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Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model
Todd, Prono - Volkswirtschaftliche Fakultät, … - 2010
Efficient GMM estimation of the semi-strong GARCH(1,1) model requires simultaneous estimation of the conditional third … and fourth moments. This paper proposes a simple alternative to efficient GMM based upon the unconditional skewness of … instruments. Sequential estimation involves TSLS in a first step followed by linear GMM. Simultaneous estimation involves either …
Persistent link: https://www.econbiz.de/10008543477
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Enhanced routines for instrumental variables/generalized method of moments estimation and testing
Baum, Christopher; Schaffer, Mark; Stillman, Steven - In: Stata Journal 7 (2007) 4, pp. 465-506
We extend our 2003 paper on instrumental variables and generalized method of moments estimation, and we test and describe enhanced routines that address heteroskedasticity- and autocorrelation-consistent standard errors, weak instruments, limited-information maximum likelihood and k-class...
Persistent link: https://www.econbiz.de/10005568801
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Heuristic Optimization Methods for Dynamic Panel Data Model Selection. Application on the Russian Innovative Performance
Savin, Ivan; Winker, Peter - 2010
Innovations, be they radical new products or technology improvements are widely recognized as a key factor of economic growth. To identify the factors triggering innovative activities is a main concern for economic theory and empirical analysis. As the number of hypotheses is large, the process...
Persistent link: https://www.econbiz.de/10010270208
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Sensitivity analysis using approximate moment condition models
Armstrong, Timothy B.; Kolesár, Michal - 2018
Persistent link: https://www.econbiz.de/10011948942
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Heuristic Optimization Methods for Dynamic Panel Data Model Selection. Application on the Russian Innovative Performance
Savin, Ivan; Winker, Peter - COMISEF - 2010
Innovations, be they radical new products or technology improvements are widely recognized as a key factor of economic growth. To identify the factors triggering innovative activities is a main concern for economic theory and empirical analysis. As the number of hypotheses is large, the process...
Persistent link: https://www.econbiz.de/10008629502
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Accrual Noise Ratio as a Measure of Accrual Reliability
Njoroge, Kenneth - 2009
I develop an empirical model that estimates a firm-specific accrual noise ratio (ANR), an operational and statistically grounded measure of accrual reliability, and test the measure's construct validity. The model allows accrual reliability to vary across firms, which is particularly important...
Persistent link: https://www.econbiz.de/10009475468
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Decision bounds for data-admissible seasonal models
Kunst, Robert M. - 1997
The selection problem among models for the seasonal behavior in time series is considered. The central decision of interest is between models with seasonal unit roots and with deterministic cycles. In multivariate models, also the number of stochastic seasonal factors is a discrete parameter of...
Persistent link: https://www.econbiz.de/10010291759
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Lasso-type and heuristic strategies in model selection and forecasting
Savin, Ivan; Winker, Peter - 2012
Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...
Persistent link: https://www.econbiz.de/10010291802
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Robust iInference in linear asset pricing models
Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare - 2012
We derive new results on the asymptotic behavior of the estimated parameters of a linear asset pricing model and their associated t-statistics in the presence of a factor that is independent of the returns. The inclusion of this useless factor in the model leads to a violation of the full rank...
Persistent link: https://www.econbiz.de/10010292218
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Chi-squared tests for evaluation and comparison of asset pricing models
Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare - 2011
This paper presents a general statistical framework for estimation, testing, and comparison of asset pricing models using the unconstrained distance measure of Hansen and Jagannathan (1997). The limiting results cover both linear and nonlinear models that could be correctly specified or...
Persistent link: https://www.econbiz.de/10010292301