Showing papers in "Journal of Econometrics in 2003"

TL;DR: In this article, a unit root test for dynamic heterogeneous panels based on the mean of individual unit root statistics is proposed, which converges in probability to a standard normal variate sequentially with T (the time series dimension) →∞, followed by N (the cross sectional dimension)→∞.

TL;DR: In this article, the authors used a flexible approach to characterize the nonlinear relation between oil price changes and GDP growth and reported clear evidence of nonlinearity, consistent with earlier claims in the literature that oil price increases are much more important than oil price decreases.

TL;DR: In this paper, the authors proposed a simple testing procedure to detect the presence of nonstationarity against nonlinear but globally stationary exponential smooth transition autoregressive processes, and derived the limiting nonstandard distribution of the proposed tests.

TL;DR: In this article, the role of various volatility specifications, such as multiple stochastic volatility (SV) factors and jump components, in appropriate modeling of equity return distributions is evaluated.

TL;DR: In this paper, a new class of instrumental variable (IV) estimators for linear and nonlinear treatment response models with covariates is introduced, which allows the researcher to construct estimators that can be interpreted as the parameters of a well defined approximation to a treatment response function under functional form misspecification.

TL;DR: In this article, the authors propose a method for decomposing inequalities in the health sector into their causes, by coupling the concentration index with a regression framework, and show how changes in inequality over time, and differences across countries, can be decomposed into the following: changes due to changing inequalities of the determinants of the variable of interest.

TL;DR: In this article, the authors provide statistical methods that allow the association of socioeconomic status and health to be partially unraveled in panel data by excluding some postulated causal paths, or delimiting their range of action.

TL;DR: The Laplace type estimators (LTEs) as mentioned in this paper are a family of estimators that include means and quantiles of quasi-posterior distributions defined as transformations of general (nonlikelihood-based) statistical criterion functions, such as those in GMM, nonlinear IV, empirical likelihood, and minimum distance methods.

TL;DR: In this article, a more general parametric stochastic variance model of equity index returns is proposed and estimates using data from both underlying and options markets, and the model fails to explain the implied volatility smile for short-dated options and conditional higher moments in returns.

TL;DR: In this article, several lagrange multiplier (LM) tests for the panel data regression model with spatial error correlation are presented. But the authors do not consider the presence of random regional effects.

TL;DR: In this article, the authors conducted a gender impact evaluation study on the impact of piped water on the reduction of diarrhea among children under five in rural India on the child level.

TL;DR: The authors provide an overview and discussion of empirical option pricing research: how we test models, what we have learned, and what are some key issues, and some suggestions for future research are provided.

TL;DR: In this paper, a rescaled variance test based on V/S statistic was proposed for general fourth order stationary sequences, which is shown to have a simpler asymptotic distribution and to achieve a somewhat better balance of size and power than Lo's modified R/S test and the KPSS test of Kwiatkowski et al.

TL;DR: In this article, a method to constrain the values of the first and second derivatives of nonparametric locally polynomial estimators was developed to estimate the state price density, or risk-neutral density, implicit in the market prices of options.

TL;DR: In this article, the authors provide a simple theoretical framework for assessing the empirical linkages between returns and realized and implied volatilities, and show that the correlation between return and implied volatility is unambiguously positive for all reasonable parameter configurations.

TL;DR: Turner et al. as mentioned in this paper developed a parsimonious model of endogenous Markov regime-switching, which nests the exogenous switching model, yielding straightforward tests for endogeneity.

TL;DR: In this paper, the authors give conditions so that efficiency of estimators and consistency of tests is achieved as the number of restrictions grows with the sample size, and also give results for generalized empirical likelihood, generalized method of moments, and nonlinear instrumental variable estimators.

TL;DR: In this article, a generalized method of moments on the complex plane (GOMM) is proposed for the estimation of continuous-time stochastic models based on the characteristic function.

TL;DR: In this article, the authors extend the class of M -tests for a unit root analyzed by Perron and Ng (Rev. Econ. Studies 63 (1996) 435) and Ng and Perron (Econometrica 69 (2001) 1519) to the case where a change in the trend function is allowed to occur at an unknown time.

TL;DR: In this paper, the authors apply the Bayesian Model Averaging method to the problem of pseudo-out-of-sample exchange rate prediction, and show that using a sufficiently high degree of shrinkage, the model averaging method gives a slightly smaller out-ofsample mean square prediction error than the random walk benchmark.

TL;DR: This article presented a class of binary choice models for panel data with the following features: (i) the explanatory variables are predetermined but not strictly exogenous; (ii) individual effects are allowed to be correlated with the explanatory variable; and (iii) Dependence is specified through the conditional expectation of the effects which is let to be nonparametric.

TL;DR: In this article, a sequential updating method is proposed to calculate the maximum entropy density subject to known moment constraints, which is employed to approximate the size distribution of U.S. family income.

TL;DR: In this paper, the authors provide a general asymptotic theory for the fully functional estimates of the infinitesimal moments of continuous-time models with discontinuous sample paths of the jump-diffusion type.

TL;DR: The authors generalizes the cointegrated vector autoregressive model of Johansen to allow for structural changes and finds that structural changes in US term structure data coincide with large changes in the Fed's policy.

TL;DR: In this article, the authors present the limiting distribution theory for the GMM estimator when the estimation is based on a population moment condition which is subject to non-local (or fixed) misspecification.

TL;DR: In this article, the exact representation of kurtosis is derived for both GARCH and stochastic volatility models when innovations may be conditionally non-normal, and it is shown that the volatility clustering and non-normality contribute interactively and symmetrically to the overall kurtotic of the series.

TL;DR: In this article, the authors establish relationships between certain Bayesian and classical approaches to instrumental variable regression and determine the form of priors that lead to posteriors for structural parameters that have similar properties as classical 2SLS and LIML.

TL;DR: In this article, the authors proposed a new approach for detecting the number of structural breaks in a time series when estimation of the breaks is performed one at the time, which is accomplished through a simple, sequential, almost sure rule ensuring that, in large samples, both the probabilities of overestimating and underestimating the numbers of breaks are zero.

TL;DR: In this paper, the authors derived the family of tests for a unit root with maximal power against a point alternative when an arbitrary number of stationary covariates are modeled with the potentially integrated series.