Showing 1 - 10 of 12,232
This paper studies the averaging generalized method of moments (GMM) estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an...
Persistent link: https://www.econbiz.de/10013025551
and between rating buckets. However, the autocorrelation that is often present in time series of default rates leads to … systematically too low estimations. We propose a new estimator that adjusts for the problems of this autocorrelation and the …
Persistent link: https://www.econbiz.de/10012934045
In time series regression with nonparametrically autocorrelated errors, it is now standard empirical practice to construct confidence intervals for regression coefficients on the basis of nonparametrically studentized t-statistics. The standard error used in the studentization is typically...
Persistent link: https://www.econbiz.de/10012771849
We extend the generalized method of moments to a setting where a subset of the parameters may vary over time with unknown dynamics. We approximate the true unknown dynamics by an updating scheme that is driven by the influence function of the conditional criterion function at time t. The updates...
Persistent link: https://www.econbiz.de/10012936574
We extend the generalized method of moments to a setting where a subset of the parameters may vary over time with unknown dynamics. We approximate the true unknown dynamics by an updating scheme that is driven by the influence function of the conditional criterion function at time t. The updates...
Persistent link: https://www.econbiz.de/10012936641
In the last few decades, the study of ordinal data in which the variable of interest is not exactly observed but only known to be in a specific ordinal category has become important. In Psychometrics such variables are analysed under the heading of item response models (IRM). In Econometrics,...
Persistent link: https://www.econbiz.de/10015149529
regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend …
Persistent link: https://www.econbiz.de/10013277475
This paper proposes a GMM shrinkage method to efficiently estimate the unknown parameters identified by some moment restrictions, when there is another set of possibly misspecified moment conditions. We show that our method enjoys oracle-like properties, i.e. it consistently selects the correct...
Persistent link: https://www.econbiz.de/10014040004
According to many studies, the transmission of oil prices to retail fuel prices is asymmetric. Fuel prices react faster if oil prices rise and more slowly if oil prices fall. We use the simple and dynamic asymmetry models, error correction models, threshold autoregressive cointegration, and an...
Persistent link: https://www.econbiz.de/10014496205
This article proposes a new identification strategy and a new estimation method for the hybrid New Keynesian Phillips curve (NKPC). Unlike the predominant Generalized Method of Moments (GMM) approach, which leads to weak identification of the NKPC with U.S. postwar data, our non-parametric...
Persistent link: https://www.econbiz.de/10012942614