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Asymptotic and finite sample properties for multivariate rotated GARCH models

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics 9 (2021) 2, pp. 1-21

This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK … (2sQML) estimator, this paper shows consistency and asymptotic normality under weak conditions. While second …-order moments are needed for the consistency of the estimated unconditional covariance matrix, the existence of the finite sixth …

Persistent link: https://www.econbiz.de/10012696326

Parametric inference for index functionals

Guerrier, Stéphane; Orso, Samuel; Victoria-Feser, Maria-Pia - In: Econometrics 6 (2018) 2, pp. 1-11

In this paper, we study the finite sample accuracy of confidence intervals for index functional built via parametric bootstrap, in the case of inequality indices. To estimate the parameters of the assumed parametric data generating distribution, we propose a Generalized Method of Moment...

Persistent link: https://www.econbiz.de/10011995222

Relative Efficiency with Equivalence Classes of Asymptotic Covariances

Mandy, David M.; Martins-Filho, Carlos - EconWPA - 1998

White's (1984) concept of asymptotic variance is shown to allow some ambiguities when used to study asymptotic efficiency. These ambiguities are resolved with some mild conditions on the estimators being studied, because then White's asymptotic variance is an equivalence class in which...

Persistent link: https://www.econbiz.de/10005556269

Indirect inference estimation of spatial autoregressions

Bao, Yong; Liu, Xiaotian; Yang, Lihong - In: Econometrics 8 (2020) 3, pp. 1-26

The ordinary least squares (OLS) estimator for spatial autoregressions may be consistent as pointed out by Lee (2002), provided that each spatial unit is influenced aggregately by a significant portion of the total units. This paper presents a unified asymptotic distribution result of the...

Persistent link: https://www.econbiz.de/10012696297

A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise

Zu, Yang - In: Econometrics 3 (2015) 3, pp. 561-576

This paper studies the asymptotic normality for the kernel deconvolution estimator when the noise distribution is logarithmic chi-square; both identical and independently distributed observations and strong mixing observations are considered. The dependent case of the result is applied to obtain...

Persistent link: https://www.econbiz.de/10011755293

New Wine in Old Bottles: A Sequential Estimation Technique for the LPM

Horrace, William C.; Oaxaca, Ronald L. - EconWPA - 2002

The conditions under which ordinary least squares (OLS) is an unbiased and consistent estimator of the linear probability model (LPM) are unlikely to hold in many instances. Yet the LPM still may be the correct model or, perhaps, justified for practical reasons. A sequential least squares (SLS)...

Persistent link: https://www.econbiz.de/10005119162

Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes

Wagner, Niklas; Marsh, Terry A. - EconWPA - 2004

properties of adaptive tail index estimators under the class of student-t marginal distribution functions including GARCH and …

Persistent link: https://www.econbiz.de/10005407899

Non-causality due to included variables

Triacca, Umberto - In: Econometrics 5 (2017) 4, pp. 1-4

The contribution of this paper is to investigate a particular form of lack of invariance of causality statements to changes in the conditioning information sets. Consider a discrete-time three-dimensional stochastic process z = (x, y1, y2)0. We want to study causality relationships between the...

Persistent link: https://www.econbiz.de/10011995194

Statistical inference on the Canadian middle class

Davidson, Russell - In: Econometrics 6 (2018) 1, pp. 1-18

Conventional wisdom says that the middle classes in many developed countries have recently suffered losses, in terms of both the share of the total population belonging to the middle class, and also their share in total income. Here, distribution-free methods are developed for inference on these...

Persistent link: https://www.econbiz.de/10011995215

Detecting and measuring nonlinearity

Kotchoni, Rachidi - In: Econometrics 6 (2018) 3, pp. 1-27

This paper proposes an approach to measure the extent of nonlinearity of the exposure of a financial asset to a given risk factor. The proposed measure exploits the decomposition of a conditional expectation into its linear and nonlinear components. We illustrate the method with the measurement...

Persistent link: https://www.econbiz.de/10011995224