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Nonlinear estimators with integrated regressors but without exogeneity
Jong, Robert de - Econometric Society - 2004
This paper analyzes nonlinear cointegrating regressions as have been recently analyzed in a paper by Park and Phillips in Econometrica. I analyze the consequences of removing Park and Phillips' exogeneity assumption, which for the special case of a linear model would imply the asymptotic...
Persistent link: https://www.econbiz.de/10005699677
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A simple estimation method and finite-sample inference for a stochastic volatility model
VALERY, Pascale - Econometric Society - 2004
The aim of the paper is to fulfill the gap for testing hypotheses on parameters of the log-normal stochastic volatility model, more precisely, to propose finite sample exact tests in the sense that the tests have correct levels in small samples. To do this, we examine method-of-moments-based...
Persistent link: https://www.econbiz.de/10005130214
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Robustness of a semiparametric estimator of a copula
Silvapulle, Param; Kim, Gunky; Silvapulle, Mervyn J. - Econometric Society - 2004
Copulas offer a convenient way of modelling multivariate observations and capturing the intrinsic dependence between the components of a multivariate random variable. A semiparametric method for estimating the dependence parameters of copulas was proposed by Genest, Ghoudi and Rivest (1995), in...
Persistent link: https://www.econbiz.de/10005063630
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Nonlinearity in the Term Structure
Kim, Dong Heon - Econometric Society - 2004
structure. The paper reports clear evidence of nonlinearity, in contrast to the affine term structure model and consistent with … does not capture the entire nature of the nonlinearity. The quadratic term structure model recently proposed performs … better for capturing the nonlinearity than the threshold model but the former model seems to miss some aspect of nonlinearity …
Persistent link: https://www.econbiz.de/10005342379
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Testing for Nonlinear Adjustment in Smooth Transition Vector Error Correction Models
Seo, Byeongseon - Econometric Society - 2004
transition function and proposed the variable addition tests as the tests of linearity against smooth transition nonlinearity …
Persistent link: https://www.econbiz.de/10005702758
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Stopping Tests in the Sequential Estimation for Multiple Structural Breaks
Urga, Giovanni; Peretti, Christian de - Econometric Society - 2004
In this paper, we propose the use of bootstrapping methods to obtain correct critical values for dating breaks. Following the procedure proposed in Banerjee, Lazarova and Urga (1998), we consider the case of estimating a system with two or more marginal processes and a conditional process....
Persistent link: https://www.econbiz.de/10005328868
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Endogeneity in Nonlinear Regressions with Integrated Time Series
Park, Joon Y.; Chang, Yoosoon - Econometric Society - 2004
This paper considers the nonlinear regression with integrated regressors that are contemporaneously correlated with the regression error. We, in particular, establish the consistency and derive the limiting distribution of the nonlinear least squares estimator under such endogeneity for the...
Persistent link: https://www.econbiz.de/10005329022
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Some Results on the Asymptotic Normality of k-Class Estimators in the Case of Many Weak Instruments
Swanson, Norman R.; Chao, John C. - Econometric Society - 2004
This paper analyzes conditions under which various k-class estimators are asymptotically normal in a simultaneous equations framework with many weak instruments. In particular, our paper extends the many instruments asymptotic normality results obtained by Morimune (1983), Bekker (1994), Angrist...
Persistent link: https://www.econbiz.de/10005329031
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Wavelet transform for regression estimation of non-stationary fractional time series
Lee, Jin - Econometric Society - 2004
We consider a semiparametric log periodogram regression estimation of memory parameter $d$ for non-stationary fractional time series using wavelet transformation. We propose wavelet-based log periodogram regression estimator, and obtain the asymptotic mean squared error, consistency and...
Persistent link: https://www.econbiz.de/10005342229
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A Dynamic Stochastic Ananlysis of International Patent Application and Renewal Processes
Deng, Yi - Econometric Society - 2004
This paper develops a dynamic stochastic model to examine the joint patent application and renewal behavior under an international patent protection regime. This framework makes it possible to utilize both the cross-sectional (multi-country filing) and the time-series (patent renewal) dimensions...
Persistent link: https://www.econbiz.de/10005342234