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A new class of large-sample covariance and spectral density matrix estimators is proposed based on the notion of flat-top kernels. The new estimators are shown to be higher-order accurate when higher-order accuracy is possible. A discussion on kernel choice is presented as well as a supporting...
Persistent link: https://www.econbiz.de/10010817536
The theory of conditional copulas provides a means of constructing flexible multivariate density models, allowing for time varying conditional densities of each individual variable, and for time-varying conditional dependence between the variables. Further, the use of copulas in constructing...
Persistent link: https://www.econbiz.de/10010817537
Persistent link: https://www.econbiz.de/10010817538
A striking implication of the replacement of adaptive expectations by Rational Expectations was the "Lucas Critique," which showed that expectation parameters, and endogenous variable dynamics, depend on policy parameters. We reconsider this issue from the vantage point of bounded rationality....
Persistent link: https://www.econbiz.de/10010817539
This paper develops and implements a GMM estimator for latent class models suitable for count data. The estimator uses conditional moment restrictions derived from standard count models. Both the efficient and consistent variants are considered. The implementation of optimal GMM based on...
Persistent link: https://www.econbiz.de/10010817540
In the presence of heteroscedasticity and autocorrelation of unknown forms, the covariance matrix of the parameter estimator is often estimated using a nonparametric kernel method that involves a lag truncation parameter. Depending on whether this lag truncation parameter is specified to grow at...
Persistent link: https://www.econbiz.de/10010817541
Retail gasoline prices are known to respond fairly slowly to wholesale price changes. This does not appear to be true for markets with Edgeworth price cycles. Recently, many retail gasoline markets in the midwestern U.S. and in other countries have been shown to exhibit price cycles, in which...
Persistent link: https://www.econbiz.de/10010817542
A recent literature in finance concerns a curious recurring feature of estimated pricing kernels. Classical theory dictates that the pricing kernel { defined loosely as the ratio of Arrow security prices to an objective probability measure { should be a decreasing function of aggregate...
Persistent link: https://www.econbiz.de/10010817543
This paper proposes a theoretical explanation to the common empirical results in which different tests for cointegration give different answers. Using local to unity parametrization I compute the analytical power of some tests for the null of no cointegration: The ADF test on the residuals of...
Persistent link: https://www.econbiz.de/10010817544
Persistent link: https://www.econbiz.de/10010817545