Download or read book Nonparametric Estimation and Testing in Semiparametric Autoregressive Conditional Duration Models written by Pipat Wongsaart and published by . This book was released on 2011 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: The advent of the so-called transaction data in finance has given econometrician the tool to address a variety of issues surrounding the structure of the trading process and/or price discovery in nancial markets. However, transaction data pose a number of unique econometric challenges that do not easily fit into the traditional modeling framework that have been developed so far in the literature. The ultimate goal of this thesis is to establish a novel econometric method of estimating the conditional intensity of the arrival times of financial events. This goal can be broken down into a few research objectives. (1) Firstly, it is to establish a new generation (semiparametric) approach to efficiently model the dynamics of the waiting time between the arrivals of financial events or what is commonly known as duration. (2) Secondly, it is to derive a set of estimators, so that empirical estimates of the density, survival and the baseline intensity functions associated with duration processes can be calculated. (3) Thirdly, it is to develop a novel testing procedure to test the marginal density function of financial durations. While the first and second objectives are discussed in detail in Chapter 2, the third objective is considered in Chapter 3. These semiparametric estimation and nonparametric testing procedure are introduced in conjunction with the detailed theoretical and experimental examinations of their statistical validity. Furthermore, the usefulness and practicability of these methods are illustrated using various datasests from both foreign exchange and international stock markets.
Download or read book Nonparametric Kernel Testing in Semiparametric Autoregressive Conditional Duration Model written by Pipat Wongsaart and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A crucially important advantage of the semiparametric regression approach to the nonlinear autoregressive conditional duration (ACD) model developed in Wongsaart et al. (2011), i.e. the so-called Semiparametric ACD (SEMI-ACD) model, is the fact that its estimation method does not require a parametric assumption on the conditional distribution of the standardized duration process and, therefore, the shape of the baseline hazard function. The research in this paper complements that of Wongsaart et al. (2011) by introducing a nonparametric procedure to test the parametric density function of ACD error through the use of the SEMI-ACD based residual. The hypothetical structure of the test is useful, not only to the establishment of a better parametric ACD model, but also to the specification testing of a number of financial market microstructure hypotheses, especially those related to the information asymmetry in finance. The testing procedure introduced in this paper differs in many ways from those discussed in existing literatures, for example Aït-Sahalia (1996), Gao and King (2004) and Fernandes and Grammig (2005). We show theoretically and experimentally the statistical validity of our testing procedure, while demonstrating its usefulness and practicality using datasets from New York and Australia Stock Exchange. Duration model, hazard rates and random measures, nonparametric kernel testing.
Download or read book Detecting Misspecifications in Autoregressive Conditional Duration Models and Non Negative Time Series Processes written by Yongmiao Hong and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a general theory to test correct specification of multiplicative error models of non-negative time-series processes, which include the popular autoregressive conditional duration (ACD) models. Both linear and nonlinear conditional expectation models are covered, and standardized innovations can have time-varying conditional dispersion and higher-order conditional moments of unknown form. No specific estimation method is required, and the tests have a convenient null asymptotic N(0,1) distribution. To reduce the impact of parameter estimation uncertainty in finite samples, we adopt Wooldridge's (1990a) device to our context and justify its validity. Simulation studies show that in the context of testing ACD models, finite sample correction gives better sizes in finite samples and are robust to parameter estimation uncertainty. And, it is important to take into account time-varying conditional dispersion and higher-order conditional moments in standardized innovations; failure to do so can cause strong overrejection of a correctly specified ACD model. The proposed tests have reasonable power against a variety of popular linear and nonlinear ACD alternatives.
Download or read book Three Essays on Two stage Estimation in Semiparametric and Nonparametric Econometrics written by Hyungtaik Ahn and published by . This book was released on 1991 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Information Spillover Effect and Autoregressive Conditional Duration Models written by Xiangli Liu and published by Routledge. This book was released on 2014-07-11 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book studies the information spillover among financial markets and explores the intraday effect and ACD models with high frequency data. This book also contributes theoretically by providing a new statistical methodology with comparative advantages for analyzing comovements between two time series. It explores this new method by testing the information spillover between the Chinese stock market and the international market, futures market and spot market. Using the high frequency data, this book investigates the intraday effect and examines which type of ACD model is particularly suited in capturing financial duration dynamics. The book will be of invaluable use to scholars and graduate students interested in comovements among different financial markets and financial market microstructure and to investors and regulation departments looking to improve their risk management.
Download or read book Nonparametric Estimation of Semiparametric Transformation Models written by Jean-Pierre Florens and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics written by Jeffrey Racine and published by Oxford University Press. This book was released on 2014-04 with total page 562 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, edited by Jeffrey Racine, Liangjun Su, and Aman Ullah, contains the latest research on nonparametric and semiparametric econometrics and statistics. Chapters by leading international econometricians and statisticians highlight the interface between econometrics and statistical methods for nonparametric and semiparametric procedures.
Download or read book Semiparametric Estimation and Testing of Smooth Coefficient Spatial Autoregressive Models written by Emir Malikov and published by . This book was released on 2017 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers a flexible semiparametric spatial autoregressive (mixed-regressive) model in which unknown coefficients are permitted to be nonparametric functions of some contextual variables to allow for potential nonlinearities and parameter heterogeneity in the spatial relationship. Unlike other semiparametric spatial dependence models, ours permits the spatial autoregressive parameter to meaningfully vary across units and thus allows the identification of a neighborhood-specific spatial dependence measure conditional on the vector of contextual variables. We propose several (locally) nonparametric GMM estimators for our model. The developed two-stage estimators incorporate both the linear and quadratic orthogonality conditions and are capable of accommodating a variety of data generating processes, including the instance of a pure spatially autoregressive semiparametric model with no relevant regressors as well as multiple partially linear specifications. All proposed estimators are shown to be consistent and asymptotically normal. We also contribute to the literature by putting forward two test statistics to test for parameter constancy in our model. Both tests are consistent.
Download or read book Nonparametric Estimation and Specification Testing in Nonstationary Time Series Models written by Jiti Gao and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we consider both estimation and testing problems in a nonlinear time series model with nonstationarity. A nonparametric estimation method is proposed to estimate a sequence of nonparametric “distance functions”. We also propose a test statistic to test whether the regression function is of a known parametric nonlinear form. The power function of the proposed nonparametric test is studied and an asymptotic distribution of the test statistic is shown to depend on the asymptotic behavior of the “distance function” under a sequence of general semiparametric local alternatives. The asymptotic theory developed in this paper differs from existing work on nonparametric estimation and specification testing in the stationary time series case. In order to implement the proposed test in practice, a computer-intensive bootstrap simulation procedure is proposed and asymptotic approximations for both the size and power functions are established. Furthermore, the bandwidth involved in the test statistic is selected by maximizing the power function while the size function is controlled by a significance level. Meanwhile, both simulated and real data examples are provided to illustrate the proposed approach.
Download or read book Nonparametric Estimation and Testing for Time varying VAR Models written by Jiti Gao and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Companion to Theoretical Econometrics written by Badi H. Baltagi and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Companion to Theoretical Econometrics provides a comprehensive reference to the basics of econometrics. This companion focuses on the foundations of the field and at the same time integrates popular topics often encountered by practitioners. The chapters are written by international experts and provide up-to-date research in areas not usually covered by standard econometric texts. Focuses on the foundations of econometrics. Integrates real-world topics encountered by professionals and practitioners. Draws on up-to-date research in areas not covered by standard econometrics texts. Organized to provide clear, accessible information and point to further readings.
Download or read book Nonparametric and Semiparametric Estimation and Testing of Econometric Models written by and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book New Directions in Time Series Analysis written by David Brillinger and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 391 pages. Available in PDF, EPUB and Kindle. Book excerpt: This IMA Volume in Mathematics and its Applications NEW DIRECTIONS IN TIME SERIES ANALYSIS, PART II is based on the proceedings of the IMA summer program "New Directions in Time Series Analysis. " We are grateful to David Brillinger, Peter Caines, John Geweke, Emanuel Parzen, Murray Rosenblatt, and Murad Taqqu for organizing the program and we hope that the remarkable excitement and enthusiasm of the participants in this interdisciplinary effort are communicated to the reader. A vner Friedman Willard Miller, Jr. PREFACE Time Series Analysis is truly an interdisciplinary field because development of its theory and methods requires interaction between the diverse disciplines in which it is applied. To harness its great potential, strong interaction must be encouraged among the diverse community of statisticians and other scientists whose research involves the analysis of time series data. This was the goal of the IMA Workshop on "New Directions in Time Series Analysis. " The workshop was held July 2-July 27, 1990 and was organized by a committee consisting of Emanuel Parzen (chair), David Brillinger, Murray Rosenblatt, Murad S. Taqqu, John Geweke, and Peter Caines. Constant guidance and encouragement was provided by Avner Friedman, Director of the IMA, and his very helpful and efficient staff. The workshops were organized by weeks. It may be of interest to record the themes that were announced in the IMA newsletter describing the workshop: l.
Download or read book Nonparametric and Semiparametric Methods in Econometrics and Statistics written by William A. Barnett and published by Cambridge University Press. This book was released on 1991-06-28 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: Papers from a 1988 symposium on the estimation and testing of models that impose relatively weak restrictions on the stochastic behaviour of data.
Download or read book Nonparametric and semiparametric estimation and testing written by Coenraad Arnout Pieter Pinkse and published by . This book was released on 1994 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing the Conditional Mean Function of Autoregressive Conditional Duration Models written by Nikolaus Hautsch and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Nonparametric Econometric Methods written by Qi Li and published by Emerald Group Publishing. This book was released on 2009-12-04 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains a selection of papers presented initially at the 7th Annual Advances in Econometrics Conference held on the LSU campus in Baton Rouge, Louisiana during November 14-16, 2008. This work is suitable for those who wish to familiarize themselves with nonparametric methodology.
