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V A Hajivassiliou
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8 January 2020
Myung Hwan Seo and Taisuke Otsu
This paper examines asymptotic properties of local M-estimators under three sets of high-level conditions. These conditions are sufficiently general to cover the minimum volume predictive region, conditional maximum scor...Read more...
17 October 2016
Kirill Evdokimov, Yuichi Kitamura and Taisuke Otsu
This paper considers robust estimation of moment condition models with time series data. Researchers frequently use moment condition models in dynamic econometric analysis. These models are particularly useful when one w...Read more...
5 December 2014
This paper analyses price fixing by the Joint Executive Committee railroad cartel from 1880 to 1886 and develops tests of two game-theoretic models of tacit collusion. The first model, due to Abreu, Pearce and Stacchetti...Read more...
March 1997
James Davidson
A sufficiency condition for strong mixing in infinite order moving average processes due to Gorodetski (1977) is extended, showing how smoothness conditions on the marginal distributions can be traded off against summabi...Read more...
1992
This paper gives a generalization of an L1-convergence theorem for dependent processes due to Andrews (1988). Among the cases covered by this result are weak laws of large numbers of random sequences {X1} having moments ...Read more...
The central limit theorem in Davidson (1992a) is extended to allow cases where the variances of sequence coordinates can be tending to zero. A trade off is demonstrated between the degree of dependence (mixing size) and ...Read more...