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《Studies in Nonlinear Dynamics & Econometrics》Volume 27,Issue 5,December 2023
《Studies in Nonlinear Dynamics & Econometrics》 Volume 27 Issue 5 December 2023
2025/1/3
《Studies in Nonlinear Dynamics & Econometrics》Volume 27,Issue 5,December 2023.
《Studies in Nonlinear Dynamics & Econometrics》Volume 27,Issue 4,September 2023
《Studies in Nonlinear Dynamics & Econometrics》 Volume 27 Issue 4 September 2023
2025/1/3
《Studies in Nonlinear Dynamics & Econometrics》Volume 27,Issue 4,September 2023.
《Studies in Nonlinear Dynamics & Econometrics》Volume 27,Issue 3,June 2023
《Studies in Nonlinear Dynamics & Econometrics》 Volume 27 Issue 3 June 2023
2025/1/3
《Studies in Nonlinear Dynamics & Econometrics》Volume 27,Issue 3,June 2023.
《Studies in Nonlinear Dynamics & Econometrics》Volume 27,Issue 2,April 2023
《Studies in Nonlinear Dynamics & Econometrics》 Volume 27 Issue 2 April 2023
2025/1/3
《Studies in Nonlinear Dynamics & Econometrics》Volume 27,Issue 2,April 2023.
《Studies in Nonlinear Dynamics & Econometrics》Volume 27,Issue 1,February 2023
《Studies in Nonlinear Dynamics & Econometrics》 Volume 27 Issue 1 February 2023
2025/1/3
《Studies in Nonlinear Dynamics & Econometrics》Volume 27,Issue 1,February 2023.
《Studies in Nonlinear Dynamics & Econometrics》
Probability Statistics Macroeconomics Econometrics
2025/1/3
A peer-reviewed journal since 1996, Studies in Nonlinear Dynamics & Econometrics (SNDE) is at the forefront of statistical and theoretical approaches to economics.
This paper provides an overview of control function (CF) methods for solving the problem of endogenous explanatory variables (EEVs) in linear and nonlinear models. CF methods often can be justified in...
Studies in Nonlinear Dynamics & Econometrics.
For example, in
a village, a researcher asks a random subset of households to report their social contacts. Treating
this sampled network as the true network of interest, the researcher constructs s...
Using Spatial Econometrics to Measure Ozone Pollution Externalities
Air Pollution Externalities Spatial Econometrics
2013/3/11
This paper summarizes my previous work in Lin (2010), in which I use spatial econometrics to analyze air pollution externalities. In Lin (2010), state-by-state source-receptor transfer coefficients th...
State-Observation Sampling and the Econometrics of Learning Models
Hidden Markov model particle filter state-observation sampling learning indirect inference forecasting state space model value at risk
2011/6/20
In nonlinear state-space models, sequential learning about the hidden state can proceed
by particle filtering when the density of the observation conditional on the state is available
analytically (...
Some Recent Developments on Nonparametric Econometrics
nonparametric estimation nonparametric models instrumental variables nonparametric estimation of conditional
2011/4/2
In this paper, we survey some recent developments of nonparametric econometrics in the following areas: (i) nonparametric estimation of regression models with mixed discrete and continuous data; (ii) ...
Parametric and nonparametric models and methods in financial econometrics
Diffusion model hidden Markov model jump diffusionmodel Markov chain model validation nonlinear time series nonparametric density estimate nonparametric curve estimate stochastic differential equation stochastic volatility
2009/2/11
Financial econometrics has become an increasingly popular research field. In this paper we review a few parametric and nonparametric models and methods used in this area. After introducing several wid...
Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]
Leverage volatility feedback effects
2010/10/29
Bollerslev et al. (2006) study the cross-covariances for squared returns under the Heston
(1993) stochastic volatility model. In order to obtain these cross-covariances the authors
use an incorrect ...
The paper deals with the problem of identifying the internal dependencies and similarities among a large number of random processes. Linear models are considered to describe the relations among the ti...