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
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Working Papers
2017
- 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
- 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
- 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)
- 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
- 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
- A Note on the Consumption Function
University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara
- 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
- Accurately Sized Test Statistics with Misspecified Conditional Homoskedasticity
University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara
- 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
- A Note on Adaptive Estimation
University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara
2003
- 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
- Option Market Microstructure and Stochastic Volatility
University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara
2000
- Explaining Stochastic Volatility in Asset Prices
Econometric Society World Congress 2000 Contributed Papers, Econometric Society
1998
- 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
- 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
- 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)  Economics Working Papers, University of California at Berkeley (1988) View citations (1)
Journal Articles
2024
- The variance of regression coefficients when the population is finite
Journal of Econometrics, 2024, 240, (1)
2023
- Inference and extrapolation in finite populations with special attention to clustering
Econometric Reviews, 2023, 42, (4), 343-357 View citations (1)
2021
- 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
- Inference for clustered data
Stata Journal, 2018, 18, (2), 447-460 View citations (16)
2017
- Asymptotic Behavior of a t -Test Robust to Cluster Heterogeneity
The Review of Economics and Statistics, 2017, 99, (4), 698-709 View citations (87)
2016
- Open Trade, Price Supports, and Regional Price Behavior in Mexican Maize Markets
Economic Geography, 2016, 92, (2), 201-225 View citations (2)
2014
- 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
- 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
- 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
- Inferring Information Frequency and Quality
Journal of Financial Econometrics, 2005, 3, (4), 500-524 View citations (7)
2004
- 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
- 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
- Consumption Adjustment under Time-Varying Income Uncertainty
The Review of Economics and Statistics, 1999, 81, (1), 32-40 View citations (55)
1997
- Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
Econometrica, 1997, 65, (3), 587-600 View citations (116)
- 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)
- Uniformly adaptive estimation for models with arma errors
Econometric Reviews, 1997, 16, (4), 393-409
1996
- Purchasing power parity, unit roots, and dynamic structure
Journal of Empirical Finance, 1996, 2, (4), 343-357 View citations (19)
- Testing for absolute purchasing power parity
Journal of International Money and Finance, 1996, 15, (5), 783-796 View citations (29)
1995
- 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
- A Course in EconometricsArthur Goldberger Harvard University Press, 1991
Econometric Theory, 1992, 8, (3), 407-412
- Adaptive estimation in time series regression models
Journal of Econometrics, 1992, 54, (1-3), 251-275 View citations (17)
- On the finite sample behavior of adaptive estimators
Journal of Econometrics, 1992, 54, (1-3), 371-400 View citations (6)
Chapters
2006
- 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)
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