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Regression Based Estimation of Dynamic Asset Pricing Models

Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - C.E.P.R. Discussion Papers - 2015

We propose regression based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...

Persistent link: https://www.econbiz.de/10011186634

Technology and the Changing Family: A Unified Model of Marriage, Divorce, Educational Attainment and Married Female Labor-Force Participation

Greenwood, Jeremy; Guner, Nezih; Kocharkov, Georgi; … - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2012

Marriage has declined since 1960, with the drop being bigger for non-college educated individuals versus college educated ones. Divorce has increased, more so for the non-college educated vis-à-vis the college educated. Additionally, assortative mating has risen; i.e., people are more likely to...

Persistent link: https://www.econbiz.de/10011070868

Fourier--type estimation of the power garch model with stable--paretian innovations

Francq, Christian; Meintanis, Simos - Volkswirtschaftliche Fakultät, … - 2012

We consider estimation for general power GARCH models under stable--Paretian innovations. Exploiting the simple structure of the conditional characteristic function of the observations driven by these models we propose minimum distance estimation based on the empirical characteristic function of...

Persistent link: https://www.econbiz.de/10011113582

Goodnes-of-fit tests for location and scale families based on a weighted L<Subscript>2</Subscript>-Wasserstein distance measure

Wet, T. - In: TEST: An Official Journal of the Spanish Society of … 11 (2002) 1, pp. 89-107

Persistent link: https://www.econbiz.de/10005390581

Dependence and the dimensionality reduction principle

Yatracos, Yannis - In: Annals of the Institute of Statistical Mathematics 56 (2004) 2, pp. 265-277

Persistent link: https://www.econbiz.de/10005395675

Minimum distance regression-type estimates with rates under weak dependence

Roussas, George; Yatracos, Yannis - In: Annals of the Institute of Statistical Mathematics 48 (1996) 2, pp. 267-281

Persistent link: https://www.econbiz.de/10005395705

Conditional moment models under semi-strong identification

Antoine, Bertille; Lavergne, Pascal - In: Journal of Econometrics 182 (2014) 1, pp. 59-69

We consider conditional moment models under semi-strong identification. Identification strength is directly defined through the conditional moments that flatten as the sample size increases. Our new minimum distance estimator is consistent, asymptotically normal, robust to semi-strong...

Persistent link: https://www.econbiz.de/10010785287

Has Monetary Policy Become More Effective?

Boivin, Jean; Giannoni, Marc - C.E.P.R. Discussion Papers - 2006

We investigate the implications of changes in the structure of the US economy for monetary policy effectiveness. Estimating a VAR over the pre- and post-1980 periods, we provide evidence of a reduced effect of monetary policy shocks in the latter period. We estimate a structural model that...

Persistent link: https://www.econbiz.de/10005666463

Optimal asymptotic least squares estimation in a singular set-up

Diez de los Rios, Antonio - In: Economics Letters 128 (2015) C, pp. 83-86

In this note, I extend the optimal asymptotic least squares estimation framework to deal with singularities in the asymptotic covariance of the distance function. Further, the relationship between the asymptotic least squares and maximum likelihood estimation frameworks in such a singular set-up...

Persistent link: https://www.econbiz.de/10011208454

A Test of the Martingale Hypothesis

Park, Joon Y.; Whang, Yoon-Jae - In: Studies in Nonlinear Dynamics & Econometrics 9 (2005) 2

is a martingale process against certain non-martingale alternatives. The class of alternative processes against which our … test has power is very general and it encompasses many nonlinear non-martingale processes which may not be detected using … generalized Kolmogorov-Smirnov test and the other is a Cramer-von Mises type test. For the processes that are first …

Persistent link: https://www.econbiz.de/10014620893