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Details about Douglas Gardiner Steigerwald

Homepage:http://www.econ.ucsb.edu/~doug/
Workplace:Department of Economics, University of California-Santa Barbara (UCSB), (more information at EDIRC)

Access statistics for papers by Douglas Gardiner Steigerwald.

Last updated 2020-02-12. Update your information in the RePEc Author Service.

Short-id: pst324


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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 Downloads

2012

  1. 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 Downloads View citations (1)
    See also Journal Article in Stata Journal (2014)

2011

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

2010

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

2009

  1. A Note on the Consumption Function
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara Downloads
  2. Noise Reduced Realized Volatility: A Kalman Filter Approach
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara Downloads View citations (6)

2007

  1. Accurately Sized Test Statistics with Misspecified Conditional Homoskedasticity
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara Downloads
  2. 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 Downloads

2006

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

2003

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

2001

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

2000

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

1998

  1. 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) Downloads

1995

  1. Adaptive Testing in ARCH Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Econometric Reviews (2000)

1989

  1. 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)
    Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (1988) Downloads

Journal Articles

2018

  1. Inference for clustered data
    Stata Journal, 2018, 18, (2), 447-460 Downloads View citations (1)

2017

  1. Asymptotic Behavior of a t -Test Robust to Cluster Heterogeneity
    The Review of Economics and Statistics, 2017, 99, (4), 698-709 Downloads View citations (34)

2016

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

2014

  1. Obtaining critical values for test of Markov regime switching
    Stata Journal, 2014, 14, (3) Downloads
    Also in Stata Journal, 2014, 14, (3), 481-498 (2014) Downloads

    See also Working Paper (2012)

2013

  1. Markov Regime-Switching Tests: Asymptotic Critical Values
    Journal of Econometric Methods, 2013, 2, (1), 25-34 Downloads View citations (8)
    See also Working Paper (2011)

2012

  1. Testing for Regime Switching: A Comment
    Econometrica, 2012, 80, (4), 1809-1812 Downloads View citations (17)
    See also Working Paper (2010)

2005

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

2004

  1. Private Information and High-Frequency Stochastic Volatility
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (1), 1-30 Downloads View citations (3)
    See also Working Paper (2003)

2000

  1. Adaptive testing in arch models
    Econometric Reviews, 2000, 19, (2), 145-174 Downloads View citations (6)
    See also Working Paper (1995)

1999

  1. Consumption Adjustment under Time-Varying Income Uncertainty
    The Review of Economics and Statistics, 1999, 81, (1), 32-40 Downloads View citations (41)

1997

  1. Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
    Econometrica, 1997, 65, (3), 587-600 View citations (95)
  2. Econometric Estimation Of Foresight: Tax Policy And Investment In The United States
    The Review of Economics and Statistics, 1997, 79, (1), 32-40 Downloads View citations (20)
  3. Uniformly adaptive estimation for models with arma errors
    Econometric Reviews, 1997, 16, (4), 393-409 Downloads

1996

  1. Purchasing power parity, unit roots, and dynamic structure
    Journal of Empirical Finance, 1996, 2, (4), 343-357 Downloads View citations (20)
  2. Testing for absolute purchasing power parity
    Journal of International Money and Finance, 1996, 15, (5), 783-796 Downloads View citations (25)

1995

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

1992

  1. A Course in EconometricsArthur Goldberger Harvard University Press, 1991
    Econometric Theory, 1992, 8, (3), 407-412 Downloads
  2. Adaptive estimation in time series regression models
    Journal of Econometrics, 1992, 54, (1-3), 251-275 Downloads View citations (15)
  3. On the finite sample behavior of adaptive estimators
    Journal of Econometrics, 1992, 54, (1-3), 371-400 Downloads View citations (5)
 
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