Skip to main content
Keyword: parameter estimation;
3 results found.
Return to Latest Publications
Peter M Robinson
We consider cross-sectional data that exhibit no spatial correla- tion, but are feared to be spatially dependent. We demonstrate that a spatial version of the stochastic volatility model of financial econometrics, entail...Read more...
Asymptotic inference on nonstationary fractional time series models, including cointegrated ones, is proceeding along two routes, determined by alternative definitions of nonstationary processes. We derive bounds for the...Read more...
Marcia M Schafgans
Standard approaches to the estimation of sample selection models are known to be inconsistent under non-normality. In particular, this paper considers the two-step Heckman (1976, 1979) estimator of the interecept of the ...Read more...