3 papers
econ.EM2026
Risk-Optimal Curvature Selection for Finite-Sample Cressie-Read Moment Estimation
Jieun Lee, Anil Bera
We propose a finite-sample risk-optimal selection criterion for Cressie-Read power divergence (CRPD) estimation in overidentified moment-based models. The CRPD family, dual to gene…
econ.EM2024
Three Scores and 15 Years (1948-2023) of Rao's Score Test: A Brief History
Anil K. Bera, Yannis Bilias
Rao (1948) introduced the score test statistic as an alternative to the likelihood ratio and Wald test statistics. In spite of the optimality properties of the score statistic show…
econ.EM2023
Spatial and Spatiotemporal Volatility Models: A Review
Philipp Otto, Osman Doğan, Süleyman Taşpınar +2
Spatial and spatiotemporal volatility models are a class of models designed to capture spatial dependence in the volatility of spatial and spatiotemporal data. Spatial dependence i…