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A solution to the problem of too many instruments in dynamic panel data GMM
Mehrhoff, Jens - 2009
simulations show that this new estimation technique outperforms other possible transformations by having a lower bias and RMSE as …
Persistent link: https://www.econbiz.de/10003839001
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A Solution to the Problem of Too Many Instruments in Dynamic Panel Data GMM
Mehrhoff, Jens - 2016
simulations show that this new estimation technique outperforms other possible transformations by having a lower bias and RMSE as …
Persistent link: https://www.econbiz.de/10012991105
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Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends
McCloskey, Adam - 2012
I provide conditions under which the trimmed FDQML estimator, advanced by McCloskey (2010) in the context of fully parametric short-memory models, can be used to estimate the long-memory stochastic volatility model parameters in the presence of additive low-frequency contamination in log-squared...
Persistent link: https://www.econbiz.de/10013098304
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Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
McCloskey, Adam - 2012 - This version: October 2012
-memory. -- stochastic volatility ; frequency domain estimation ; robust estimation ; spurious persistence ; long-memory ; level shifts …
Persistent link: https://www.econbiz.de/10009660446
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The Algebra of Two Scales Estimation, and the S-TSRV : High Frequency Estimation That Is Robust to Sampling Times
Mykland, Per A. - 2018
In this paper, we derive a new algebraic property of two scales estimation in high frequency data, under which the … components. As an application of this representation, the paper develops a central limit theory for multivariate volatility …
Persistent link: https://www.econbiz.de/10012914838
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Let's get LADE : robust estimation of semiparametric multiplicative volatility models
Koo, Bonsoo; Linton, Oliver - 2013
run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory … robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility … propose different robust estimation methods for nonstationary and strictly stationary GARCH parameters with nonparametric long …
Persistent link: https://www.econbiz.de/10009719116
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Large Deviations of Factor Models with Regularly-Varying Tails : Asymptotics and Efficient Estimation
Pourbabaee, Farzad - 2019
estimation of this class is introduced and theoretically shown to exponentially outperform the crude Monte-Carlo estimator, in …
Persistent link: https://www.econbiz.de/10012889760
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Dynamic Factor Models
Breitung, Jörg - 2016
Persistent link: https://www.econbiz.de/10012991215
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Dynamic Factor Models
Breitung, Jörg; Eickmeier, Sandra - 2006
Factor models can cope with many variables without running into scarce degrees of freedom problems often faced in a regression-based analysis. In this article we review recent work on dynamic factor models that have become popular in macroeconomic policy analysis and forecasting. By means of an...
Persistent link: https://www.econbiz.de/10014061201
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Maximum Likelihood Estimation and Inference for High Dimensional Nonlinear Factor Models with Application to Factor-Augmented Regressions
Wang, Fa - 2020
This paper reestablishes the main results in Bai (2003) and Bai and Ng (2006) for high dimensional nonlinear factor models, with slightly stronger conditions on the relative magnitude of N(number of subjects) and T(number of time periods). Factors and loadings are estimated by maximum...
Persistent link: https://www.econbiz.de/10012849457