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The Review of Economics and Statistics, ISSN 1530-9142, 2006, Volume 88, Issue 4, pp. 641 - 658
Although economists have long been aware of Jensen's in-equality, many econometric applications have neglected an important implication of it: under... 
Trade | International trade | Statistical variance | Trade agreements | Coefficients | Heteroskedasticity | Exporters | Estimators | Consistent estimators | Estimation methods | TRADE | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | COUNT DATA MODELS | HETEROSKEDASTICITY | LEAST-SQUARES | Evaluation | Log-linear models | Heteroscedasticity
Journal Article
Journal of econometrics, ISSN 0304-4076, 2016, Volume 192, Issue 1, pp. 64 - 85
Journal Article
The Review of financial studies, ISSN 1465-7368, 2017, Volume 30, Issue 1, pp. 48 - 79
We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market... 
BUSINESS, FINANCE | COSTS | MODELS | CONNECTEDNESS | ECONOMICS | STRESS | HETEROSKEDASTICITY | VOLATILITY
Journal Article
Journal of Financial Econometrics, ISSN 1479-8409, 03/2015, Volume 13, Issue 2, pp. 342 - 375
The difficulty of predicting stock returns has recently motivated researchers to start looking for more powerful tests, and the current study takes a step in... 
Conditional heteroskedasticity | Stock returns | FQGLS | Predictability | Subsampling | RATIOS | EQUITY PREMIUM PREDICTION | NONSTATIONARY VOLATILITY | subsampling | BOOK-TO-MARKET | predictability | INFERENCE | SAMPLE | BUSINESS, FINANCE | MODELS | conditional heteroskedasticity | VARIABLES | ECONOMICS | UNIT-ROOT TESTS | stock returns | REGRESSIONS
Journal Article
Journal of Economic Surveys, ISSN 0950-0804, 04/2016, Volume 30, Issue 2, pp. 377 - 392
Long‐run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically... 
vector autoregression | Conditional heteroskedasticity | heteroskedasticity | vector GARCH | Markov switching model | Vector autoregression | Vector GARCH | Heteroskedasticity | MONETARY-POLICY SHOCKS | IDENTIFICATION | MARKOV-SWITCHING MODELS | DEMAND | FLUCTUATIONS | ECONOMICS | VOLATILITY | TECHNOLOGY | PERMANENT | Studies | Stock prices | Economic theory | Volatility
Journal Article
The American economic review, ISSN 0002-8282, 2019, Volume 109, Issue 7, pp. 2679 - 2691
In this reply to a comment by Jentsch and Lunsford, we show that the evidence for economic and statistically significant macroeconomic effects of tax changes... 
MONETARY-POLICY | SUPPLY SHOCKS | ECONOMICS | CONDITIONAL HETEROSKEDASTICITY
Journal Article
Journal of Econometrics, ISSN 0304-4076, 08/2013, Volume 175, Issue 2, pp. 142 - 153
Journal Article
Journal of econometrics, ISSN 0304-4076, 2010, Volume 157, Issue 1, pp. 34 - 52
In the presence of heteroskedastic disturbances, the MLE for the SAR models without taking into account the heteroskedasticity is generally inconsistent. The... 
Unknown heteroskedasticity | Robustness | Consistent covariance matrix | GMM | Spatial autoregression | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | SOCIAL SCIENCES, MATHEMATICAL METHODS | NEIGHBORHOOD | ECONOMICS | Spatial autoregression Unknown heteroskedasticity Robustness Consistent covariance matrix GMM
Journal Article
The Journal of human resources, ISSN 1548-8004, 2015, Volume 50, Issue 2, pp. 317 - 372
We consider statistical inference for regression when data are grouped into clusters, with regression model errors independent across clusters but correlated... 
Cluster analysis | Economics | Monte Carlo method | Statistical methods | STANDARD ERRORS | TESTS | DIFFERENCE | BOOTSTRAP | PANEL-DATA | MATRIX ESTIMATOR | VARIABLES | ECONOMICS | HETEROSKEDASTICITY | LEAST-SQUARES | INDUSTRIAL RELATIONS & LABOR | Methods
Journal Article
Journal of applied econometrics (Chichester, England), ISSN 0883-7252, 2013, Volume 28, Issue 5, pp. 777 - 795
We propose a class of observation-driven time series models referred to as generalized autoregressive score (GAS) models. The mechanism to update the... 
MAXIMUM-LIKELIHOOD-ESTIMATION | PRICES | CONDITIONAL HETEROSKEDASTICITY | TIME-SERIES | POISSON COUNTS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | DURATION
Journal Article
Journal of statistical software, ISSN 1548-7660, 2004, Volume 11, Issue 10, pp. 1 - 17
Journal Article
Journal of management, ISSN 1557-1211, 2016, Volume 32, Issue 3, pp. 449 - 471
A number of studies in strategic management rely on panel (longitudinal) data to test theory. The advantages of panel data notwithstanding, such data introduce... 
Contemporaneous correlation | Panel data | Longitudinal data | Autocorrelation | Heteroskedasticity | Research methodology | MANAGEMENT | panel data | MANAGEMENT RESEARCH | TIME | BUSINESS | contemporaneous correlation | autocorrelation | longitudinal data | heteroskedasticity | CROSS-SECTION-DATA | COMPETITIVE ADVANTAGE | research methodology | FIRM | Longitudinal method | Panel analysis | Usage
Journal Article
2010, Advanced texts in econometrics, ISBN 0199587159, xxviii, 557
This book contains a up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear... 
Nonlinear theories | Time-series analysis | Econometric models | Econometrics and Mathematical Economics | Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling | Nonlinear | Nonparametric | Stationary | Nonstationary | Parametric | Models | Forecasting | Heteroskedasticity
Book
The review of economics and statistics, ISSN 1530-9142, 2015, Volume 97, Issue 3, pp. 683 - 697
Abstract Using estimators of the variation of positive and negative returns (realized semivariances) and high-frequency data for the S&P 500 Index and 105... 
ARTICLES | RETURN | NEWS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | MODEL | EXCHANGE | COVARIANCE | HETEROSKEDASTICITY | STOCK | Economic aspects | Stock markets | Analysis | Volatility (Finance)
Journal Article
Journal of econometrics, ISSN 0304-4076, 2015, Volume 185, Issue 2, pp. 332 - 342
We present a new jackknife estimator for instrumental variable inference with unknown heteroskedasticity. It weighs observations such that many-instruments... 
Instrumental variables | Many instruments | Heteroskedasticity | Jackknife | Top | NUMBER | MOMENT CONDITIONS | APPROXIMATIONS | Many-instruments | INFERENCE | JIVE | GENERALIZED-METHOD | DISTRIBUTIONS | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | WEAK INSTRUMENTS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS
Journal Article
The review of economics and statistics, ISSN 1530-9142, 2016, Volume 98, Issue 4, pp. 701 - 712
Abstract We study the properties of heteroskedasticity-robust confidence intervals for regression parameters. We show that confidence intervals based on a... 
ARTICLES | VARIANCES | SOCIAL SCIENCES, MATHEMATICAL METHODS | COVARIANCE-MATRIX ESTIMATOR | ECONOMICS | WILD BOOTSTRAP | INFERENCE | LINEAR-MODELS | HETEROSKEDASTICITY | Evaluation | Regression analysis
Journal Article
The Review of Financial Studies, ISSN 1465-7368, 2009, Volume 22, Issue 1, pp. 435 - 480
In corporate finance and asset pricing empirical work, researchers are often confronted with panel data. In these data sets, the residuals may be correlated... 
Datasets | Statistical variance | Estimation bias | Correlations | Mathematical independent variables | Standard error | Standard deviation | Coefficients | Autocorrelation | Estimation methods | BUSINESS, FINANCE | LIQUIDITY | IN-DIFFERENCES | INVESTORS | INVESTMENT | ECONOMICS | VALUATION | DEBT | OWNERSHIP | HETEROSKEDASTICITY | STOCK | DIVIDENDS | Studies | Errors | Mathematical models | Estimating techniques
Journal Article