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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

Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model

Todd, Prono - Volkswirtschaftliche Fakultät, … - 2010

Efficient GMM estimation of the semi-strong GARCH(1,1) model requires simultaneous estimation of the conditional third … and fourth moments. This paper proposes a simple alternative to efficient GMM based upon the unconditional skewness of … instruments. Sequential estimation involves TSLS in a first step followed by linear GMM. Simultaneous estimation involves either …

Persistent link: https://www.econbiz.de/10008543477

Evaluation and Combination of Conditional Quantile Forecasts

Giacomini, Raffaella; Komunjer, Ivana - Department of Economics, Boston College - 2003

nested and non-nested models. The test is also relatively easy to implement using standard GMM techniques. An empirical …

Persistent link: https://www.econbiz.de/10004968797

Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix

Lee, Wei-Ming; Kuan, Chung-Ming; Hsu, Yu-Chin - Institute of Economics, Academia Sinica - 2014

necessarily optimal, GMM estimator. It is also shown that the asymptotic local power of these tests is invariant with respect to … the choice of the weighting matrix for preliminary GMM estimator. Our simulations demonstrate that the proposed tests are …

Persistent link: https://www.econbiz.de/10010739165

Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix

Lee, Wei-Ming; Kuan, Chung-Ming; Hsu, Yu-Chin - In: Journal of Econometrics 181 (2014) 2, pp. 181-193

consistent, but not necessarily optimal, GMM estimator. Our simulations demonstrate that these tests are properly sized and may …

Persistent link: https://www.econbiz.de/10010785290

Z-Estimators and Auxiliary Information under Weak Dependence

Crudu, F. - Centro Ricerche Nord Sud (CRENoS) - 2010

In this paper we introduce a weighted Z-estimator for moment condition models in the presence of auxiliary information on the unknown distribution of the data under the assumption of weak dependence. The resulting weighted estimator is shown to be consistent and asymptotically normal. Its small...

Persistent link: https://www.econbiz.de/10008727714

Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model

Bec, Frederique; Salem, Melika Ben; Carrasco, Marine - University of Rochester - Center for Economic Research … - 2004

Recent Studies on general equilibrium models with transaction costs show that the dynamics of the real exchange rate are necessarily nonlinear. Our contribution to the literature on nonlinear price adjustment mechanisms is threefold. First, we model the real exchange rates by a Multi-Regime...

Persistent link: https://www.econbiz.de/10005504004

Modeling Stock Volatility with Trading Information

Li, Huirong; Yang, Jian - University of Western Ontario, Department of Economics - 1999

This paper studies volatility in individual stocks of the Toronto Stock Exchange (TSE), using a recently developed nonlinear approach, a stochastic threshold model. Trading information is embedded into the determination process for volatility in the stochastic threshold model with a generalized...

Persistent link: https://www.econbiz.de/10005515480

Stochastic Threshold Models on Interest Rate

Li, Huirong; Yang, Jian - University of Western Ontario, Department of Economics - 1998

Threshold models have been found useful in modeling nonlinearities in many financial time series. In this framework, the financial variable of interest evolves according to different dynamics, which is solely determined by the threshold regimes that the observed indicator variable falls into....

Persistent link: https://www.econbiz.de/10005515533

Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity

Gospodinov, Nikolay - Society for Computational Economics - SCE - 2001

Many economic time series are charecterized by high persistence which typically requires nonstandard limit theory for inference. This paper proposes a new method for constructing confidence intervals for the impulse response functions of nearly nonstationary processes. The method is based on...

Persistent link: https://www.econbiz.de/10005537771