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Valid Asymptotic Expansions for the Maximum Likelihood Estimator of the Parameter of a Stationary, Gaussian, Strongly Dependent Process
Lieberman, Offer; Rousseau, Judith; Zucker, David M. - Cowles Foundation for Research in Economics, Yale University - 2002
We establish the validity of an Edgeworth expansion to the distribution of the maximum likelihood estimator of the parameter of a stationary, Gaussian, strongly dependent process. The result covers ARFIMA type models, including fractional Gaussian noise. The method of proof consists of three...
Persistent link: https://www.econbiz.de/10005087373
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Cross-section Regression with Common Shocks
Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 2003
given for consistency. The asymptotic distributions of the estimators are found to be mixed normal after re-centering and …, respectively, under the null hypothesis when the conditions required for consistency of the parameter under test hold. But, the … considered. Using the general results, conditions are determined under which consistency of the LS and IV estimators holds and …
Persistent link: https://www.econbiz.de/10005762510
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Penalised Maximum Likelihood Estimation for Fractional Guassian Processes
Lieberman, Offer - Cowles Foundation for Research in Economics, Yale University - 2001
We apply and extend Firth's (1993) modified score estimator to deal with a class of stationary Gaussian long-memory processes. Our estimator removes the first order bias of the maximum likelihood estimator. A small simulation study reveals the reduction in the bias is considerable, while it does...
Persistent link: https://www.econbiz.de/10005593251
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Valid Edgeworth Expansions for the Whittle Maximum Likelihood Estimator for Stationary Long-memory Gaussian Time Series
Andrews, Donald W.K.; Lieberman, Offer - Cowles Foundation for Research in Economics, Yale University - 2002
In this paper, we prove the validity of an Edgeworth expansion to the distribution of the Whittle maximum likelihood estimator for stationary long-memory Gaussian models with unknown parameter theta in Theta subset R^{d_{theta}} . The error of the (s-2)-order expansion is shown to be...
Persistent link: https://www.econbiz.de/10005593482
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Local Polynomial Whittle Estimation of Long-range Dependence
Andrews, Donald W.K.; Sun, Yixiao - Cowles Foundation for Research in Economics, Yale University - 2001
The local Whittle (or Gaussian semiparametric) estimator of long range dependence, proposed by Kunsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this paper, we generalize the local Whittle estimator to...
Persistent link: https://www.econbiz.de/10005087380
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A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2000
The widely used log-periodogram regression estimator of the long-memory parameter d proposed by Geweke and Porter-Hudak (1983) (GPH) has been criticized because of its finite-sample bias, see Agiakloglou, Newbold, and Wohar (1993). In this paper, we propose a simple bias-reduced log-periodogram...
Persistent link: https://www.econbiz.de/10005087383
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Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
Andrews, Donald W.K.; Sun, Yixiao - Cowles Foundation for Research in Economics, Yale University - 2002
The local Whittle (or Gaussian semiparametric) estimator of long range dependence, proposed by Kunsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this paper, we generalize the local Whittle estimator to...
Persistent link: https://www.econbiz.de/10004990777
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Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes
Sun, Yixiao; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2002
This paper studies fractional processes that may be perturbed by weakly dependent time series. The model for a perturbed fractional process has a components framework in which there may be components of both long and short memory. All commonly used estimates of the long memory parameter (such as...
Persistent link: https://www.econbiz.de/10005593344
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Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review
Chen, Xiaohong - Cowles Foundation for Research in Economics, Yale University - 2011
advances on inference and large sample properties of the PSE estimators, which include (1) consistency and convergence rates of …, semiparametric GARCH, and copula-based multivariate financial models are used to illustrate the general results. …
Persistent link: https://www.econbiz.de/10009024410
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Inference on Optimal Treatment Assignments
Armstrong, Timothy B.; Shen, Shu - Cowles Foundation for Research in Economics, Yale University - 2013
We consider inference on optimal treatment assignments. Our methods allow for inference on the treatment assignment rule that would be optimal given knowledge of the population treatment effect in a general setting. The procedure uses multiple hypothesis testing methods to determine a subset of...
Persistent link: https://www.econbiz.de/10011249364