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Local GMM Estimation of Time Series Models with Conditional Moment Restrictions

Gospodinov, Nikolay; Otsu, Taisuke - Department of Economics, Concordia University - 2008

This paper investigates statistical properties of the local GMM (LGMM) estimator for some time series models defined by conditional moment restrictions. First, we consider Markov processes with possible conditional heteroskedasticity of unknown form and establish the consistency, asymptotic...

Persistent link: https://www.econbiz.de/10004968092

A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter

Andrews, Donald W. K.; Guggenberger, Patrik - In: The Review of Economics and Statistics 96 (2014) 2, pp. 376-381

This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of a general form and AR parameters that are less than or equal to unity. The CI is a modification of Mikusheva's (2007a) modification of...

Persistent link: https://www.econbiz.de/10011009896

Modelling changes in the unconditional variance of long stock return series

Amado, Cristina; Teräsvirta, Timo - In: Journal of Empirical Finance 25 (2014) C, pp. 15-35

In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very … long daily return series. For this purpose we assume that volatility is multiplicatively decomposed into a conditional and … the unconditional variance. Second, the results show that the apparent long memory property in volatility may be …

Persistent link: https://www.econbiz.de/10011042123

Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market

Long, Ling; Tsui, Albert K.; Zhang, Zhaoyong - In: Economic Modelling 37 (2014) C, pp. 89-102

In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the...

Persistent link: https://www.econbiz.de/10011048914

Local GMM estimation of time series models with conditional moment restrictions

Gospodinov, Nikolay; Otsu, Taisuke - In: Journal of Econometrics 170 (2012) 2, pp. 476-490

This paper investigates statistical properties of the local generalized method of moments (LGMM) estimator for some time series models defined by conditional moment restrictions. First, we consider Markov processes with possible conditional heteroskedasticity of unknown forms and establish the...

Persistent link: https://www.econbiz.de/10010594972

Modelling volatility by variance decomposition

Amado, Cristina; Teräsvirta, Timo - In: Journal of Econometrics 175 (2013) 2, pp. 142-153

In this paper, we propose two parametric alternatives to the standard GJR-GARCH model of Glosten et al. (1993), based on additive and multiplicative decompositions of the variance. They allow the variance of the model to have a smooth time-varying structure. The suggested parameterizations...

Persistent link: https://www.econbiz.de/10011052196

Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE

Francq, Christian; Lepage, Guillaume; Zakoïan, Jean-Michel - In: Journal of Econometrics 165 (2011) 2, pp. 246-257

In generalized autoregressive conditional heteroskedastic (GARCH) models, the standard identifiability assumption that the variance of the iid process is equal to 1 can be replaced by an alternative moment assumption. We show that, for estimating the original specification based on the standard...

Persistent link: https://www.econbiz.de/10011052290

Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity

Andrews, Donald W.K.; Guggenberger, Patrik - In: Journal of Econometrics 169 (2012) 2, pp. 196-210

We consider a first-order autoregressive model with conditionally heteroskedastic innovations. The asymptotic distributions of least squares (LS), infeasible generalized least squares (GLS), and feasible GLS estimators and t statistics are determined. The GLS procedures allow for...

Persistent link: https://www.econbiz.de/10011052323

A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter

Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2011

This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of general form and AR parameters that are less than or equal to unity. The CI is a modification of Mikusheva's (2007a) modification of...

Persistent link: https://www.econbiz.de/10011184579

Residual-based rank specification tests for AR–GARCH type models

Andreou, Elena; Werker, Bas J.M. - In: Journal of Econometrics 185 (2015) 2, pp. 305-331

This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR–GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual autocorrelation, residual symmetry, and no structural breaks. We...

Persistent link: https://www.econbiz.de/10011190707