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Efficient estimation of conditional risk measures in a semiparametric GARCH model

Yan, Yang; Shang, Dajing; Linton, Oliver - 2012

when estimating error quantiles. In order to prevent this efficiency loss in quantile estimation, we propose a quantile … estimator based on inverting an empirical likelihood weighted distribution estimator. It is found that the new quantile … estimator is uniformly more efficient than the simple empirical quantile and a quantile estimator based on normalized residuals …

Persistent link: https://www.econbiz.de/10009620388

Non-parametric transformation regression with non-stationary data

Linton, Oliver; Wang, Qiying - 2013

We examine a kernel regression smoother for time series that takes account of the error correlation structure as proposed by Xiao et al. (2008). We show that this method continues to improve estimation in the case where the regressor is a unit root or near unit root process.

Persistent link: https://www.econbiz.de/10009734305

Median-Unbiased Estimation in DF-GLs Regressions and the PPP Puzzle

Lopez, Claude; Murray, Christian J.; Papell, David H. - 2011

Using median-unbiased estimation based on Augmented-Dickey-Fuller (ADF) regressions, recent research has questioned the validity of Rogoff's "remarkable consensus" of 3-5 year half-lives of deviations from PPP. The confidence intervals of these half-life estimates, however, are extremely wide,...

Persistent link: https://www.econbiz.de/10014179427

Bounded Influence Estimation for Auto-Regressive Conditional Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates

Kao, Chihwa - 2011

This paper proposes a robust estimation procedure, the bounded influence estimate (BIE), that is robust against departure from the conditional normality of the autoregressive conditional heteroskedasticity (ARCH) models to describe the behavior of exchange rates. First, the BIE identifies the...

Persistent link: https://www.econbiz.de/10014183528

A Misspecification-Robust Impulse Response Estimator

Chang, Pao-Li; Sakata, Shinichi - 2003

Impulse response analysis is typically conducted by fitting an autoregression model to a time series and calculating the moving average coefficients implied by the estimated autoregression model. If the autoregression specification is incorrect for the series, this approach may fail to capture...

Persistent link: https://www.econbiz.de/10014099512

Estimating and Testing for Smooth Structural Changes in Moment Condition Models

Li, Haiqi; Zhou, Jin; Hong, Yongmiao - 2021

Numerous studies have been devoted to estimating and testing of moment condition models. Most of the current literature assumes that structural parameters are either fixed or changed abruptly. This paper considers the estimating and testing for smooth structural changes in moment condition...

Persistent link: https://www.econbiz.de/10013244498

Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate

Caporale, Guglielmo Maria - 2013

temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series …

Persistent link: https://www.econbiz.de/10013082098

Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate

Caporale, Guglielmo Maria - 2013

temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series …

Persistent link: https://www.econbiz.de/10013082343

Errors-in-Variables Estimation with Wavelets

Gencay, Ramazan - 2009

This paper develops a wavelet (spectral) approach to estimate the parameters of a linear regression model where the regressand and the regressors are persistent processes and contain a measurement error. We propose a wavelet filtering approach which does not require instruments and yields...

Persistent link: https://www.econbiz.de/10013158834

Exploring long memory and nonlinearity in Irish real exchange rates using tests based on semiparametric estimation

Bond, Derek; Harrison, Michael J.; O'Brien, Edward J. - 2009

Deciding whether a time series that appears nonstationary is in fact fractionally integrated or subject to structural change is a diffcult task. However, various tests have recently been introduced for distinguishing long memory from level shifts and nonlinearity. In this paper, three testing...

Persistent link: https://www.econbiz.de/10009724409