Showing 1 - 10 of 34
We study semiparametric efficiency bounds and efficient estimation of parameters defined through general nonlinear, possibly non-smooth and over-identified moment restrictions, where the sampling information consists of a primary sample and an auxiliary sample. The variables of interest in the...
Persistent link: https://www.econbiz.de/10005593352
Estimation of the memory parameter (d) is considered for models of nonstationary fractionally integrated time series with d > (1/2). It is shown that the log periodogram regression estimator of d is inconsistent when 1 < d < 2 and is consistent when (1/2) < d = 1. For d > 1, the estimator is shown to converge in probability to unity.
Persistent link: https://www.econbiz.de/10005463987
A time-varying autoregression is considered with a similarity-based coefficient and possible drift. It is shown that the random walk model has a natural interpretation as the leading term in a small-sigma expansion of a similarity model with an exponential similarity function as its...
Persistent link: https://www.econbiz.de/10011184577
We start by discussing some general weaknesses and limitations of the econometric approach. A template from sociology is used to formulate six laws that characterize mainstream activities of econometrics and the scientific limits of those activities, we discuss some proximity theorems that...
Persistent link: https://www.econbiz.de/10004990687
Asymptotic properties of the local Whittle estimator in the nonstationary case (d > 1/2) are explored. For 1/2 < d < 1, the estimator is shown to be consistent, and its limit distribution and the rate of convergence depend on the value of d. For d = 1, the limit distribution is mixed normal. For d > 1 and when the process has a linear trend, the estimator is shown to be inconsistent and to converge in probability to unity.
Persistent link: https://www.econbiz.de/10004990709
Recent work by Wang and Phillips (2009b, c) has shown that ill posed inverse problems do not arise in nonstationary nonparametric regression and there is no need for nonparametric instrumental variable estimation. Instead, simple Nadaraya Watson nonparametric estimation of a (possibly nonlinear)...
Persistent link: https://www.econbiz.de/10004998318
This paper explores a paradox discovered in recent work by Phillips and Su (2009). That paper gave an example in which nonparametric regression is consistent whereas parametric regression is inconsistent even when the true regression functional form is known and used in regression. This appears...
Persistent link: https://www.econbiz.de/10004998319
Nonstationarity is certainly one of the most dominant and enduring characteristics of macroeconomic and financial time …
Persistent link: https://www.econbiz.de/10005093958
Semiparametric estimation of the memory parameter is studied in models of fractional integration in the nonstationary case, and some new representation theory for the discrete Fourier transform of a fractional process is used to assist in the analysis. A limit theory is developed for an...
Persistent link: https://www.econbiz.de/10005087395
An exact form of the local Whittle likelihood is studied with the intent of developing a general purpose estimation procedure for the memory parameter (d) that does not rely on tapering or differencing prefilters. The resulting exact local Whittle estimator is shown to be consistent and to have...
Persistent link: https://www.econbiz.de/10005593209