This is a preview. Log in through your library . Abstract The scope of this paper is twofold. We first describe the tail behavior for general AR-GARCH processes and hence extend the results of Basrak, ...
PROC SYSLIN performs OLS regression if you do not specify a method of estimation in the PROC SYSLIN statement. OLS does not use instruments, so the ENDOGENOUS and INSTRUMENTS statements can be omitted ...
When a time series has a unit root, the series is nonstationary and the ordinary least squares (OLS) estimator is not normally distributed. Dickey (1976) and Dickey and Fuller (1979) studied the ...
In this paper the quadratic risk of a homogeneous linear estimator and the ordinary least squares estimator is compared in subsets of the parameter space and conditions for strong (matrix risk) and ...
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