generalized autoregressive conditional heteroskedasticity (GARCH)

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Below are the studies lacking replication with method Generalized autoregressive conditional heteroskedasticity (GARCH).


Below are the replicated studies with method Generalized autoregressive conditional heteroskedasticity (GARCH).

Below are the replications with method Generalized autoregressive conditional heteroskedasticity (GARCH).

  • Steven Cook. A re-examination of the stationarity of inflation (JAE 2009).
    JEL codes: -. Methods: replicates unit root and stationarity tests to data from panel of 13 OECD economies, univariate methods, panel data unit root testing, sensitivity to cross-sectional variation, reconsidered in light of conditional heteroskedasticity detected in inflation rate series, more appropriate univariate testing procedure combining local-to-unity detrending and joint maximum likelihood estimation of a unit root testing equation, Generalized autoregressive conditional heteroskedasticity (GARCH) Software: -
    Data available; Readme availability unknown; Code unavailable
    Replicated study: Sarah E. Culver, David H. Papell. JAE 1997.
    JEL codes: -. Keywords: -
    Data: -. Type: reproduction (new methods). Result: -. Call into question: yes. Replication authors statement: -.
  • Anson T. Y. Ho, Kim P. Huynh, David T. Jacho-Chávez. Flexible Estimation of Copulas: An Application to the US Housing Crisis (JAE 2016).
    JEL codes: -. Methods: Generalized autoregressive conditional heteroskedasticity (GARCH), Autoregressive model (AR), Nonparametric copula Software: -
    Data availability unknown; Readme availability unknown; Code availability unknown
    Replicated study: David M. Zimmer. REStat 2012.
    JEL codes: -. Keywords: -
    Data: -. Type: new methods & data. Result: -. Call into question: -. Replication authors statement: -.
  • Christos S. Savva. Replication of Grier, Henry, Olekalns and Shields (2004): the Asymmetric Effects of Uncertainty on Inflation and Output Growth (JAE 2016).
    JEL codes: -. Methods: Generalized autoregressive conditional heteroskedasticity (GARCH) Software: GAUSS, 13, run on an Intel Core i7 processor (64-bit OS)
    Data unavailable; Readme availability unknown; Code unavailable
    Replicated study: Kevin B. Grier, Ólan T. Henry, Nilss Olekalns, Kalvinder Shields. JAE 2004.
    JEL codes: -. Keywords: -
    Data: -. Type: wide sense (new data). Result: -. Call into question: partly. Replication authors statement: -.

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