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Inferential results for a new measure of inequality

Davydov, Youri; Greselin, Francesca - In: The econometrics journal 22 (2019) 2, pp. 153-172

Persistent link: https://www.econbiz.de/10012166709

Least-squares estimation of GARCH(1,1) models with heavy-tailed errors

Preminger, Arie; Storti, Giuseppe - In: The econometrics journal 20 (2017) 2, pp. 221-258

Persistent link: https://www.econbiz.de/10011757387

Truncated sum-of-squares estimation of fractional time series models with generalized power law trend

Hualde, Javier; Nielsen, Morten Ørregaard - 2021

We consider truncated (or conditional) sum-of-squares estimation of a parametric fractional time series model with an … consistency (which is a prerequisite for proving asymptotic normality) is challenging due to non-uniform convergence of the … components. In contrast, we establish consistency and asymptotic normality of parameter estimates related to the stochastic …

Persistent link: https://www.econbiz.de/10012505331

Truncated sum of squares estimation of fractional time series models with deterministic trends

Hualde, Javier; Nielsen, Morten Ørregaard - 2020

Persistent link: https://www.econbiz.de/10012317784

Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension

Gupta, Abhimanyu; Robinson, Peter M. - In: Journal of econometrics 202 (2018) 1, pp. 92-107

Persistent link: https://www.econbiz.de/10011974555

A New Correlation Coefficient for Bivariate Time-Series Data

Erdem, Orhan; Ceyhan, Elvan; Varli, Yusuf Varlı - Murat Sertel İleri İktisadi Araştırmalar Merkezi, … - 2011

Correlation in time series has recently recieved a lot of attentions. Its usage has been getting an important role in Social Science and Finance. For example, pair trading in Finance is interested with the correlation between stock prices, returns etc. In general, Pearsonís correlation...

Persistent link: https://www.econbiz.de/10010990737

Estimating an endpoint with high-order moments

Girard, Stéphane; Guillou, Armelle; Stupfler, Gilles - In: TEST: An Official Journal of the Spanish Society of … 21 (2012) 4, pp. 697-729

We present a new method for estimating the endpoint of a unidimensional sample when the distribution function decreases at a polynomial rate to zero in the neighborhood of the endpoint. The estimator is based on the use of high-order moments of the variable of interest. It is assumed that the...

Persistent link: https://www.econbiz.de/10010994277

Second-order least-squares estimation for regression models with autocorrelated errors

Rosadi, Dedi; Peiris, Shelton - In: Computational Statistics 29 (2014) 5, pp. 931-943

the consistency and asymptotic normality of the proposed estimator and provide a simulation study to compare its …

Persistent link: https://www.econbiz.de/10010998478

Minimum density power divergence estimator for Poisson autoregressive models

Kang, Jiwon; Lee, Sangyeol - In: Computational Statistics & Data Analysis 80 (2014) C, pp. 44-56

The robust estimation for Poisson autoregressive models is studied. As a robust estimator, a minimum density power …

Persistent link: https://www.econbiz.de/10010906929

Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models

Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2014

This paper proves consistency and asymptotic normality for the conditional-sum-of-squares estimator, which is … novelty of the consistency result, in particular, is that it applies to a multivariate model and to an arbitrarily large set …

Persistent link: https://www.econbiz.de/10010935035