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Details about Douglas Gardiner Steigerwald

E-mail:
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 2024-04-09. 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 Obtaining critical values for test of Markov regime switching, Stata Journal, StataCorp LLC (2014) Downloads View citations (1) (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 (6)
    See also Journal Article Markov Regime-Switching Tests: Asymptotic Critical Values, Journal of Econometric Methods, De Gruyter (2013) Downloads View citations (9) (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 View citations (1)

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 Testing for Regime Switching: A Comment, Econometrica, Econometric Society (2012) Downloads View citations (21) (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)
    See also Chapter Noise reduced realized volatility: a kalman filter approach, Advances in Econometrics, Emerald Group Publishing Limited (2006) Downloads (2006)

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 Private Information and High-Frequency Stochastic Volatility, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2004) Downloads View citations (3) (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 Adaptive testing in arch models, Econometric Reviews, Taylor & Francis Journals (2000) Downloads View citations (7) (2000)

1989

  1. Raiders, junk bonds, and risk
    Proceedings, Federal Reserve Bank of Chicago
    Also in Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (1988) Downloads
    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) Downloads

2023

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

2021

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

2018

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

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 (87)

2016

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

2014

  1. Obtaining critical values for test of Markov regime switching
    Stata Journal, 2014, 14, (3), 481-498 Downloads 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) Downloads View citations (1) (2012)

2013

  1. Markov Regime-Switching Tests: Asymptotic Critical Values
    Journal of Econometric Methods, 2013, 2, (1), 25-34 Downloads 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) Downloads View citations (6) (2011)

2012

  1. Testing for Regime Switching: A Comment
    Econometrica, 2012, 80, (4), 1809-1812 Downloads View citations (21)
    See also Working Paper Testing for Regime Switching: A Comment, University of California at Santa Barbara, Economics Working Paper Series (2010) Downloads View citations (1) (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), 30 Downloads 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) Downloads View citations (2) (2003)

2000

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

1999

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

1997

  1. Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
    Econometrica, 1997, 65, (3), 587-600 View citations (116)
  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 (22)
  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 (19)
  2. Testing for absolute purchasing power parity
    Journal of International Money and Finance, 1996, 15, (5), 783-796 Downloads View citations (29)

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 (5)

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 (17)
  3. On the finite sample behavior of adaptive estimators
    Journal of Econometrics, 1992, 54, (1-3), 371-400 Downloads 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 Downloads
    See also Working Paper Noise Reduced Realized Volatility: A Kalman Filter Approach, Department of Economics, UC Santa Barbara (2009) Downloads View citations (6) (2009)
 
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