Download or read book Efficient Estimation of Models with Conditional Heteroscedasticity written by Douglas Steigerwald and published by . This book was released on 1993 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On Asymptotically Efficient Estimation of Conditional Heteroskedasticity Models written by Tony S. Wirjanto and published by . This book was released on 1992 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On Asymptotically Efficient Estimation of a Class of Conditionally Heteroskedastic Nonlinear Regression Models written by Tony S. Wirjanto and published by . This book was released on 1991 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Efficient Estimation of Linear and Type I Censored Regression Models Under Conditional Quantile Restrictions written by Whitney K. Newey and published by . This book was released on 1987 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book More efficient estimation in the presence of heteroscedasticity of unknown form written by John G. Cragg and published by . This book was released on 1981 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On the Efficiency of Conditional Heteroskedasticity Models written by T. Lee and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses how conditional heteroskedasticity models can be estimated efficiently without imposing strong distributional assumptions such as normality. Using the generalized method of moments (GMM) principle, we show that for a class of models with a symmetric conditional distribution, the GMM estimates obtained from the joint estimating equations corresponding to the conditional mean and variance of the model are efficient when the instruments are chosen optimally. A simple ARCH(1) model is used to illustrate the feasibility of the proposed estimation procedure.

Download or read book Macroeconometrics written by Kevin D. Hoover and published by Springer Science & Business Media. This book was released on 1995-12-31 with total page 602 pages. Available in PDF, EPUB and Kindle. Book excerpt: Each chapter of Macroeconometrics is written by respected econometricians in order to provide useful information and perspectives for those who wish to apply econometrics in macroeconomics. The chapters are all written with clear methodological perspectives, making the virtues and limitations of particular econometric approaches accessible to a general readership familiar with applied macroeconomics. The real tensions in macroeconometrics are revealed by the critical comments from different econometricians, having an alternative perspective, which follow each chapter.

Download or read book Time Series Models written by D.R. Cox and published by CRC Press. This book was released on 2020-11-26 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis prediction and interpolation of economic and other time series has a long history and many applications. Major new developments are taking place, driven partly by the need to analyze financial data. The five papers in this book describe those new developments from various viewpoints and are intended to be an introduction accessible to readers from a range of backgrounds. The book arises out of the second Seminaire European de Statistique (SEMSTAT) held in Oxford in December 1994. This brought together young statisticians from across Europe, and a series of introductory lectures were given on topics at the forefront of current research activity. The lectures form the basis for the five papers contained in the book. The papers by Shephard and Johansen deal respectively with time series models for volatility, i.e. variance heterogeneity, and with cointegration. Clements and Hendry analyze the nature of prediction errors. A complementary review paper by Laird gives a biometrical view of the analysis of short time series. Finally Astrup and Nielsen give a mathematical introduction to the study of option pricing. Whilst the book draws its primary motivation from financial series and from multivariate econometric modelling, the applications are potentially much broader.

Download or read book JOURNAL OF ECONOMETRICS written by THE JOURNAL OF ECONOMETRICS and published by . This book was released on 1999 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Efficient and Robust Estimation of GARCH Models written by X. Jiang and published by . This book was released on 2015 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: Generalized autoregressive conditional heteroscedastic (GARCH) models have been a powerful tool for modeling volatility. In this paper, we propose an efficient and robust method for estimating the parameters of GARCH models. This method involves a sequence of weights and takes a data-driven weighting scheme to maximize the asymptotic efficiency of the estimators. Under regularity conditions, we establish asymptotic distributions of the proposed estimators for a variety of heavy- or light-tailed error distributions. Simulations endorse our theoretical results. Our approach is applied to analyze the S&P 500 Composite index in the U.S. financial market and run some regression diagnostics to validate the fitted model.

Download or read book Efficient Estimation in the Two sample Semiparametric Location scale Model and the Orientation Shift Model written by Byeong Uk Park and published by . This book was released on 1987 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Econometric Modeling and Inference written by Jean-Pierre Florens and published by Cambridge University Press. This book was released on 2007-07-02 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents the main statistical tools of econometrics, focusing specifically on modern econometric methodology. The authors unify the approach by using a small number of estimation techniques, mainly generalized method of moments (GMM) estimation and kernel smoothing. The choice of GMM is explained by its relevance in structural econometrics and its preeminent position in econometrics overall. Split into four parts, Part I explains general methods. Part II studies statistical models that are best suited for microeconomic data. Part III deals with dynamic models that are designed for macroeconomic and financial applications. In Part IV the authors synthesize a set of problems that are specific to statistical methods in structural econometrics, namely identification and over-identification, simultaneity, and unobservability. Many theoretical examples illustrate the discussion and can be treated as application exercises. Nobel Laureate James A. Heckman offers a foreword to the work.

Download or read book On Efficient Estimation and Correct Inference in Models with Generated Regressors written by C. R. McKenzie and published by . This book was released on 1990 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Identification and Efficient Estimation in Disaggregated Models with Special Covariance Structure written by Jeffrey K. Speakes and published by . This book was released on 1978 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Efficient 4 Estimation for Autoregressive Models with Conditional Heterogeneity written by and published by . This book was released on 1999 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Efficient Estimation of Parametric Models written by Charles E. Bates and published by . This book was released on 1986 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Panel Data Econometrics written by Badi H. Baltagi and published by Emerald Group Publishing. This book was released on 2006-04-01 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume includes some of the papers presented at the 11th International Conference on Panel Data, Texas, June 2004, and other solicited papers that passed the refereeing process and includes such topics as dynamic panel data estimation, non-linear panel data methods and the phenomenal growth in non-stationary panel data econometrics.