-
Numerical distribution functions for unit root and cointegration tests (repli...
This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test... -
Analytic derivatives and the computation of GARCH estimates (replication data)
In the context of univariate GARCH models we show how analytic first and second derivatives of the log-likelihood can be successfully employed for estimation purposes. Maximum...