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Chen, Linda H. - 2018

In this paper, we show that conditions derived under the CAPM ensure only weak exogeneity in a linear regression setting. Since strong exogeneity is not guaranteed, the OLS estimator of CAPM beta is only consistent but not necessarily unbiased. We provide empirical evidence that individual daily...

Persistent link: https://www.econbiz.de/10012935615

A Penalty Function Approach to Bias Reduction in Non-Linear Panel Models with Fixed Effects

Bester, Alan; Hansen, Christian Bailey - 2005

nonlinearity of the problem. We present a penalty for the objective function that reduces the bias in the resulting point estimates … practice. The form of the penalty also provides interesting intuition into how the bias reduction is working. We present … simulation results that suggest that the penalized optimization approach may substantially reduce the bias in nonlinear fixed …

Persistent link: https://www.econbiz.de/10014027743

Estimating Multi-Equational Lqac Models with I(1) Variables : A VAR Approach

Fanelli, Luca - 1998

This paper extends the existing literature on linear quadratic adjustment cost (LQAC) models under rational expectations to the inferential issues arising when: (i) agents optimise with respect to a vector of endogenous variables; (ii) the behavioural equations stemming from the agent's...

Persistent link: https://www.econbiz.de/10014220876

Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...

Persistent link: https://www.econbiz.de/10014024953

Robust Estimation of Some Nonregular Parameters

Song, Kyungchul - 2010

This paper develops optimal estimation of a potentially non-differentiable functional Γβ of a regular parameter β, when Γ satisfies certain conditions. Primary examples are min or max functionals that frequently appear in the analysis of partially identified models. This paper investigates...

Persistent link: https://www.econbiz.de/10013142864

On a Principal Varying Coefficient Model

Jiang, Qian - 2012

We propose a novel varying coefficient model, called principal varying coefficient model (PVCM), by characterizing the varying coefficients through linear combinations of a few principal functions. Compared with the conventional varying coefficient model (VCM; Chen and Tsay, 1993; Hastie and...

Persistent link: https://www.econbiz.de/10013099854

Heteroscedastic Analysis in Nonlinear Modeling

Louangrath, Paul - 2013

In order to discuss nonlinear, it is necessary to know linear regressive as a priori. Without simple regression as the starting point, it would be difficult to understand nonlinear regression. In words, in order to understand the curve and the behavior of a curve, it is necessary to known a...

Persistent link: https://www.econbiz.de/10013076070

Estimating the DJI Series by Multifractional Brownian Motion

Park, Jungjun - 2020

This paper estimates the stock market and its price dynamics in terms of the multifractional Brownian motion. In our analysis, we use the financial dataset of the Dow Jones Industrial Average (DJI) time series from March 2009 to June 2015. First, we briefly introduce the definitions and...

Persistent link: https://www.econbiz.de/10012840307

Detecting Relevant Interactions in High Dimensional Data Analysis

So, Mike K. P. - 2014

In high dimensional data, relevant interactions can be difficult to identify due to the extremely large number of possible interactions among variables. Conventional methods use a screening stage to vastly reduce the dimension of the variable space before examining the interaction effect....

Persistent link: https://www.econbiz.de/10013045217

Valid Edgeworth Expansions for the Whittle Maximum Likelihood Estimator for Stationary Long-Memory Gaussian Time Series

Andrews, Donald W. K.; Lieberman, Offer - 2003

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/10014116712