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07/04/2023
Asymptotics for the Generalized Autoregressive Conditional Duration Model
Engle and Russell (1998, Econometrica, 66:1127–1162) apply results from ...
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08/03/2022
Bootstrap inference in the presence of bias
We consider bootstrap inference for estimators which are (asymptotically...
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07/22/2022
Time-Varying Poisson Autoregression
In this paper we propose a new time-varying econometric model, called Ti...
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07/13/2021
MinP Score Tests with an Inequality Constrained Parameter Space
Score tests have the advantage of requiring estimation alone of the mode...
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05/28/2021