Reply to B.M. Potscher's comment on 'Adaptive estimation in time series regression models.' (reply to article in this issue, p. 123)
Article Abstract:
Allegations of serious errors indicated by Benedikt Potscher on the article 'Adaptive estimation in time series regression models' are answered. The typographical errors noted by Potscher are acknowledged and the correct scripts for the errors are given. For Theorem 4.1, Potscher's criticism is based on unknown processes while the theory addresses known processes. As for Theorem 5.3, Potscher bases his criticism on uniformly adaptive etimators while the article studies adaptive estimators per se. The accusation that some materials in the article were included without acknowledging sources are refuted because Potscher was properly cited in the article.
Publication Name: Journal of Econometrics
Subject: Economics
ISSN: 0304-4076
Year: 1995
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QML and GMM estimators of stochastic volatility models: response to Andersen and Sorensen
Article Abstract:
Andersen and Sorensen are right when they assert that a more exhaustive analysis is needed to come up with more robust conclusions about the relative merits of the GMM and QML measurements of stochastic volatility models. Their experiments show that QML is more efficient than GMM, particularly when tested against daily financial time series statistics. However, the random walk model for volatility, which they belittle is actually equivalent to the IGARCH model which is a well respected tool in empirical science.
Publication Name: Journal of Econometrics
Subject: Economics
ISSN: 0304-4076
Year: 1997
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Threshold effects in non-dynamic panels: estimation, testing, and inference
Article Abstract:
A study was conducted to estimate, test and infer effects of financial constraints in investment decisions of 565 US firms from 1973 to 1987 using least squares estimation and threshold regression. The asymptotic distribution theory was used to form the parameters confidence intervals. Results showed that firms, grouped based on debt to asset ratio consistent in situations of financial constraints, investment decisions were largely affected by financial constraints.
Publication Name: Journal of Econometrics
Subject: Economics
ISSN: 0304-4076
Year: 1999
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