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Semiparametric robust estimation of truncated and censored regression models
Čížek, Pavel - In: Journal of Econometrics 168 (2012) 2, pp. 347-366
semiparametric general trimmed estimator (GTE) of truncated and censored regression, which is highly robust but relatively imprecise …
Persistent link: https://www.econbiz.de/10011052333
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Quasi-maximum likelihood estimation for long memory stock transaction data - under conditional heteroskedasticity framework
Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; Khan, … - In: Journal of risk and financial management : JRFM 12 (2019) 2/74, pp. 1-13
distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that …
Persistent link: https://www.econbiz.de/10012022130
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On The Relation Between Heteroscedastic RCA And Non-Stationary ARCH Processes
Janečková, Hana - In: Bulletin of the Czech Econometric Society 9 (2002)
In the paper a non-stationary ARCH model is defined and its relation with a heteroscedastic RCA model is presented. Further, estimation of unknown parameters in a non-stationary ARCH(l) is described under a special seasonal behaviour of time varying parameters. This procedure is compared with...
Persistent link: https://www.econbiz.de/10008473447
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Efficient estimation in heteroscedastic varying coefficient models
Wei, Chuanhua; Wan, Lijie - In: Econometrics : open access journal 3 (2015) 3, pp. 525-531
This paper considers statistical inference for the heteroscedastic varying coefficient model. We propose an efficient estimator for coefficient functions that is more efficient than the conventional local-linear estimator. We establish asymptotic normality for the proposed estimator and conduct...
Persistent link: https://www.econbiz.de/10011297551
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Efficient estimation in heteroscedastic varying coefficient models
Wei, Chuanhua; Wan, Lijie - In: Econometrics 3 (2015) 3, pp. 525-531
This paper considers statistical inference for the heteroscedastic varying coefficient model. We propose an efficient estimator for coefficient functions that is more efficient than the conventional local-linear estimator. We establish asymptotic normality for the proposed estimator and conduct...
Persistent link: https://www.econbiz.de/10011755291
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Using Bootstrap In Some Volatility Models
Prášková, Zuzana - In: Bulletin of the Czech Econometric Society 7 (2000)
heteroscedasticity for daily returns are studied. Volatility of monthly relative changes computed as a product of daily changes is …
Persistent link: https://www.econbiz.de/10008528874
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Estimation of a heteroscedastic binary choice model with an endogenous dummy regressor
Zhang, Zhengyu; He, Xiaobo - In: Economics Letters 117 (2012) 3, pp. 753-757
Estimating binary choice models with endogeneity is of considerable importance in microeconometrics. The leading control function approach does not apply when the endogenous variable is binary. We propose a multi-stage estimation procedure for a heteroscedastic binary choice model with an...
Persistent link: https://www.econbiz.de/10010594158
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On Multivariate Methods in Robust Econometrics
Kalina, Jan - In: Prague Economic Papers 2012 (2012) 1, pp. 69-82
estimation mainly for the context of heteroscedasticity or high dimension, which are up-to-date topics of current econometrics …. We describe a modification of linear regression resistant to heteroscedasticity and study its computational aspects. For … a robust version of the instrumental variables estimator we propose an asymptotic test of heteroscedasticity. Further we …
Persistent link: https://www.econbiz.de/10011195573
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Identification, data combination, and the risk of disclosure
Komarova, Tatiana; Nekipelov, Denis N.; Yakovlev, Evgeny - In: Quantitative Economics 9 (2018) 1, pp. 395-440
of interest. We also note that the data combination procedure is essential in a semiparametric setting such as ours …
Persistent link: https://www.econbiz.de/10011995520
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Information structure and statistical information in discrete response models
Khan, Shakeeb; Nekipelov, Denis N. - In: Quantitative Economics 9 (2018) 2, pp. 995-1017
Strategic interaction parameters characterize the impact of actions of one economic agent on the payoff of another economic agent, and are of great interest in both theoretical and empirical work. In this paper, by considering econometric models involving simultaneous discrete systems of...
Persistent link: https://www.econbiz.de/10012215350