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Robust Estimation of the Prediction Variance

Raymond L. Chambers and Robert G. Clark

in An Introduction to Model-Based Survey Sampling with Applications

Published in print:
2012
Published Online:
May 2012
ISBN:
9780198566625
eISBN:
9780191738449
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198566625.003.0009
Subject:
Mathematics, Probability / Statistics

Robust estimation of the prediction variance discusses the issues that arise when model misspecification is second order. That is, when the second order moments of the working model for the ... More


Statistical Methods

John McDonald and G. D. Snooks

in Domesday Economy: A New Approach to Anglo-Norman History

Published in print:
1986
Published Online:
November 2003
ISBN:
9780198285243
eISBN:
9780191596636
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198285248.003.0008
Subject:
Economics and Finance, Economic History

‘Statistical methods’ describes the statistical procedures used in the econometric analysis of Domesday production and fiscal relationships. These include the least squares, maximum likelihood, and ... More


Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

Tim Bollerslev, Jeffrey Russell, and Mark Watson (eds)

Published in print:
2010
Published Online:
May 2010
ISBN:
9780199549498
eISBN:
9780191720567
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199549498.001.0001
Subject:
Economics and Finance, Econometrics

Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some of the leading academic researchers ... More


Modeling UK Inflation Uncertainty, 1958–2006

Gianna Boero, Jeremy Smith, and Kenneth F. Wallis

in Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

Published in print:
2010
Published Online:
May 2010
ISBN:
9780199549498
eISBN:
9780191720567
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199549498.003.0004
Subject:
Economics and Finance, Econometrics

The empirical application in Engle's original autoregressive conditional heteroskedastic (ARCH) paper was to UK inflation uncertainty. This chapter tests the external validity of Engle's conclusion ... More


Macroeconomics and ARCH

James D. Hamilton

in Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

Published in print:
2010
Published Online:
May 2010
ISBN:
9780199549498
eISBN:
9780191720567
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199549498.003.0005
Subject:
Economics and Finance, Econometrics

Studying volatility has traditionally been a much lower priority for macroeconomists than for researchers in financial markets because the former's interest is primarily in describing the first ... More


Amici Curiae and the Consistency

Paul M Collins

in Friends of the Supreme Court: Interest Groups and Judicial Decision Making

Published in print:
2008
Published Online:
January 2009
ISBN:
9780195372144
eISBN:
9780199870813
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195372144.003.0005
Subject:
Law, Constitutional and Administrative Law

This chapter examines the influence of amicus curiae briefs on the variability in judicial decision making. It begins by explaining the importance of understanding the consistency of judicial choice, ... More


Populations with Regression Structure

Raymond L. Chambers and Robert G. Clark

in An Introduction to Model-Based Survey Sampling with Applications

Published in print:
2012
Published Online:
May 2012
ISBN:
9780198566625
eISBN:
9780191738449
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198566625.003.0005
Subject:
Mathematics, Probability / Statistics

When there is a single continuous auxiliary variable, it is often reasonable to assume a simple linear regression model relating this variable to the variable of interest. This chapter describes the ... More


Modelling Nonlinear Economic Time Series

Timo Teräsvirta, Dag Tjøstheim, and Clive W. J. Granger

Published in print:
2010
Published Online:
May 2011
ISBN:
9780199587148
eISBN:
9780191595387
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199587148.001.0001
Subject:
Economics and Finance, Econometrics

This book contains a up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and nonstationary ... More


Regression Diagnostics and Sensitivity Analysis

Quan Li

in Using R for Data Analysis in Social Sciences: A Research Project-Oriented Approach

Published in print:
2018
Published Online:
March 2019
ISBN:
9780190656218
eISBN:
9780190656256
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190656218.003.0006
Subject:
Political Science, Political Theory

This chapter shows why the Gauss-Markov assumptions are important in ordinary least squares (OLS) regression, how to diagnose assumption violations in OLS regression, and how to conduct sensitivity ... More


Matching by Categories

Pierre-André Chiappori

in Matching with Transfers: The Economics of Love and Marriage

Published in print:
2017
Published Online:
May 2018
ISBN:
9780691171739
eISBN:
9781400885732
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691171739.003.0004
Subject:
Economics and Finance, Macro- and Monetary Economics

This chapter considers matching by categories, beginning with a discussion of a specific but empirically very relevant family of models in order to provide a richer representation of heterogeneity ... More


Unbalanced panel data

Erik Biørn, Erik Biørn, Erik Biørn, and Erik Biørn

in Econometrics of Panel Data: Methods and Applications

Published in print:
2016
Published Online:
December 2016
ISBN:
9780198753445
eISBN:
9780191815072
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198753445.003.0010
Subject:
Economics and Finance, Econometrics

This chapter extends some of the models and procedures discussed in Chapters 2 and 3 to handle unbalanced panel data with unobserved heterogeneity. Types of unbalance are discussed and may affect the ... More


Regression analysis: Random effects models

Erik Biørn, Erik Biørn, and Erik Biørn

in Econometrics of Panel Data: Methods and Applications

Published in print:
2016
Published Online:
December 2016
ISBN:
9780198753445
eISBN:
9780191815072
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198753445.003.0003
Subject:
Economics and Finance, Econometrics

This chapter considers model formulation and interpretation, estimation and testing in regression equations with random intercept heterogeneity. Compared with Chapter 2, assumptions are strengthened ... More


Regression analysis with heterogeneous coefficients

Erik Biørn, Erik Biørn, and Erik Biørn

in Econometrics of Panel Data: Methods and Applications

Published in print:
2016
Published Online:
December 2016
ISBN:
9780198753445
eISBN:
9780191815072
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198753445.003.0004
Subject:
Economics and Finance, Econometrics

This chapter focuses on models and methods for panel data where both coefficients and disturbance variances vary between individuals. Both fixed and random coefficients are considered, and estimation ... More


Heteroskedasticity

M. Hashem Pesaran

in Time Series and Panel Data Econometrics

Published in print:
2015
Published Online:
March 2016
ISBN:
9780198736912
eISBN:
9780191800504
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198736912.003.0004
Subject:
Economics and Finance, Econometrics

This chapter extends the important extension of the classical model, introduced in Chapter 2, by allowing the disturbances to have variances that differ across different cross section units, namely ... More


Measurement and Modelling of Volatility

M. Hashem Pesaran

in Time Series and Panel Data Econometrics

Published in print:
2015
Published Online:
March 2016
ISBN:
9780198736912
eISBN:
9780191800504
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198736912.003.0018
Subject:
Economics and Finance, Econometrics

This chapter discusses volatility measurement and modelling. It covers realized volatility, models of conditional variance, econometric approaches, testing for autoregressive conditional ... More


Multivariate Analysis to Understand Functional Relationship and Scenario Building

Arindam Bandyopadhyay

in Basic Statistics for Risk Management in Banks and Financial Institutions

Published in print:
2022
Published Online:
June 2022
ISBN:
9780192849014
eISBN:
9780191944260
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780192849014.003.0007
Subject:
Economics and Finance, Financial Economics

This chapter demonstrates widespread applications of multivariate regression techniques in developing credit rating models. Risk analysts use multivariate techniques to forecast default risk or ... More


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