Browsing by Author "McElroy, MB"
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Arbitrage pricing theory as a restricted nonlinear multivariate regression model: Iterated nonlinear seemingly unrelated regression estimates
(Journal of Business and Economic Statistics, 1988-01-01)By replacing the unknown random factors of factor analysis with observed macroeconomic variables, the arbitrage pricing theory (APT) is recast as a multivariate nonlinear regression model with across-equation restrictions. ... -
Dynamic Optimization in Models for State Panel Data: A Cohort Panel Data Model of the Effects of Divorce Laws on Divorce Rates
(Economic Research Initiatives at Duke (ERID) Working Paper, 2011-06-14)We present a new approach to the estimation of dynamic models using panel data, not on individuals, but aggregated to some level such as the school, county or state. This approach embeds the reduced form implications of ... -
Weaker MSE criteria and tests for linear restrictions in regression models with non-spherical disturbances
(Journal of Econometrics, 1977-01-01)This paper extend, in an asymptotic sense, the strong and the weaker mean square error criteria and corresponding tests to linear models with non-spherical disturbances where the error covariance matrix is unknown but a ...
