Conditional variance vs. unconditional variance in ARCH model
Nov 24, 2016 · Conditional variance vs. unconditional variance in ARCH model Ask Question Asked 9 years, 3 months ago Modified 9 years, 2 months ago
econometrics - Asymptotic variance vs. conditional variance in ...
May 17, 2021 · Asymptotic variance vs. conditional variance in calculating regression estimator standard errors Ask Question Asked 4 years, 8 months ago Modified 4 years, 8 months ago
econometrics - Show that conditional variance of error in linear ...
Nov 27, 2020 · We can accordingly express the regression equation by Y = X'β + e with E (u000fe |X = x) = 0 for all x. Show that the conditional variance of e given X = x depends on x, i.e., u000fe is …
Negative correlation conditional variance and return
Nov 6, 2019 · The model for the return of S&P 500, the results indicate the return of DAX has an negative effect on the S&P 500 conditional variance? This is not in line with what I expected, given …
Heteroskedasticity assumption in fGLS into linear form?
May 28, 2019 · I am following Chapter 8 ("Heteroskedasticity" p. 259) in the 6th edition of Woolridge Introductory Econometrics: A Modern Approach and I don't understand one piece of the …
macroeconomics - What is the difference between conditional and ...
Aug 14, 2019 · Conditional risk premia means risk premia conditioning on time- information (so with a time- subscript as in conditional moments, conditional variance, etc.). So it is the conditional …
How does explanatory variables in variance affect unconditional ...
Dec 7, 2020 · I have a question about the unconditional variance of a GARCH process, where exogenous explanatory variables are included in the variance. The usual GARCH models the …
econometrics - Interpretation of coefficients in a regression with a ...
May 19, 2021 · Thank you. I have a couple of questions: 1. In the tldr, did you perhaps mean a 1% change in employment (rather than a percentage point change)? 2. Does conditioning on the …
Why the larger the sample, the lower standard deviation?
Jun 15, 2021 · 6 Intuitively, variables that only vary at the group level should have a lower variance (and therefore lower standard deviation) than comparable variables that vary at the individual level. As …
econometrics - Application of Maximum Likelihood estimation (MLE) to ...
Sep 18, 2022 · I couldn't do the step 2. The question states the conditional log-likelihood function, however I cannot write down this log-likelihood function as conditional function to solve for $\hat …