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Asymptotic and finite sample properties for multivariate rotated GARCH models

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics : open access journal 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/10012547429

Parametric inference for index functionals

Guerrier, Stéphane; Orso, Samuel; Victoria-Feser, Maria-Pia - In: Econometrics : open access journal 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/10011823357

Indirect inference estimation of spatial autoregressions

Bao, Yong; Liu, Xiaotian; Yang, Lihong - In: Econometrics : open access journal 8 (2020) 3/34, 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/10012295878

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

Zu, Yang - In: Econometrics : open access journal 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/10011297541

Estimating the effects of credit constraints on productivity of peruvian agriculture

Woutersen, Tiemen; Hauck, Katherine; Khandker, Shahidur R. - In: Econometrics : open access journal 12 (2024) 4, pp. 1-17

This paper proposes an estimator for the endogenous switching regression models with fixed effects. The decision to switch from one regime to the other may depend on unobserved factors, which would cause the state, such as being credit constrained, to be endogenous. Our estimator allows for this...

Persistent link: https://www.econbiz.de/10015272948

Entropy maximization as a basis for information recovery in dynamic economic behavioral systems

Judge, George G. - In: Econometrics : open access journal 3 (2015) 1, pp. 91-100

As a basis for information recovery in open dynamic microeconomic systems, we emphasize the connection between adaptive intelligent behavior, causal entropy maximization and self-organized equilibrium seeking behavior. This entropy-based causal adaptive behavior framework permits the use of...

Persistent link: https://www.econbiz.de/10010478980

Building a structural model : parameterization and structurality

Mouchart, Michel; Orsi, Renzo - In: Econometrics : open access journal 4 (2016) 2, pp. 1-16

A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when...

Persistent link: https://www.econbiz.de/10011506231

Asymptotic distribution and finite sample bias correction of QML estimators for spatial error dependence model

Liu, Shew Fan; Yang, Zhenlin - In: Econometrics : open access journal 3 (2015) 2, pp. 376-411

In studying the asymptotic and finite sample properties of quasi-maximum likelihood (QML) estimators for the spatial linear regression models, much attention has been paid to the spatial lag dependence (SLD) model; little has been given to its companion, the spatial error dependence (SED) model....

Persistent link: https://www.econbiz.de/10011297624

Detecting and measuring nonlinearity

Kotchoni, Rachidi - In: Econometrics : open access journal 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/10011887653

Non-causality due to included variables

Triacca, Umberto - In: Econometrics : open access journal 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/10011781854

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