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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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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
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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
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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
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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
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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
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Refining the Distribution of GARCH Models : Application to Stock Indexes Returns
BenSaïda, Ahmed - 2009
GARCH models have been extensively used in risk modeling under the normal distribution. Although they generate highly significant coefficient estimates, these models are known to have poor forecasting power. It is therefore interesting to develop a different approach of risk modeling to improve...
Persistent link: https://www.econbiz.de/10012721359
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Central Limit Theorems When Data Are Dependent : Addressing the Pedagogical Gaps
Crack, Timothy Falcon - 2009
Although dependence in financial data is pervasive, standard doctoral-level econometrics texts do not make clear that the common central limit theorems (CLTs) contained therein fail when applied to dependent data. More advanced books that are clear in their CLT assumptions do not contain any...
Persistent link: https://www.econbiz.de/10012721896
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Efficient Tests of Stock Return Predictability
Campbell, John Y. - 2009
Conventional tests of the predictability of stock returns could be invalid, that is reject the null too frequently, when the predictor variable is persistent and its innovations are highly correlated with returns. We develop a pretest to determine whether the conventional t-test leads to invalid...
Persistent link: https://www.econbiz.de/10012722058
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The Impact of Trading-Restricted, Business Days and Trading, Non-Business Days on Australian Small-Cap, Large-Cap and Market Returns
Mistry, Mitesh - 2008
This paper comprises an empirical analysis of trading-restricted, business days and trading, non-business days on the Australian Stock Exchange (ASX). Trading-restricted, business days refer to days where trading hours are shorter but business activity (including settlement) is normal; trading,...
Persistent link: https://www.econbiz.de/10012722770