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When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models
Prono, Todd - Volkswirtschaftliche Fakultät, … - 2011
A new method is proposed for estimating linear triangular models, where identification results from the structural … errors following a bivariate and diagonal GARCH(1,1) process. The associated estimator is a GMM estimator shown to have the …
Persistent link: https://www.econbiz.de/10009322633
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GARCH-based identification of triangular systems with an application to the CAPM: Still living with the roll critique
Prono, Todd - 2007
This paper presents a new method for identifying triangular systems of time-series data. Identification is the product … of a bivariate GARCH process. Relative to the literature on GARCH-based identification, this method distinguishes itself …. Estimation follows OLS and standard univariate GARCH and ARMA techniques, or GMM. A Monte Carlo study of the GMM estimator is …
Persistent link: https://www.econbiz.de/10010280942
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Quality and its impact on efficiency
Daraio, Cinzia; Simar, Léopold; Wilson, Paul W. - 2019
The issue of quality and its relationship with efficiency and performance is a crucial operational issue in many fields of study including production economics, operations research, engineering and business management. In this paper we provide a methodology for identifying latent quality...
Persistent link: https://www.econbiz.de/10012060659
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Quality and its impact on efficiency
Daraio, Cinzia; Simar, Léopold; Wilson, Paul W. - 2019
The issue of quality and its relationship with efficiency and performance is a crucial operational issue in many fields of study including production economics, operations research, engineering and business management. In this paper we provide a methodology for identifying latent quality...
Persistent link: https://www.econbiz.de/10011986764
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Estimation of semiparametric locally stationary diffusion models
Koo, Bonsoo; Linton, Oliver - In: Journal of Econometrics 170 (2012) 1, pp. 210-233
This paper proposes a class of locally stationary diffusion processes. The model has a time varying but locally linear drift and a volatility coefficient that is allowed to vary over time and space. The model is semiparametric because we allow these functions to be unknown and the innovation...
Persistent link: https://www.econbiz.de/10010664686
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Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels
Gospodinov, Nikolay; Hirukawa, Masayuki - In: Journal of Empirical Finance 19 (2012) 4, pp. 595-609
This paper proposes an asymmetric kernel-based method for nonparametric estimation of scalar diffusion models of spot interest rates. We derive the asymptotic theory for the asymmetric kernel estimators of the drift and diffusion functions for general and positive recurrent processes and...
Persistent link: https://www.econbiz.de/10010942988
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Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels
Gospodinov, Nikolay; Hirukawa, Masayuki - Department of Economics, Concordia University - 2008
This paper proposes a nonparametric regression using asymmetric kernel functions for nonnegative, absolutely regular processes, and specializes this technique to estimating scalar diffusion models of spot interest rate. We illustrate the advantages of asymmetric kernel estimators for bias...
Persistent link: https://www.econbiz.de/10004968088
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Information Structure and Statistical Information in Discrete Response Models
Khan, Shakeeb; Nekipelov, Denis - Duke University, Department of Economics - 2011
Discrete response models are of high interest in economics and econometrics as they encompass treatment effects, social interaction and peer effect models, and discrete games. We study the impact of the structure of information sets of economic agents on the Fisher information of (strategic)...
Persistent link: https://www.econbiz.de/10009323368
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Averaging of moment condition estimators
Chen, Xiaohong; Jacho-Chavez, David T.; Linton, Oliver - Centre for Microdata Methods and Practice (CEMMAP) - 2012
We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of v n- consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied...
Persistent link: https://www.econbiz.de/10010575249
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An Alternative Way of ComputingEfficient Instrumental VariableEstimators
Chen, Xiaohong; Jacho-Chávez, David T.; Linton, Oliver - Suntory and Toyota International Centres for Economics … - 2009
A new way of constructing efficient semiparametric instrumental variableestimators is proposed. The method involves the combination of a large number ofpossibly inefficient estimators rather than combining the instruments into anoptimal instrument function. The consistency and asymptotic...
Persistent link: https://www.econbiz.de/10008838716