Russell P Robins
Dados Biográficos
| ID | 8879285 |
|---|---|
| NOME | Russell P Robins |
| PRENOMES | Russell P |
| SOBRENOME | Robins |
| ASSINATURA | ROBINS R P |
| VERIFICADO | Não |
| TOTAL DE OBRAS | 4 |
| TOTAL DE CITAÇÕES | 0 |
| TOTAL COMO AUTOR | 4 |
| TOTAL COMO EDITOR | 0 |
| PRIMEIRO ANO DE PUBLICAÇÃO | 1985 |
| ANO MAIS RECENTE DE PUBLICAÇÃO | 1995 |
| ÍNDICE H | 0 |
Do Government Agencies Use Public Data
In 1991, the U.S. Council of Economic Advisers undertook an initiative to increase the quality of economic statistics. One specific objective was to reduce the size of revisions in GNP estimates. The authors present evidence that one straightforward and inexpensive way of forwarding this objective is for the Department of Commerce to utilize better publicly available information released by other governmental agencies. An important caveat, howeve…
Estimating Time Varying Risk Premia in the Term Structure
The expectati on of the excess holding yield on a long bond is postulated to depend upon its conditional variance. Engle's ARCH model is extended to allow the conditional variance to be a determinant of the mean and is called ARCH-M. Estimation and infer ence procedures are proposed, and the model is applied to three interest rate data sets. In most cases the ARCH process and the time varying risk premium are highly significant. A collection of L…
A Test of the First Difference Transformation in Time Series Models
We extend our 1985 test of restrictions on Layson and Seaks' (1984) Box-Cox difference transformation to models with autoregressive terms and moving average errors. The tests are based on the Lagrange Multiplier principle. Several empirical examples are given
A Comment on the Testing of Functional Form in First Difference Models
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A Comment on the Testing of Functional Form in First Difference Models
Estimating Time Varying Risk Premia in the Term Structure
The expectati on of the excess holding yield on a long bond is postulated to depend upon its conditional variance. Engle's ARCH model is extended to allow the conditional variance to be a determinant of the mean and is called ARCH-M. Estimation and infer ence procedures are proposed, and the model is applied to three interest rate data sets. In most cases the ARCH process and the time varying risk premium are highly significant. A collection of L…
A Test of the First Difference Transformation in Time Series Models
We extend our 1985 test of restrictions on Layson and Seaks' (1984) Box-Cox difference transformation to models with autoregressive terms and moving average errors. The tests are based on the Lagrange Multiplier principle. Several empirical examples are given
Do Government Agencies Use Public Data
In 1991, the U.S. Council of Economic Advisers undertook an initiative to increase the quality of economic statistics. One specific objective was to reduce the size of revisions in GNP estimates. The authors present evidence that one straightforward and inexpensive way of forwarding this objective is for the Department of Commerce to utilize better publicly available information released by other governmental agencies. An important caveat, howeve…
Econometrics (3 obras) · Mathematics (3 obras) · Economics (2 obras) · Monetary Policy and Economic Impact (2 obras) · Affine term structure model (1 obras) · Applied Mathematics (1 obras) · Applied Mathematics (1 obras) · Arch (1 obras) · Business (1 obras) · Computer Science (1 obras)