Access Statistics for Michael McAleer

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A MOTE CARLO COMPARISON OF OLS,IV,FIML AND BOOTSTRAP STANDARD ERRORS IN LINEAR MODELS WITH GENERATED REGRESSORS 0 0 0 0 3 24 97 1,045
A NEW APPROACH TO MAXIMUM LIKELIHOOD ESTIMATION OF THE THREE-PARAMATER GAMMA AND WEIBULL DISTRIBUTIONS 0 0 0 0 2 5 26 790
A Note on Identifiability in the Linear Expenditure Family 0 0 0 0 0 1 4 59
ALTERNATIVE APPROACHES TO TESTING NON-NESTED MODELS WITH AUTOCORRELATED DISTURBANCES: AN APPLICATION TO MODELS OF U.S. UNEMPLOYMENT 0 0 0 1 4 9 58 472
ALTERNATIVE APPROACHES TO TESTING NON-NESTED MODELS WITH AUTOCORRELATED DISTURBANCES: AN APPLICATION TO MODELS OF US UNEMPLOYMENT 0 0 0 0 0 0 8 293
Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses 0 0 1 1 2 13 34 65
Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing 0 0 0 0 2 6 26 424
Application of Transitional Phase Polynomials to a Model of Trade Union Growth in Canada 0 0 0 0 0 2 11 15
Asian Monetary Integration: A Structural VAR Approach 2 6 22 270 3 5 31 326
Asymmetric Multivariate Stochastic Volatility 4 7 45 114 10 22 94 231
Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors 0 0 1 51 1 2 11 161
COMPARING THE EMPIRICAL PERFOMANCE OF ALTERNATIVE DEMAND SYSTEMS 0 0 0 0 0 1 8 119
Cointegration and Direct Tests of the Rational Expectations Hypothesis 0 0 0 0 1 4 16 271
Comparing the Empirical Performance of Alternative Demand Systems 0 0 0 0 0 3 20 224
Convergence and Catching Up in ASEAN: A Comparative Analysis 1 5 20 169 7 14 48 334
DISCRIMINATION BETWEEN NESTED TWO- AND THREE-PARAMETER DISTRIBUTIONS: AN APPLICATION TO MODELS OF AIR POLLUTION 0 0 0 0 0 5 16 104
DISCRIMINATION BETWEEN NESTED TWO-AND THREE-PARAMETER DISTRIBUTIONS: AN APPLICATION TO MODELS OF AIR POLLUTION 0 0 0 0 0 1 5 262
DISCRIMINATION PROCEDURES FOR FITTING NESTED AND NON-NESTED DISTRIBUTIONS TO ENVIRONMENTAL QUALITY DATA 0 0 0 0 2 6 17 316
Durable Goods in the Extended Linear Expenditure System: An Empirical Appraisal 0 0 0 0 2 3 27 55
ESTIMATING THE PERCENTILES OF SOME MISSPECIFIED NON-NESTED DISTRIBUTIONS 0 0 0 0 0 0 4 280
ESTIMATION AND DISCRIMINATION OF ALTERNATIVE AIR POLLUTION MODELS 0 0 0 0 1 5 16 428
Ecologically Sustainable Tourism Management 4 8 35 308 17 40 148 902
Environmental Technology Strengths: International Rankings Based on US Patent Data 0 1 18 104 3 12 72 319
Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence 4 11 29 172 6 19 57 275
Estimation of the Consumption Function: A Systems Approach to Employment Effects on the Purchases of Durables 0 0 1 1 5 15 62 111
Exact Tests of a Model Against Non-Nested Alternatives 0 0 0 0 0 2 3 12
Exogeneity and Money Demand in a Small Open Economy: The Canadian Case 0 0 0 0 1 2 11 33
Fat Tails and Asymmetry in Financial Volatility Models 1 6 30 329 9 16 85 740
Input-output Structure and Growth in China 1 7 34 349 3 19 84 685
Interest Rates and Durability in the Linear Expenditure Family 0 0 0 0 1 2 13 19
JOINT TEST OF NON-NESTED MODELS AND GENERAL ERRO SPECIFICATIONS 0 0 0 0 3 7 39 600
JOINT TESTS OF NON-NESTED MODLS AND GENERAL ERROR SPECIFICATIONS 0 0 0 0 1 25 97 792
KEYNESIAN AND NEW CLASSICAL MODELS OF UNEMPLOYMENT REVISITED 0 0 0 0 0 0 18 430
Managing Value-at-Risk in Daily Tourist Tax Revenues for the Maldives 0 1 9 36 5 19 61 159
Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments 3 14 41 96 12 57 196 425
Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns 6 17 59 301 24 77 188 1,207
Modelling Environmental Risk 1 3 19 88 3 21 85 322
Modelling International Travel Demand from Singapore to Australia 1 3 25 259 10 26 110 876
Modelling the Asymmetric Volatility of Electronics Patents in the USA 0 0 3 49 2 7 20 178
ON THE ROBUSTNESS OF BARRO'S NEW CLASSICAL UNEMPLOYMENT MODEL 0 0 0 0 2 4 22 614
ON THE ROBUSTNESS OF TESTS OF OUTLIERS AND FUNCTIONAL FORM 0 0 0 0 0 0 9 511
On Efficient Estimation and Correct Inference in Models with Generated Regressions: A General Approach 0 0 1 1 0 1 15 265
On the Consistency of Joint and Paired Tests for Non-Nested Regression Models 0 0 0 0 2 4 11 25
On the Robustness of Alternative Rankings Methodologies: Australian and New Zealand Economics Departments, 1988-2002 1 5 11 12 5 17 55 57
On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models 3 7 22 194 7 12 42 326
Patent Activity and Technical Change 1 4 11 22 5 17 67 76
Patent Activity and Technical Change 0 0 2 51 3 6 26 192
Pricing of Non-ferrous Metals Futures on the London Metal Exchange 6 16 62 347 43 112 321 1,630
Principles and Methods in the Testing of Alternative Models 0 0 0 0 2 2 3 7
Problems of Estimating the Linear Expenditure System and its Related Forms 0 0 0 0 6 16 45 92
Realized volatility: a review 14 36 112 193 20 49 156 272
Regression Quantiles for Unstable Autoregressive Models 0 0 1 1 1 1 7 175
Regression Quantiles for Unstable Autoregressive Models 1 2 3 45 1 2 7 116
Risk Management of Daily Tourist Tax Revenues for the Maldives 3 7 25 72 4 27 94 265
SIMPLE PROCEDURES FOR TESTING AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS 0 0 1 2 4 9 29 734
SOME POWER COMPARISONS OF JOINT AND PAIRED TESTS FOR NON-NESTED MODELS UNDER LOCAL HYPOTHESES 0 0 0 0 0 0 2 754
Separate Misspecified Regressions 0 0 0 0 0 0 1 11
Separate Misspecified Regressions and the U.S. Long Run Demand for Money Function 0 0 0 0 1 1 5 18
Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings 1 6 44 216 1 11 74 462
THE EFFECTS OF MISSPECIFICATION IN ESTIMATING THE PERCENTILES OF SOME TWO -AND THREE-PARAMETER DISTRIBUTIONS 0 0 0 0 0 0 1 166
THE EFFECTS OF MISSPECIFICATION IN ESTIMATING THE PERCENTILES OF SOME TWO -AND THREE-PARAMETER DISTRIBUTIONS 0 0 0 0 0 0 1 277
Testing Nested and Non-Nested Periodically Integrated Autoregressive Models 0 0 0 0 0 0 6 102
Testing Nested and Non-Nested Periodically Integrated Autoregressive Models 0 0 0 0 0 0 3 203
Testing Separate Regression Models Subject to Specification Error 0 0 0 0 2 5 20 38
Testing Separate Regression Models Subject to Specification Error 0 0 0 0 0 1 9 28
Testing for Unit Roots and Non-Linear Transformations 0 0 0 0 4 9 27 271
The Interpretation of the Cox Test in Econometrics 0 0 0 0 4 28 78 101
Theory and Econometric Evaluation of a Systems Approach to Money Demand, The Canadian Case 0 0 0 0 1 1 9 19
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH 5 16 48 48 7 25 67 67
Two Papers on Linear Models 0 0 0 0 0 0 11 27
Two Papers on Model Testing and Discrimination 0 0 0 0 1 1 11 19
Volatility Models of Currency Futures in Developed and Emerging Markets 0 0 9 128 4 7 28 315
Volatility of a Market Index and its Components: An Application to Commodity Markets 0 2 13 123 3 7 36 191
What Will Take the Con Out of Econometrics? 1 3 22 85 1 16 69 484
Total Working Papers 64 193 779 4,238 279 888 3,293 23,269


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Market-Augmented Model for SIMEX Brent Crude Oil Futures Contracts 0 0 3 71 3 13 44 673
A Monte Carlo Study of Some Tests of Model Adequacy in Time Series Analysis 0 0 0 0 6 6 10 72
A Note on Identifiability in the Linear Expenditure Family 0 0 0 0 1 2 6 19
A Seasonal Analysis of Asian Tourist Arrivals to Australia 0 3 21 63 5 23 102 355
A further result on the sign of restricted least-squares estimates 0 0 1 2 0 1 7 16
A note on the unbiasedness test of rationality using survey data 0 0 2 10 0 2 6 21
A sequential testing procedure for outliers and structural change 1 2 5 5 3 8 29 29
A small sample test for non-nested regression models 0 0 8 8 2 6 46 68
ANALYTICAL POWER COMPARISONS OF NESTED AND NONNESTED TESTS FOR LINEAR AND LOGLINEAR REGRESSION MODELS 0 1 3 9 1 8 25 51
ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL 8 24 61 80 16 60 143 201
AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY 0 2 15 26 0 5 38 70
Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing 3 6 19 87 6 22 62 368
Alternative procedures and associated tests of significance for non-nested hypotheses 2 3 11 17 3 8 20 29
An Empirical Assessment of Country Risk Ratings and Associated Models 4 21 104 465 18 60 432 1,423
An econometric analysis of asymmetric volatility: Theory and application to patents 2 5 20 25 5 16 52 66
Asymptotic Properties Of The Estimator Of The Long-Run Coefficient In A Dynamic Model With Integrated Regressors And Serially Correlated Errors 0 0 0 0 0 3 5 5
Cointegrated systems I 0 0 0 0 0 1 5 5
Cointegrated systems II 0 0 1 1 0 1 4 4
Cointegration Analysis of Quarterly Tourism Demand by Hong Kong and Singapore for Australia 2 5 22 146 4 17 61 564
Cointegration Analysis of Seasonal Time Series 3 7 23 83 3 13 44 186
Cointegration and direct tests of the rational expectations hypothesis 0 2 13 13 1 4 23 23
Cointegration in Practice 4 6 16 78 7 13 34 132
Comment 0 1 1 1 1 2 3 3
Consumption, liquidity constraints, uncertainty and temptation: An international comparison 0 0 2 17 0 0 6 45
Convergence and catching up in ASEAN: a comparative analysis 0 2 9 38 3 8 31 120
Direct Tests of the Permanent Income Hypothesis under Uncertainty, Inflationary Expectations and Liquidity Constraints 0 0 0 9 0 1 3 50
Dynamic Asymmetric GARCH 4 8 32 47 4 12 59 99
Econometric Issues in Macroeconomic Models with Generated Regressors 0 0 0 0 12 31 115 490
Econometric modelling of non-ferrous metal prices 1 7 27 85 12 41 109 358
Efficient Estimation and Testing of Alternative Models of Currency Futures Contracts 1 1 3 24 3 3 17 136
Efficient Estimation: The Rao-Zyskind Condition, Kruskal's Theorem and Ordinary Least Squares 0 0 0 0 0 9 25 115
Efficient estimation and testing of oil futures contracts in a mutual offset system 0 1 11 58 6 22 58 260
Empirical Econometric Modelling of Food Consumption Using a New Informational Complexity Approach: Comments 1 1 2 11 1 2 7 61
Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers 1 4 8 39 2 7 17 94
Financial volatility: an introduction 3 14 64 503 11 40 197 1,113
Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model 4 11 25 25 5 24 64 64
Further Results on Testing AR (1) against MA (1) Disturbances in the Linear Regression Model 0 1 7 25 3 32 63 123
HOW DOES COUNTRY RISK AFFECT INNOVATION? AN APPLICATION TO FOREIGN PATENTS REGISTERED IN THE USA 0 1 8 16 3 9 34 71
How Fragile Are Fragile Inferences? A Re-evaluation of the Deterrent Effect of Capital Punishment 1 1 4 46 2 4 16 243
INTELLECTUAL PROPERTY AND ECONOMIC INCENTIVES 0 2 8 27 1 8 23 58
INTELLECTUAL PROPERTY LITIGATION ACTIVITY IN THE USA 4 9 26 41 7 24 65 105
Interest Rates and Durability in the Linear Expenditure Family 0 0 0 0 0 0 5 23
Is a monetary union feasible for East Asia? 1 4 36 101 2 12 65 192
Joint tests of non-nested models and general error specifications 0 0 1 1 2 5 11 11
Keynesian and New Classical Models of Unemployment Revisited 0 2 9 71 1 8 70 315
MEASURING RISK IN ENVIRONMENTAL FINANCE 0 1 16 16 2 12 48 48
Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence 9 21 71 542 20 46 165 1,274
Modeling dynamic conditional correlations in WTI oil forward and futures returns 0 8 14 32 7 32 65 126
Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns 4 14 62 143 8 43 197 492
NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS 1 4 20 31 4 14 48 72
Newey-West Covariance Matrix Estimates for Models with Generated Regressors 0 0 8 11 30 105 396 1,699
Non-trading day effects in asymmetric conditional and stochastic volatility models 0 4 16 21 3 20 73 99
On the Effects of Misspecification Errors in Models with Generated Regressors 0 0 0 0 2 4 15 79
On the Robustness of Barro's New Classical Unemployment Model 0 0 0 0 0 3 12 37
On the interpretation of the cox test in econometrics 1 2 5 8 1 3 10 19
Patent activity and technical change 0 0 7 7 4 12 38 41
Pictures at an Exhibition: The Experiment in Applied Econometrics Conference, Tilburg, the Netherlands, 1996 0 0 1 16 0 2 17 121
Pricing of Forward and Futures Contracts 2 5 28 212 4 12 68 617
Pricing of non-ferrous metals futures on the London Metal Exchange 3 7 35 70 24 74 271 437
Properties of ordinary least squares estimators in regression models with nonspherical disturbances 2 7 28 82 5 26 100 270
Realized Volatility and Long Memory: An Overview 5 11 24 24 7 18 43 43
Realized Volatility: A Review 5 8 18 18 12 24 48 48
Recent Theoretical Results for Time Series Models with GARCH Errors 2 10 43 185 5 24 94 367
Recursive estimation and generated regressors 1 2 4 15 3 5 7 36
Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations 1 3 7 13 1 3 9 45
Revisiting Tobin's 1950 Study of Food Expenditure: Comments 0 0 3 19 0 1 16 120
SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE 0 3 11 38 7 35 114 333
Separate Misspecified Regressions and the U.S. Long-Run Demand for Money Function 1 1 1 5 2 2 5 27
Sherlock Holmes and the Search for Truth: A Diagnostic Tale 0 0 0 0 4 11 34 577
Simplicity, Scientific Interference and Econometric Modelling 0 1 1 24 1 5 23 123
Simultaneity and the Demand for Money in Canada: Comments and Extensions 0 0 0 0 0 2 10 48
Single-index and portfolio models for forecasting value-at-risk thresholds 8 18 32 32 13 43 74 74
Some Exact Tests for Model Specification 1 2 5 29 1 2 13 114
Some comments on testing time series models 1 2 2 2 1 4 7 7
Stationarity and the existence of moments of a family of GARCH processes 0 2 18 67 0 6 33 142
Statistical Demand Functions for Food in the USA and the Netherlands: Comments 0 0 6 16 6 11 34 91
Switching Orthogonality 0 0 0 0 0 1 7 89
Testing Long-Run Neutrality Using Intra-year data 0 0 0 9 0 2 10 38
Testing Non-Nested Specifications of Money Demand for Canada 0 0 0 0 0 1 7 36
Testing separate models with stochastic regressors 0 0 2 4 1 1 5 14
Testing separate regression models subject to specification error 0 0 1 4 3 3 10 14
Testing the Risk Premium and Cost-of-Carry Hypotheses for Currency Futures Contracts 0 2 13 47 0 6 32 146
The 7th World Congress of the Econometric Society: Tokyo, Japan, 1995 0 0 0 0 1 2 21 108
The Econometrics of Financial Time Series 2 6 17 72 3 13 35 151
The International Congress on Modelling and Simulation, Hobart, Tasmania, December 1997 0 0 0 6 1 4 14 74
The International Congress on Modelling and Simulation: Hamilton, New Zealand, December 1999 0 0 0 2 1 5 15 83
The Osaka Econometrics Conference: Osaka, Japan, 1995 0 0 0 0 2 5 9 39
The Ten Commandments for Academics 1 2 10 44 4 11 29 110
The Ten Commandments for Attending a Conference 1 4 11 35 1 8 24 86
The Ten Commandments for Organizing a Conference 2 5 23 183 4 7 39 445
The Ten Commandments for Presenting a Conference Paper 1 6 38 183 3 21 110 435
The Winter of My Content: The Econometric Society Australasian Meeting 1997, Melbourne, Australia 0 0 0 0 0 1 5 30
The econometrics of intellectual property: An overview 1 3 12 33 4 10 39 81
The minimum error variance rule for non-linear regression models 1 1 7 8 1 2 27 35
The significance of testing empirical non-nested models 4 6 11 35 5 12 29 101
The ten commandments for ranking university quality 2 3 11 47 3 9 50 153
Trends and volatilities in foreign patents registered in the USA 0 0 4 18 2 5 26 87
Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models 0 1 14 94 7 21 89 602
What Will Take the Con out of Econometrics? 2 3 18 65 2 9 36 157
When are two step estimators efficient? 0 0 4 4 0 2 11 11
Total Journal Articles 114 335 1,313 4,945 390 1,361 5,027 19,280


Statistics updated 2008-09-04