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Project: Econometric inference in misspecified models.

project duration
01-JAN-01 – 30-SEP-01
abstract
The recently developed theory of inference in misspecified models is applied and expanded in a number of directions. First, the robust inference approaoch is applied to the tests generated by the Barlett Identities. Secondly, consistent estimators of scale and location parameters in conditional distributions are developed under general conditions. Third, a power analysis of parametric hypotheses test is conducted under fixed alternatives. Fourth, the indirect inference approach is applied to models of stochastic volatility in finance.