Details about Douglas Gardiner Steigerwald

Access statistics for papers by Douglas Gardiner Steigerwald.

Last updated 2024-04-09. Update your information in the RePEc Author Service.

Short-id: pst324

Working Papers

2017

1. Do download reports reliably measure journal usage? Trusting the fox to count your Hens?
   University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara

2012

2. Obtaining Critical Values for Test of Markov Regime Switching
   University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara View citations (1)
   See also Journal Article Obtaining critical values for test of Markov regime switching, Stata Journal, StataCorp LLC (2014) View citations (1) (2014)

2011

3. Markov Regime-Switching Tests: Asymptotic Critical Values
   University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara View citations (6)
   See also Journal Article Markov Regime-Switching Tests: Asymptotic Critical Values, Journal of Econometric Methods, De Gruyter (2013) View citations (9) (2013)
4. The Underground Economy of Fake Antivirus Software
   University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara View citations (1)

2010

5. Testing for Regime Switching: A Comment
   University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara View citations (1)
   See also Journal Article Testing for Regime Switching: A Comment, Econometrica, Econometric Society (2012) View citations (21) (2012)

2009

6. A Note on the Consumption Function
   University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara
7. Noise Reduced Realized Volatility: A Kalman Filter Approach
   University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara View citations (6)
   See also Chapter Noise reduced realized volatility: a kalman filter approach, Advances in Econometrics, Emerald Group Publishing Limited (2006) (2006)

2007

8. Accurately Sized Test Statistics with Misspecified Conditional Homoskedasticity
   University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara
9. Do Daylight-Saving Time Adjustments Really Impact Stock Returns?
   University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara

2006

10. A Note on Adaptive Estimation
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara

2003

11. Private Information and High-Frequency Stochastic Volatility
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara View citations (2)
    See also Journal Article Private Information and High-Frequency Stochastic Volatility, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2004) View citations (3) (2004)

2001

12. Option Market Microstructure and Stochastic Volatility
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara

2000

13. Explaining Stochastic Volatility in Asset Prices
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society

1998

14. Consumption Adjustment under Changing Income Uncertainty
    Working Papers, Australian National University - Department of Economics View citations (5)
    Also in University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara (1997)

1995

15. Adaptive Testing in ARCH Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    See also Journal Article Adaptive testing in arch models, Econometric Reviews, Taylor & Francis Journals (2000) View citations (7) (2000)

1989

16. Raiders, junk bonds, and risk
    Proceedings, Federal Reserve Bank of Chicago
    Also in Economics Working Papers, University of California at Berkeley (1988) View citations (1)

Journal Articles

2024

1. The variance of regression coefficients when the population is finite
   Journal of Econometrics, 2024, 240, (1)

2023

2. Inference and extrapolation in finite populations with special attention to clustering
   Econometric Reviews, 2023, 42, (4), 343-357 View citations (1)

2021

3. Measuring Heterogeneous Effects of Environmental Policies Using Panel Data
   Journal of the Association of Environmental and Resource Economists, 2021, 8, (2), 277 - 313 View citations (3)

2018

4. Inference for clustered data
   Stata Journal, 2018, 18, (2), 447-460 View citations (16)

2017

5. Asymptotic Behavior of a t -Test Robust to Cluster Heterogeneity
   The Review of Economics and Statistics, 2017, 99, (4), 698-709 View citations (89)

2016

6. Open Trade, Price Supports, and Regional Price Behavior in Mexican Maize Markets
   Economic Geography, 2016, 92, (2), 201-225 View citations (2)

2014

7. Obtaining critical values for test of Markov regime switching
   Stata Journal, 2014, 14, (3), 481-498 View citations (1)
   See also Working Paper Obtaining Critical Values for Test of Markov Regime Switching, University of California at Santa Barbara, Economics Working Paper Series (2012) View citations (1) (2012)

2013

8. Markov Regime-Switching Tests: Asymptotic Critical Values
   Journal of Econometric Methods, 2013, 2, (1), 25-34 View citations (9)
   See also Working Paper Markov Regime-Switching Tests: Asymptotic Critical Values, University of California at Santa Barbara, Economics Working Paper Series (2011) View citations (6) (2011)

2012

9. Testing for Regime Switching: A Comment
   Econometrica, 2012, 80, (4), 1809-1812 View citations (21)
   See also Working Paper Testing for Regime Switching: A Comment, University of California at Santa Barbara, Economics Working Paper Series (2010) View citations (1) (2010)

2005

10. Inferring Information Frequency and Quality
    Journal of Financial Econometrics, 2005, 3, (4), 500-524 View citations (7)

2004

11. Private Information and High-Frequency Stochastic Volatility
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (1), 30 View citations (3)
    See also Working Paper Private Information and High-Frequency Stochastic Volatility, University of California at Santa Barbara, Economics Working Paper Series (2003) View citations (2) (2003)

2000

12. Adaptive testing in arch models
    Econometric Reviews, 2000, 19, (2), 145-174 View citations (7)
    See also Working Paper Adaptive Testing in ARCH Models, Cowles Foundation Discussion Papers (1995) View citations (2) (1995)

1999

13. Consumption Adjustment under Time-Varying Income Uncertainty
    The Review of Economics and Statistics, 1999, 81, (1), 32-40 View citations (55)

1997

14. Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
    Econometrica, 1997, 65, (3), 587-600 View citations (116)
15. Econometric Estimation Of Foresight: Tax Policy And Investment In The United States
    The Review of Economics and Statistics, 1997, 79, (1), 32-40 View citations (22)
16. Uniformly adaptive estimation for models with arma errors
    Econometric Reviews, 1997, 16, (4), 393-409

1996

17. Purchasing power parity, unit roots, and dynamic structure
    Journal of Empirical Finance, 1996, 2, (4), 343-357 View citations (19)
18. Testing for absolute purchasing power parity
    Journal of International Money and Finance, 1996, 15, (5), 783-796 View citations (29)

1995

19. Reply to B.M. Potscher's comment on 'adaptive estimation in time series regression models'
    Journal of Econometrics, 1995, 66, (1-2), 131-132 View citations (5)

1992

20. A Course in EconometricsArthur Goldberger Harvard University Press, 1991
    Econometric Theory, 1992, 8, (3), 407-412
21. Adaptive estimation in time series regression models
    Journal of Econometrics, 1992, 54, (1-3), 251-275 View citations (17)
22. On the finite sample behavior of adaptive estimators
    Journal of Econometrics, 1992, 54, (1-3), 371-400 View citations (6)

Chapters

2006

1. Noise reduced realized volatility: a kalman filter approach
   A chapter in Econometric Analysis of Financial and Economic Time Series, 2006, pp 211-227
   See also Working Paper Noise Reduced Realized Volatility: A Kalman Filter Approach, Department of Economics, UC Santa Barbara (2009) View citations (6) (2009)