Now showing items 1-10 of 16
A multi-dynamic-factor model for stock returns
(Elsevier, 1992)
In this paper, we define dynamic and static factors and distinguish between the dynamic and static structure of asset excess returns. We examine the value-weighted market portfolio as a dynamic factor and propose an ...
Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills
(Elsevier, 1990)
In this paper we suggest using the FACTOR-ARCH model as a parsimonious structure for the conditional covariance matrix of asset excess returns. This structure allows us to study the dynamic relationship between asset risk ...
Estimating the distributional impact of time-of-day pricing of electricity
(Elsevier, 1984)
We consider the general problem of recovering estimates of welfare measures such as willingness to pay, price indices, etc. from demand data with particular emphasis on the problem of unobserved taste variation across ...
On the structure of moving average processes
(Elsevier, 1977-07)
This paper uses Hilbert space methods to develop a rigorous proof that the sum of two uncorrelated moving average processes of order q1 and q2 is an MA process of order q [less, double equals] max (q1, q2). The methods ...
Bayesian estimation of manufacturing effects in a fuel economy model
(Wiley Subscription Services, Inc., A Wiley Company, 1993-12)
The analysis of fuel economy data results in estimates of the technology utilization by manufacturer and vehicle line. The analysis employs a hierarchical Bayesian regression model with random components representing vehicle ...
Semiparametric quasilikelihood and variance function estimation in measurement error models
(Elsevier, 1993-07)
We consider a quasilikelihood/variance function model when a predictor X is measured with error and a surrogate W is observed. When in addition to a primary data set containing (Y,W) a validation data set exists for which ...
The allocation of household income to food consumption
(Elsevier, 1976-05)
Low-income households - those toward which various income supplement programs are aimed - not only spend a large share of their incomes on food, but exhibit a higher income elasticity of demand for food than does the rest ...
Semiparametric instrumental variable estimation of simultaneous equation sample selection models
(Elsevier, 1994-08)
The identification and estimation of a semiparametric simultaneous equation model with selectivity have been considered. The identification of structural parameters from reduced form parameters in the semiparametric model ...
Semiparametric two-stage estimation of sample selection models subject to Tobit-type selection rules
(Elsevier, 1994-04)
A semiparametric two-stage estimation method is proposed for the estimation of sample selection models which are subject to Tobit-type selection rules. With randomization restrictions on the disturbances of the model, all ...