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A General Approach to Serial Correlation

Citations

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Cited by:

  1. Francisco J. Ruge-Murcia, 2000. "Uncovering financial markets' beliefs about inflation targets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 483-512.
  2. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992. "An ordered probit analysis of transaction stock prices," Journal of Financial Economics, Elsevier, vol. 31(3), pages 319-379, June.
  3. Gerhard, Frank & Hess, Dieter & Pohlmeier, Winfried, 1998. "What a Difference a Day Makes: On the Common Market Microstructure of Trading Days," CoFE Discussion Papers 98/01, University of Konstanz, Center of Finance and Econometrics (CoFE).
  4. Driffield, Nigel & Jones, Chris & Crotty, Jo, 2013. "International business research and risky investments, an analysis of FDI in conflict zones," International Business Review, Elsevier, vol. 22(1), pages 140-155.
  5. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
  6. Frank Gerhard & Dieter Hess & Winfried Pohlmeier, 1999. "What a Difference a Day Makes: On the Common Market Microstructure of Trading Days," Finance 9904006, University Library of Munich, Germany.
  7. James Mitchell & Richard J. Smith & Martin R. Weale, 2013. "Efficient Aggregation Of Panel Qualitative Survey Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(4), pages 580-603, June.
  8. Stefan Gerlach, 2007. "Interest Rate Setting by the ECB, 1999-2006: Words and Deeds," International Journal of Central Banking, International Journal of Central Banking, vol. 3(3), pages 1-46, September.
  9. Andrew Eckert & Corinne Langinier & Long Zhao, 2022. "Determinants of locational patenting behavior of Canadian firms," Economics of Innovation and New Technology, Taylor & Francis Journals, vol. 31(4), pages 268-291, May.
  10. Nan‐Kuang Chen & Hung‐Jen Wang, 2008. "Identifying the Demand and Supply Effects of Financial Crises on Bank Credit—Evidence from Taiwan," Southern Economic Journal, John Wiley & Sons, vol. 75(1), pages 26-49, July.
  11. Gerhard, Frank & Hautsch, Nikolaus, 2002. "Volatility estimation on the basis of price intensities," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 57-89, January.
  12. Gourieroux, C. & Monfort, A., 2018. "Composite indirect inference with application to corporate risks," Econometrics and Statistics, Elsevier, vol. 7(C), pages 30-45.
  13. Rosa, Carlo, 2011. "Words that shake traders," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 915-934.
  14. repec:bla:germec:v:7:y:2006:i::p:1-34 is not listed on IDEAS
  15. Pinkse, Joris & Slade, Margaret E., 1998. "Contracting in space: An application of spatial statistics to discrete-choice models," Journal of Econometrics, Elsevier, vol. 85(1), pages 125-154, July.
  16. Jose Montalvo, 2003. "Liquidity and market makers: a pseudo-experimental analysis with ultrahigh frequency data," The European Journal of Finance, Taylor & Francis Journals, vol. 9(4), pages 358-378.
  17. Carlo Rosa, 2009. "Forecasting the Direction of Policy Rate Changes: The Importance of ECB Words," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 38(1‐2), pages 39-66, February.
  18. Nuno Cassola, 1998. "Emu, Exchange Rate Volatility and Bid-Ask Spreads," Working Papers w199805, Banco de Portugal, Economics and Research Department.
  19. Oczkowski, Edward, 1998. "An econometric analysis of the bilateral monopoly model," Economic Modelling, Elsevier, vol. 16(1), pages 53-69, January.
  20. Kaiser, Ulrich & Szczesny, Andrea, 2000. "Einfache ökonometrische Verfahren für die Kreditrisikomessung," CoFE Discussion Papers 00/28, University of Konstanz, Center of Finance and Econometrics (CoFE).
  21. Gerlach, Stefan, 2004. "Interest Rate Setting by the ECB: Words and Deeds," CEPR Discussion Papers 4775, C.E.P.R. Discussion Papers.
  22. Choi, Woon Gyu, 1999. "Estimating the Discount Rate Policy Reaction Function of the Monetary Authority," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(4), pages 379-401, July-Aug..
  23. Kai Carstensen, 2006. "Estimating the ECB Policy Reaction Function," German Economic Review, Verein für Socialpolitik, vol. 7(1), pages 1-34, February.
  24. David P. Brown & Andrew Eckert & James Lin, 2018. "Information and transparency in wholesale electricity markets: evidence from Alberta," Journal of Regulatory Economics, Springer, vol. 54(3), pages 292-330, December.
  25. Hsiao, C. & Pesaran, M.H. & Pick, A., 2007. "Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Models," Cambridge Working Papers in Economics 0716, Faculty of Economics, University of Cambridge.
  26. Czellar, Veronika & Frazier, David T. & Renault, Eric, 2022. "Approximate maximum likelihood for complex structural models," Journal of Econometrics, Elsevier, vol. 231(2), pages 432-456.
  27. Pastorello, Sergio & Patilea, Valentin & Renault, Eric, 2003. "Iterative and Recursive Estimation in Structural Nonadaptive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 449-482, October.
  28. Veronika Czellar & David T. Frazier & Eric Renault, 2020. "Approximate Maximum Likelihood for Complex Structural Models," Papers 2006.10245, arXiv.org.
  29. Allaire, Gilles & Cahuzac, Eric & Simioni, Michel, 2009. "Contractualisation et diffusion spatiale des mesures agro-environnementales herbagères," Review of Agricultural and Environmental Studies - Revue d'Etudes en Agriculture et Environnement (RAEStud), Institut National de la Recherche Agronomique (INRA), vol. 90(01).
  30. Kaiser, Ulrich, 1997. "The determinants of BUND-future price changes: An ordered probit analysis using DTB and LIFFE data," ZEW Discussion Papers 97-09, ZEW - Leibniz Centre for European Economic Research.
  31. Di Fan & Long Zhao, 2022. "Old Wine in New Bottles: Patenting Propensity," Journal of Industry, Competition and Trade, Springer, vol. 22(2), pages 207-224, June.
  32. Gustavo Nicolás Páez, 2015. "Prediciendo decisiones de agentes económicos: ¿Cómo determina el Banco de la República de Colombia la tasa de interés?," Documentos CEDE 12567, Universidad de los Andes, Facultad de Economía, CEDE.
  33. David T. Frazier & Eric Renault, 2016. "Indirect Inference With(Out) Constraints," Papers 1607.06163, arXiv.org, revised Aug 2019.
  34. Brown, David P. & Eckert, Andrew, 2018. "The effect of default rates on retail competition and pricing decisions of competitive retailers: The case of Alberta," Energy Policy, Elsevier, vol. 118(C), pages 298-311.
  35. Czellar, Veronika & Frazier, David T. & Renault, Eric, 2021. "Approximate Maximum Likelihood for Complex Structural Models," The Warwick Economics Research Paper Series (TWERPS) 1337, University of Warwick, Department of Economics.
  36. Monfort, Alain, 1992. "Quelques développements récents des méthodes macroéconométriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 305-324, mars et j.
  37. Henrik Amilon, 2002. "A Score Test for Discreteness in GARCH Models," Research Paper Series 76, Quantitative Finance Research Centre, University of Technology, Sydney.
  38. Ricardo Gonçalves Silva, 2004. "Bayesian Semiparametric Regression for Autoregressive Models with Possible Unit Roots," Econometrics 0405002, University Library of Munich, Germany.
  39. Gerhard, Frank & Hautsch, Nikolaus, 2000. "Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model," CoFE Discussion Papers 00/20, University of Konstanz, Center of Finance and Econometrics (CoFE).
  40. Lee, Lung-Fei, 1997. "A smooth likelihood simulator for dynamic disequilibrium models," Journal of Econometrics, Elsevier, vol. 78(2), pages 257-294, June.
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