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Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
Spatial dependence Heteroskedasticity Cliff–Ord model Two-stage least squares Generalized moments estimation Asymptotics
2015/9/24
This study develops a methodology of inference for a widely used Cliff–Ord type spatial model containing spatial lags in the dependent variable, exogenous variables, and the disturbance terms, while a...
Two-fund separation under model mis-specification
Fund separation theorem the investors procedure asset allocation the tangency portfolio risky assets
2015/8/10
The two-fund separation theorem tells us that an investor with quadratic utility can separate her asset allocation decision into two steps: First, find the tangency portfolio (TP), i.e., the portfolio...
Stationarity-based specification tests for diffusions when the process is nonstationary
Stationarity-based specification tests diffusions when the process nonstationary
2014/3/13
We analyze in this paper the asymptotic behavior of the specification test of Aït-Sahalia (1996) for the stationary density of a diffusion process, but when the diffusion is not stationary. We co...
Business rules specification and business processes modelling
business rules business architecture business process UML business concepts knowledge management information system business goal
2014/3/3
Up to date business is managed by large-scale different rules that regulate how the business acts and how it
is structured. We find the rules in law, regulation, business policy document, procedures...
Central limit theorems for generalized U-statistics with applications in nonparametric specification
central limit theorem nonparametric specification quadratic form strict stationarity stochastic process
2011/4/2
Central limit theorems for generalized U-statistics with applications in nonparametric specification.
A Consistent Model Specification Test with Mixed Discrete and Continuous Data
Consistent test Parametric functional form Nonparametric estimation
2011/4/2
In this paper we propose a nonparametric kernel-based model specification test that can be used when the regression model contains both discrete and continuous regressors. We employ discrete variable ...