: Continuous-time models are important for investigating interest rate term structure
and pricing fixed income derivatives. Economic theory often provides little guidance on the
choice of the form of continuous-time models, and existing one-factor and multi-factor ...
Related articles - All 5 versions

[CITATION] The Economic Impacts of Political Tension: An Event Study of North Korean Missile and Nuclear Tests

YJ Lee - 2010 - Harvard University
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[PDF] Diagnostic Testing for Dynamic Panel Data Models

[PDF] from xmu.edu.cn
YJ Lee - 2006 - wise.xmu.edu.cn
ABSTRACT The most popular econometric models in the panel data literature are the class
of linear panel data models with unobserved individual-and/or time-specific effects. The
consistency of parameter estimators and the validity of their economic interpretations as ...
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[PDF] Specification Testing for Functional Forms in Dynamic Panel Data Models

[PDF] from psu.edu
YJ Lee - 2005 - Citeseer
ABSTRACT The most popular econometric models in the panel data literature are the class
of linear panel data models with unobserved individual-and/or time-specific effects. The
consistency of parameter estimators and the validity of their economic interpretations as ...
Related articles - View as HTML - Library Search - All 9 versions

[PDF] Asymptotic Inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes

[PDF] from ncsu.edu
YJ Lee, R Okui… - ncsu.edu
Abstract In this paper we consider the estimation of a dynamic panel autoregressive (AR)
process of possibly infinite order in the presence of individual effects. We utilize the sieve AR
approximation with its lag order increasing with the sample size. We establish the ...
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[PDF] On the Efficiency of Generalized Likelihood Ratio Tests

[PDF] from smu.edu.sg
Y Hong… - 2008 - economics.smu.edu.sg
ABSTRACT This paper considers the relative efficiency of the generalized likelihood ratio
tests to discrepancy measure based tests, particularly L2-norm based test. The generalized
likelihood ratio test was proposed by Fan, Zhang, and Zhang (2001) as a generally ...
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[PDF] Specification Testing for Multivariate Time Series Volatility Models

[PDF] from repec.org
Y Hong… - 2009 - repec.org
ABSTRACT Volatility models have been playing an important role in economics and finance.
Using a multivariate generalized spectral approach, we propose a new class of generally
applicable omnibus tests for univariate and multivariate volatility models. Both GARCH ...
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Specification Testing for Multivariate Time Series Volatility Models

YJ Lee… - Econometric Society 2004 Far Eastern Meetings, 2004 - ideas.repec.org
Volatility models have been playing an important role in economics and finance. Using a
multivariate generalized spectral approach, we propose a new class of generally applicable
omnibus tests for univariate and multivariate volatility models. Both GARCH models and ...
Cached - All 4 versions

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