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Robust Estimation of Probit Models with Endogeneity

Naghi, Andrea A.; Váradi, Máté; Zhelonkin, Mikhail - 2021

Probit models with endogenous regressors are commonly used models in economics and other social sciences. Yet, the robustness properties of parametric estimators in these models have not been formally studied. In this paper, we derive the influence functions of the endogenous probit model’s...

Persistent link: https://www.econbiz.de/10012427190

Identification and Inference in a Simultaneous Equation Under Alternative Information Sets and Sampling Schemes

Kiviet, Jan F. - 2012

In simple static linear simultaneous equation models the empirical distributions of IV and OLS are examined under alternative sampling schemes and compared with their first-order asymptotic approximations. We demonstrate that the limiting distribution of consistent IV is not affected by...

Persistent link: https://www.econbiz.de/10013097341

A Bayesian Analysis of Unobserved Component Models using Ox

Bos, Charles S. - 2011

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less widespread. In this articleit is argued that one...

Persistent link: https://www.econbiz.de/10010325752

Relating Stochastic Volatility Estimation Methods

Bos, Charles S. - 2011

Persistent link: https://www.econbiz.de/10010325989

Relating Stochastic Volatility Estimation Methods

Bos, Charles S. - 2011

Persistent link: https://www.econbiz.de/10013128944

Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk

Monteiro, Andre; Smirnov, Georgi V.; Lucas, Andre - 2006

We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...

Persistent link: https://www.econbiz.de/10010325348

Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization

Bai, Zhidong; Li, Hua; McAleer, Michael; Wong, Wing-Keung - 2016

distribution of the sample covariance is the main factor to make the expected return of the traditional MV portfolio overestimate … sample spectrally corrected covariance, and to improve the traditional MV portfolio to be spectrally corrected. In the … expressions of the expected return and risk on the MV portfolio, the population covariance matrix is always a quadratic form …

Persistent link: https://www.econbiz.de/10011526102

Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - 1999

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the degree of non-linearity of the instruments comprised in the portfolio and thewillingness to make restrictive assumptions on the underlying statistical distributions, a...

Persistent link: https://www.econbiz.de/10010324653

Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes : An Application to Credit Risk

Lucas, André - 2006

Persistent link: https://www.econbiz.de/10012733969

On the Exact Finite Sample Distribution of the L1 -FCvM Test Statistic

Hinloopen, Jeroen - 2011

We derive the exact finite sample distribution of the L1-version ofthe Fisz-Cramér-von Mises test statistic (L1-FCvM). We first characterizethe set of all distinct sample p-p plots for two balanced sampleof size n absent ties. Next, we order this set according to the correspondingvalue of...

Persistent link: https://www.econbiz.de/10010325887