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The Half-Half (HH) plot is a new graphical method to investigate qualitatively the shape of a regression curve. The empirical HH-plot counts observations in the lower and upper quarter of a strip that moves horizontally over the scatter plot. The plot displays jumps clearly and reveals further...
Persistent link: https://www.econbiz.de/10013155990
/nonstationarity possessed by each covariate. We establish pointwise asymptotic distribution theory jointly for all estimators of unknown … different kinds of regressors, we can separate out the distribution theory for each estimator. We provide Monte Carlo …
Persistent link: https://www.econbiz.de/10011775349
In this work we focus on the application of wavelet-based methods in volatility modeling. We introduce a new, wavelet-based estimator (wavelet Whittle estimator) of a FIEGARCH model, ARCH-family model capturing long-memory and asymmetry in volatility, and study its properties. Based on an...
Persistent link: https://www.econbiz.de/10010429915
text book theory predicts. Coefficients and/or t-ratios expand to extremely unrealistic levels as collinearity increases. I …
Persistent link: https://www.econbiz.de/10012848483
Textbook theory predicts that t-ratios decline towards zero in regressions when there is collinearity between two …
Persistent link: https://www.econbiz.de/10013308808
This paper characterizes the impact of serial dependence on the non-asymptotic estimation error bound of penalized regressions (PRs). Focusing on the direct relationship between the degree of cross-correlation of covariates and the estimation error bound of PRs, we show that orthogonal or weakly...
Persistent link: https://www.econbiz.de/10013336165
Bandwidth plays an important role in determining the performance of local linear estimators. In this paper, we propose a Bayesian approach to bandwidth selection for local linear estimation of time-varying coefficient time series models, where the errors are assumed to follow the Gaussian kernel...
Persistent link: https://www.econbiz.de/10013086871
Confidence intervals in econometric time series regressions suffer from notorious coverage problems. This is especially true when the dependence in the data is noticeable and sample sizes are small to moderate, as is often the case in empirical studies. This paper suggests using the studentized...
Persistent link: https://www.econbiz.de/10014086930
We show that the presence of short-term overreaction in a stock price could make estimates of the conditional moments of stock returns be strongly affected by the frequency of time series. This conclusion implies that the other measures of stock returns, such as the conditional Sharpe ratio, its...
Persistent link: https://www.econbiz.de/10012869043
I introduce the time-varying GARCH-in-mean (TVGARCH-in-mean) model and propose an estimation strategy for the stochastic time-varying risk premium parameter. A Monte Carlo study shows that the proposed algorithm has good finite sample properties. Using monthly excess returns on the CRSP index, I...
Persistent link: https://www.econbiz.de/10012957847