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Myung Hwan Seo and Taisuke Otsu
Abstract. Since Manski's (1975) seminal work, the maximum score method for discrete choice models has been applied to various econometric problems. Kim and Pollard (1990) established the cube root asymptotics for the max...Read more...
Revised August 2014
Peter M Robinson and Paolo Zaffaroni
Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH(8) processes are established. We require the ARCH weights to decay at least hyperbo...Read more...
D Marinucci and Peter M Robinson
Robinson and Marinucci (1998) investigated the asymptotic behaviour of a narrow-band semiparametric procedure termed Frequency Domain Least Squares (FDLS) in the broad context of fractional cointegration analysis. Here w...Read more...
Ramses H. Abul Naga
Averaging methods are routinely used in order to limit biases resulting from the mismeasurement of permanent incomes. The Solon/Zimmerman estimator regresses a single-year measurement of the child's resources on a T-peri...Read more...
Frank A Cowell and Stephen P Jenkins
The techniques of simple random sampling are seldom appropriate in the empirical analysis of income distributions. Various types of weighting schemes are usually required either from the point of view of welfare-economic...Read more...
Ramdan Dridi and Eric Renault
We develop in this paper a generalization of the Indirect Inference (II) to semi-parametric settings and termed Semi-parametric Indirect Inference (SII). We introduce a new notion of Partial Encompassing which lays the e...Read more...
Josu Artech and Peter M Robinson
Several semiparametric estimates of the memory parameter in standard long memory time series are now available. They consider only local behaviour of the spectrum near zero frequency, about which the spectrum is symmetri...Read more...