JSTOR Daily

Distribution of OLS Estimators of Coefficients and Disturbance Term in a General Regression Model

Sankhyā: The Indian Journal of Statistics, Series B (1960-2002), Vol. 34, No. 4 (Dec., 1972), pp. 395-404 (10 pages) This paper contains a method of determining the distribution function of the ...
JSTOR Daily

TAIL BEHAVIOR AND OLS ESTIMATION IN AR-GARCH MODELS

This is a preview. Log in through your library . Abstract The scope of this paper is twofold. We first describe the tail behavior for general AR-GARCH processes and hence extend the results of Basrak, ...
Risk

The robustness of estimators in structural credit loss distributions

This paper provides Monte Carlo results for the performance of the method of moments (MM), maximum likelihood (ML) and ordinary least squares (OLS) estimators of the credit loss distribution implied ...
Simon Fraser University

Stationarity Tests

When a time series has a unit root, the series is nonstationary and the ordinary least squares (OLS) estimator is not normally distributed. Dickey (1976) and Dickey and Fuller (1979) studied the ...
Simon Fraser University

Estimation Methods

A brief description of the methods used by the SYSLIN procedure follows. For more information on these methods, see the references at the end of this chapter. There are two fundamental methods of ...