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This paper deals with the study of some probabilistic and statistical properties of a periodic integer-valued diagonal bilinear model. The existence of a periodically strict stationary integer-valued process is shown. Sufficient conditions for the periodically stationary, both in the first and second orders, are established. The closed-forms of the mean and the second moment are obtained. The closed-form of the periodic autocovariance function is established. The Yule–Walker estimations of the underlying parameters are obtained. A simulation study is provided. 相似文献
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This article deals with some probabilistic and statistical properties of a periodic integer-valued GARCH(1,1) model. Necessary and sufficient conditions for the periodical stationary, both in mean and second order, are established. The closed-forms of the mean and the second moment are, under these conditions, obtained. The condition of the existence of higher moment orders and their explicit formula in terms of the parameters are established. The autocovariance structure is studied, while providing the closed-form of the periodic autocorrelation function. The Yule–Walker and the likelihood estimations of the underlying parameters are obtained. A simulation study and an application on real dataset are provided. 相似文献
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Endogeneity: How Failure to Correct for it can Cause Wrong Inferences and Some Remedies 总被引:1,自引:1,他引:0
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Although researchers in business and management are becoming increasingly aware of the importance of endogeneity affecting regression analysis, they frequently do not have the right methodological toolkit to adjust for this issue. In this paper we discuss such a toolkit. There are also areas in business and management research which to date seem to be mostly oblivious about the endogeneity issue. We highlight such an area, which studies the question of whether firms that are cross‐listed on a foreign stock exchange are charged premium fees by their auditors. When the same methodology (pooled ordinary least squares) as in the existing literature is used, the existence of an audit fee premium for cross‐listed firms seems to be confirmed. However, once methodologies are used which adjust for the various types of endogeneity (i.e. omitted variable bias, simultaneous and dynamic endogeneity) there is no longer support for the existence of such a generalized premium. Hence, not only do we illustrate that failure to adjust for endogeneity has severe consequences such as drawing the wrong inferences, but we also review various ways to control for the different types of endogeneity. 相似文献
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Many studies of privatization adopt the neo-liberal model which focuses on financial and economic distributional outcomes, and ignores social costs transferred to the state or broader society. We adopt a post-Keynesian point of view by identifying the social outcomes of privatization and the recipients of their effect in the society. We review regulation theory and discuss the effects of regulation on social and financial outcomes. Finally, we introduce a balanced regulatory model to show that privatization can become a process that achieves economic development and realizes broader social objectives. 相似文献
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