Zobrazeno 1 - 10
of 39
pro vyhledávání: '"Chris D. Orme"'
Publikováno v:
Halunga, A, Orme, C D & Yamagata, T 2017, ' A Heteroskedasticity Robust Breusch-Pagan Test for Contemporaneous Correlation in Dynamic Panel Data Models ', Journal of Econometrics, vol. 198, no. 2, pp. 209-230 . https://doi.org/10.1016/j.jeconom.2016.12.005
This paper proposes a heteroskedasticity-robust Breusch–Pagan test of the null hypothesis of zero cross-section (or contemporaneous) correlation in linear panel data models, without necessarily assuming independence of the cross-sections. The proce
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::efef200551454a0e56badc9575d0e33a
https://doi.org/10.1016/j.jeconom.2016.12.005
https://doi.org/10.1016/j.jeconom.2016.12.005
Autor:
Wasel Shadat, Chris D. Orme
Publikováno v:
Shadat, W B & Orme, C D 2018, ' Robust Parametric Tests of Constant Conditional Correlation in a MGARCH model ', Econometric Reviews, vol. 37, no. 6, pp. 551-576 . https://doi.org/10.1080/07474938.2015.1122120
This paper provides a rigorous asymptotic treatment of new and existing asymptotically valid Conditional Moment testing procedures of the Constant Conditional Correlation assumption in a multivariate GARCH model. Full and partial Quasi Maximum Likeli
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e004bdf8548680dd5ad705646017acce
https://doi.org/10.1080/07474938.2015.1122120
https://doi.org/10.1080/07474938.2015.1122120
Autor:
Andreea G. Halunga, Chris D. Orme
Publikováno v:
Econometric Theory. 25:364-410
This paper develops a framework for the construction and analysis of parametric misspecification tests for generalized autoregressive conditional heteroskedastic (GARCH) models, based on first-order asymptotic theory. The principal finding is that es
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::21bf658a6f51285e7bb665efa0f7f566
https://doi.org/10.1017/s0266466608090129
https://doi.org/10.1017/s0266466608090129
Autor:
Chris D. Orme, Takashi Yamagata
Publikováno v:
The Econometrics Journal. 9:404-422
This paper employs first-order asymptotic theory in order to establish the asymptotic distribution of the F-test statistic for fixed effects, under non-normality of the errors, when N→∞ (the number of cross-sections) and T is fixed (the number of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::117f3ff91f5316dd0d4b09c9043d2c94
https://doi.org/10.1111/j.1368-423x.2006.00191.x
https://doi.org/10.1111/j.1368-423x.2006.00191.x
Publikováno v:
The Econometrics Journal. 9:76-97
As shown by the results of Dufour, Khalaf, Bernard and Genest (2004, Journal of Econometrics 122, 317--347), exact tests for heteroskedasticity in linear regression models can be obtained, by using Monte Carlo (MC) techniques, if either (i) it is ass
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::11e303268c56e2342bbd26c2d9a5243f
https://doi.org/10.1111/j.1368-423x.2006.00177.x
https://doi.org/10.1111/j.1368-423x.2006.00177.x
Autor:
Takashi Yamagata, Chris D. Orme
Publikováno v:
Econometric Reviews. 24:467-481
This paper reviews and extends the literature on the finite sample behavior of tests for sample selection bias. Monte Carlo results show that, when the “multicollinearity problem” identified by Nawata (1993) is severe, (i) the t-test based on the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::928c37a5cb3556e631a8df9612fe6c74
https://doi.org/10.1080/02770900500406132
https://doi.org/10.1080/02770900500406132
Autor:
Leslie G. Godfrey, Chris D. Orme
Publikováno v:
Economics Letters. 82:281-287
It is argued that the two approaches that have been suggested for improving the behaviour of heteroskedasticity-robust quasi-t tests must be combined to achieve reliability in the case of joint tests: neither is by itself sufficient.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2756e56f728205f557957aca3cdb8676
https://doi.org/10.1016/j.econlet.2003.08.012
https://doi.org/10.1016/j.econlet.2003.08.012
Autor:
Chris D. Orme, Kostas Mavromaras
Publikováno v:
Journal of Applied Econometrics. 19:49-67
This paper develops and estimates a split population model for the duration of temporary layoffs in the German labour market; the population being split according to whether a layoff is temporary or permanent. A flexible piecewise constant hazard is
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::37fff799076512e4ed65a3e1282fb06a
https://doi.org/10.1002/jae.734
https://doi.org/10.1002/jae.734
Autor:
Chris D. Orme, Leslie G. Godfrey
Publikováno v:
Economics Letters. 76:429-436
This paper emphasizes the sensitivity to nonnormality of the standard Chow test for predictive failure. Based on well established asymptotic arguments, a simple double bootstrap procedure is proposed, evaluated and found to be robust to nonnormality.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9462b3fba1aaf0a1f5d70fa8816b6828
https://doi.org/10.1016/s0165-1765(02)00088-5
https://doi.org/10.1016/s0165-1765(02)00088-5
Autor:
Paul A. Ruud, Chris D. Orme
Publikováno v:
Economics Letters. 75:209-217
Orme [Econ. Rev. 8 (1989) 217] attempted to demonstrate that any solution to the likelihood equations for the truncated normal regression will be unique and will also be the global maximiser of the log-likelihood function. The argument rested on show
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::908ed5d42c59ab4de738ffd7d6d21a2a
https://doi.org/10.1016/s0165-1765(01)00600-0
https://doi.org/10.1016/s0165-1765(01)00600-0