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Regression Asymptotics Using Martingale Convergence Methods
Ibragimov, Rustam; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2004
relies on the fact that the econometric quantities of interest involve discrete time martingales or semimartingales and shows … how in the limit these quantities become continuous martingales and semimartingales. The limit theory itself uses very … general convergence results for semimartingales that were obtained in work by Jacod and Shiryaev (2003). The theory that is …
Persistent link: https://www.econbiz.de/10004990794
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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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Asymptotic Theory for Multivariate GARCH Processes
Comte, F.; Lieberman, Offer - Cowles Foundation for Research in Economics, Yale University - 2001
We provide in this paper asymptotic theory for the multivariate GARCH (p,q) process. Strong consistency of the quasi-maximum likelihood estimator (MLE) is established by appealing to conditions given in Jeantheau [19] in conjunction with a result given by Boussama [9] concerning the existence of...
Persistent link: https://www.econbiz.de/10005087376
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Cross-section Regression with Common Shocks
Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 2003
This paper considers regression models for cross-section data that exhibit cross-section dependence due to common shocks, such as macroeconomic shocks. The paper analyzes the properties of least squares (LS) and instrumental variables (IV) estimators in this context. The results of the paper...
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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On the Choice of Test Statistic for Conditional Moment Inequalities
Armstrong, Timothy B. - Cowles Foundation for Research in Economics, Yale University - 2014
This paper derives asymptotic power functions for Cramer-von Mises (CvM) style tests for conditional moment inequality models in the set identified case. Combined with power results for Kolmogorov-Smirnov (KS) tests, these results can be used to choose the optimal test statistic, weighting...
Persistent link: https://www.econbiz.de/10011240392
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Optimal Sup-norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation
Chen, Xiaohong; Christensen, Timothy - Cowles Foundation for Research in Economics, Yale University - 2013
This paper makes several contributions to the literature on the important yet difficult problem of estimating functions nonparametrically using instrumental variables. First, we derive the minimax optimal sup-norm convergence rates for nonparametric instrumental variables (NPIV) estimation of...
Persistent link: https://www.econbiz.de/10011213862
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Tests of Independence in Separable Econometric Models: Theory and Application
Brown, Donald J.; Deb, Rahul; Wegkamp, Marten H. - Cowles Foundation for Research in Economics, Yale University - 2003
A common stochastic restriction in econometric models separable in the latent variables is the assumption of stochastic independence between the unobserved and observed exogenous variables. Both simple and composite tests of this assumption are derived from properties of independence empirical...
Persistent link: https://www.econbiz.de/10005087362
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Tests of Independence in Separable Econometric Models
Brown, Donald J.; Wegkamp, Marten H. - Cowles Foundation for Research in Economics, Yale University - 2003
A common stochastic restriction in econometric models separable in the latent variables is the assumption of stochastic independence between the unobserved and observed exogenous variables. Both simple and composite tests of this assumption are derived from properties of independence empirical...
Persistent link: https://www.econbiz.de/10005087367