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Semiparametric inference in a GARCH-in-mean model
Christensen, Bent Jesper; Dahl, Christian M.; Iglesias, … - In: Journal of Econometrics 167 (2012) 2, pp. 458-472
A new semiparametric estimator for an empirical asset pricing model with general nonparametric risk-return tradeoff and … efficient, i.e., it achieves the semiparametric lower bound. A sampling experiment provides finite sample comparisons with the … parametric approach and the iterative semiparametric approach with parametric initial estimate of Conrad and Mammen (2008). An …
Persistent link: https://www.econbiz.de/10010574076
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Testing cointegration relationship in a semiparametric varying coefficient model
Gu, Jingping; Liang, Zhongwen - In: Journal of Econometrics 178 (2014) P1, pp. 57-70
In this paper, we develop two cointegration tests for two varying coefficient cointegration regression models, respectively. Our test statistics are residual based. We derive the asymptotic distributions of test statistics under the null hypothesis of cointegration and show that they are...
Persistent link: https://www.econbiz.de/10011052207
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Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
Hou, Jie; Perron, Pierre - In: Journal of Econometrics 182 (2014) 2, pp. 309-328
estimator provides substantial efficiency gains compared to existing semiparametric estimators in the presence of contaminations …
Persistent link: https://www.econbiz.de/10010906797
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Estimation of semiparametric locally stationary diffusion models
Koo, Bonsoo; Linton, Oliver - In: Journal of Econometrics 170 (2012) 1, pp. 210-233
drift and a volatility coefficient that is allowed to vary over time and space. The model is semiparametric because we allow …
Persistent link: https://www.econbiz.de/10010664686
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Partial parametric estimation for nonstationary nonlinear regressions
Kim, Chang Sik; Kim, In-Moo - In: Journal of Econometrics 167 (2012) 2, pp. 448-457
This paper proposes an estimation method for a partial parametric model with multiple integrated time series. Our estimation procedure is based on the decomposition of the nonparametric part of the regression function into homogeneous and integrable components. It consists of two steps: In the...
Persistent link: https://www.econbiz.de/10010574087
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Testing for non-nested conditional moment restrictions using unconditional empirical likelihood
Otsu, Taisuke; Seo, Myung Hwan; Whang, Yoon-Jae - In: Journal of Econometrics 167 (2012) 2, pp. 370-382
We propose non-nested hypothesis tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional...
Persistent link: https://www.econbiz.de/10011052221
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Model specification test with correlated but not cointegrated variables
Gan, Li; Hsiao, Cheng; Xu, Shu - In: Journal of Econometrics 178 (2014) P1, pp. 80-85
cointegrated. Recently,  Sun et al. (2011) propose using a semiparametric varying coefficient approach to capture correlations … the semiparametric functional form, consistent estimation of such a semiparametric model requires stronger conditions than … usually needed for consistent estimation for a linear (spurious) regression model, or a semiparametric varying coefficient …
Persistent link: https://www.econbiz.de/10011052319
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Control variate method for stationary processes
Amano, Tomoyuki; Taniguchi, Masanobu - In: Journal of Econometrics 165 (2011) 1, pp. 20-29
The sample mean is one of the most natural estimators of the population mean based on independent identically distributed sample. However, if some control variate is available, it is known that the control variate method reduces the variance of the sample mean. The control variate method often...
Persistent link: https://www.econbiz.de/10011052330
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Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi - In: Journal of Econometrics 172 (2013) 2, pp. 307-324
We provide a new framework for estimating the systematic and idiosyncratic jump tail risks in financial asset prices. Our estimates are based on in-fill asymptotics for directly identifying the jumps, together with Extreme Value Theory (EVT) approximations and methods-of-moments for assessing...
Persistent link: https://www.econbiz.de/10011052337
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Time-varying jump tails
Bollerslev, Tim; Todorov, Viktor - In: Journal of Econometrics 183 (2014) 2, pp. 168-180
We develop new methods for the estimation of time-varying risk-neutral jump tails in asset returns. In contrast to existing procedures based on tightly parameterized models, our approach imposes much fewer structural assumptions, relying on extreme-value theory approximations together with...
Persistent link: https://www.econbiz.de/10011077613