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EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments
Sluis, Pieter J. van der - 1998
Econometric estimation using simulation techniques, such as the efficient method of moments, may betime consuming. The …
Persistent link: https://www.econbiz.de/10010533201
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Memory parameter estimation in the presence of level shifts and deterministic trends
McCloskey, Adam; Perron, Pierre - 2012 - This version: July 30, 2012
We propose estimators of the memory parameter of a time series that are robust to a wide variety of random level shift processes, deterministic level shifts and deterministic time trends. The estimators are simple trimmed versions of the popular log-periodogram regression estimator that employ...
Persistent link: https://www.econbiz.de/10009660476
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Let's get LADE : robust estimation of semiparametric multiplicative volatility models
Koo, Bonsoo; Linton, Oliver - 2013
robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility … propose different robust estimation methods for nonstationary and strictly stationary GARCH parameters with nonparametric long … run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory …
Persistent link: https://www.econbiz.de/10009719116
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Optimal bandwidth selection for robust generalized method of moments estimation
Wilhelm, Daniel - 2014
A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and …
Persistent link: https://www.econbiz.de/10010336485
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Nonparametric regression estimation for multivariate null recurrent processes
Cai, Biqing; Tjostheim, Dag - In: Econometrics : open access journal 3 (2015) 2, pp. 265-288
This paper discusses nonparametric kernel regression with the regressor being a d-dimensional ß-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate p n(T)hd, where n(T) is the number of regenerations...
Persistent link: https://www.econbiz.de/10011297654
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Loch Linear Fitting Under Near Epoch Dependence : Uniform Consistency with Convergence Rate
Li, Degui - 2010
-based estimators are provided. Applications of our results to conditional variance function estimation and some economic time series …
Persistent link: https://www.econbiz.de/10013135542
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Data-Driven Bandwidth Selection for Nonparametric Nonstationary Regressions
Bandi, Federico M. - 2011
We provide a solution to the open problem of bandwidth selection for the nonparametric estimation of potentially non …
Persistent link: https://www.econbiz.de/10013123167
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Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends
McCloskey, Adam - 2012
We propose estimators of the memory parameter of a time series that are robust to a wide variety of random level shift processes, deterministic level shifts and deterministic time trends. The estimators are simple trimmed versions of the popular log-periodogram regression estimator that employ...
Persistent link: https://www.econbiz.de/10013098306
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Let's Get Lade : Robust Estimation of Semiparametric Multiplicative Volatility Models
Linton, Oliver B. - 2013
robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility … propose different robust estimation methods for nonstationary and strictly stationary GARCH parameters with nonparametric long … run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory …
Persistent link: https://www.econbiz.de/10013084890
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Let's Get LADE : Robust Estimation of Semiparametric Multiplicative Volatility Models
Koo, Bonsoo - 2013
robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility … propose different robust estimation methods for nonstationary and strictly stationary GARCH parameters with nonparametric long … run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory …
Persistent link: https://www.econbiz.de/10013090408