Browsing Video Library by Subject "Multiplicative error models"
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Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
(Indian Institute of Management Ahmedabad, 2013-12-10)The family of multiplicative error models, introduced by Engle (2002, Journal of Applied Econometrics 17, 425–446), has attracted considerable attention in recent literature for modeling positive random variables, such as ...