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Interval estimation of value-at-risk based on nonparametric models

Khraibani, Hussein; Nehme, Bilal; Strauss, Olivier - In: Econometrics 6 (2018) 4, pp. 1-30

Value-at-Risk (VaR) has become the most important benchmark for measuring risk in portfolios of different types of financial instruments. However, as reported by many authors, estimating VaR is subject to a high level of uncertainty. One of the sources of uncertainty stems from the dependence of...

Persistent link: https://www.econbiz.de/10011995231

Asymptotic distribution and finite sample bias correction of QML estimators for spatial error dependence model

Liu, Shew Fan; Yang, Zhenlin - In: Econometrics 3 (2015) 2, pp. 376-411

In studying the asymptotic and finite sample properties of quasi-maximum likelihood (QML) estimators for the spatial linear regression models, much attention has been paid to the spatial lag dependence (SLD) model; little has been given to its companion, the spatial error dependence (SED) model....

Persistent link: https://www.econbiz.de/10011755286

Higher order bias correcting moment equation for M-estimation and its higher order efficiency

Kim, Kyoo il - In: Econometrics 4 (2016) 4, pp. 1-19

This paper studies an alternative bias correction for the M-estimator, which is obtained by correcting the moment equations in the spirit of Firth (1993). In particular, this paper compares the stochastic expansions of the analytically-bias-corrected estimator and the alternative estimator and...

Persistent link: https://www.econbiz.de/10011755351

Second and Third Order Bias Reduction for One-Parameter Family Models

Ferrari, S.L.P.; Botter, D.A.; Cordeiro, G.M.; … - EconWPA - 1995

In this paper we derive second and third order bias-corrected maximum likelihood estimates in general uniparametric models. We compare the corrected estimates and the usual maximum likelihood estimate in terms of their mean squared errors. We also obtain closed-form expressions for...

Persistent link: https://www.econbiz.de/10005119184

A GMM-based test for normal disturbances of the Heckman sample selection model

Pfaffermayr, Michael - In: Econometrics 2 (2014) 4, pp. 151-168

this assumption. Following Meijer and Wansbeek (2007), the present contribution derives a GMM-based pseudo-score LM test on …

Persistent link: https://www.econbiz.de/10010421301

A fast algorithm for the computation of HAC covariance matrix estimators

Heberle, Jochen; Sattarhoff, Cristina - In: Econometrics 5 (2017) 1, pp. 1-16

This paper considers the algorithmic implementation of the heteroskedasticity and autocorrelation consistent (HAC) estimation problem for covariance matrices of parameter estimators. We introduce a new algorithm, mainly based on the fast Fourier transform, and show via computer simulation that...

Persistent link: https://www.econbiz.de/10011755358

Firm Level Investment in France and the United States: An Exploration of What We Have Learned in Twenty Years

Hall, Bronwyn H.; Mairesse, Jacques; Mulkay, Benoit; … - EconWPA - 1999

correction, traditional between- and within-firm estimation versus GMM estimation, the investment behavior of French firms versus …

Persistent link: https://www.econbiz.de/10005408002

A GMM-Based Test for Normal Disturbances of the Heckman Sample Selection Model

Pfaffermayr, Michael - In: Econometrics 2 (2014) 4, pp. 151-168

this assumption. Following Meijer and Wansbeek (2007), the present contribution derives a GMM-based pseudo-score LM test on …

Persistent link: https://www.econbiz.de/10011031444

GMM Estimation for Long Memory Latent Variable Volatility and Duration Models

Chen, Willa; Deo, Rohit - EconWPA - 2005

Method of Moments (GMM) estimation of short memory latent variable volatility models. We show that when the latent variable … resulting GMM estimators will thus not be ãn consistent. We then provide an alternative set of moment conditions that are ãn … consistent and asymptotically normal under long memory in the latent variable, thus allowing for ãn consistent GMM estimation. …

Persistent link: https://www.econbiz.de/10005556285

Inference on a Structural Parameter in Instrumental Variables Regression with Weak Instruments

Wang, Jiahui; Zivot, Eric - EconWPA - 1996

In this paper we consider the problem of making inference on a structural parameter in instrumental variables regression when the instruments are only weakly correlated with the endogenous explanatory variables. Adopting a local-to-zero assumption as in Staiger and Stock (1994) on the...

Persistent link: https://www.econbiz.de/10005556384