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Estimation and testing of dynamic models with generalised hyperbolic innovations

Mencia, Javier F.; Sentana, Enrique - London School of Economics (LSE) - 2004

We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We provide a standardised version of this distribution, obtain analytical expressions for the log-likelihood score, and explain how...

Persistent link: https://www.econbiz.de/10010884659

Maximum Likelihood in the Frequency Domain: a Time to Build Example.

Christiano, L.J.; Vigfusson, R.J. - London School of Economics (LSE) - 1999

A well known result is that the Gaussian log-likelihood can be expressed as the sum over different frequency components. This implies that the likelihood ratio statistic has a similar linear decomposition. We exploit these observations to devise diagnostic methods that are useful for...

Persistent link: https://www.econbiz.de/10005207535

Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates

Chen, Xiaohong; Fan, Yanqin; Patton, Andrew J. - London School of Economics (LSE) - 2004

Evidence that asset returns are more highly correlated during volatile markets and during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some researchers to propose alternative models of dependence. In this paper we develop two simple goodness-of-fit tests for...

Persistent link: https://www.econbiz.de/10010746302

Estimating US fiscal and monetary interactions in a time varying VAR

Gerba, Eddie; Hauzenberger, Klemens - London School of Economics (LSE) - 2013

We contribute to the growing empirical literature on monetary and fiscal interactions by applying a sign restriction identification scheme to a structural TVP-VAR in order to disentangle and evaluate the policy shocks and policy transmissions. This in turn allows us to study the Great Recession...

Persistent link: https://www.econbiz.de/10011125926

Estimating US fiscal and monetary interactions in a time varying VAR

Gerba, Eddie; Hauzenberger, Klemens - London School of Economics (LSE) - 2014

Persistent link: https://www.econbiz.de/10011126653

Parametric estimation of medical care costs under conditions of censoring

Raikou, Maria; McGuire, Alistair - London School of Economics (LSE) - 2009

This paper is concerned with a set of parametric estimators that attempt to provide consistent estimates of average medical care costs under conditions of censoring. The main finding is that incorporation of the inverse of the probability of an individual not being censored in the estimating...

Persistent link: https://www.econbiz.de/10010745681

A method of moments estimator for semiparametric index models

Donkers, Bas; Schafgans, Marcia M. A. - London School of Economics (LSE) - 2005

We propose an easy to use derivative based two-step estimation procedure for semi-parametric index models. In the first step various functionals involving the derivatives of the unknown function are estimated using nonparametric kernel estimators. The functionals used provide moment conditions...

Persistent link: https://www.econbiz.de/10010884702

Semi-parametric indirect inference

Dridi, Ramdan; Renault, Eric - London School of Economics (LSE) - 2000

We develop in this paper a generalization of the Indirect Inference (II) to semi-parametric settings and termed Semi-parametric Indirect Inference (SII). We introduce a new notion of Partial Encompassing which lays the emphasis on Pseudo True Values of Interest. The main difference with the...

Persistent link: https://www.econbiz.de/10010928755

Simulated asymptotic least squares theory

Dridi, Ramdan - London School of Economics (LSE) - 2000

We develop in this paper a general econometric methodology referred to as the Simulated Asymptotic Least Squares (SALS … of Moments (EMM). We produce a new notion of Efficiency Bounds in Direction and provide a general study of the efficiency …. This new weighting matrix does no longer correspond, in the general case, to the classical one as characterised by Hansen …

Persistent link: https://www.econbiz.de/10010744799

Banking stability measures

Segoviano, Miguel A.; Goodhart, Charles - London School of Economics (LSE) - 2009

The recent crisis underlined that proper estimation of distress-dependence amongst banks in a global system is essential for financial stability assessment. We present a set of banking stability measures embedding banks’ linear (correlation) and nonlinear distress-dependence, and their changes...

Persistent link: https://www.econbiz.de/10010744840