Download or read book The GMM Estimation of Conditional Heteroskedasticity Models written by Tony S. Wirjanto and published by . This book was released on 1993 with total page 16 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 Generalized Method of Moments Estimation of Generalized Autoregressive Conditional Heteroskedastic Models written by Chun-man Pang and published by . This book was released on 1997 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Generalized Autoregressive Conditional Heteroskedasticity with Applications in Finance written by Tim Bollerslev and published by . This book was released on 1986 with total page 280 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 Efficiency Gains by Modifying GMM Estimation in Linear Models Under Heteroskedasticity written by Jan Frederik Kiviet and published by . This book was released on 2014 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book GMM Estimation of Empirical Growth Models written by Stephen Bond and published by . This book was released on 2001 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity written by Helmut Herwartz and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the presence of generalized conditional heteroscedasticity (GARCH) in the residuals of a vector error correction model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be efficient. On the other hand, full ML estimation of VECMs with GARCH residuals is computationally difficult and may not be feasible for larger models. Moreover, ML estimation of VECMs with independently identically distributed residuals is known to have potentially poor small sample properties and this problem also persists when there are GARCH residuals. A further disadvantage of the ML estimator is its sensitivity to misspecification of the GARCH process. We propose a feasible generalized least squares estimator which addresses all these problems. It is easy to compute and has superior small sample properties in the presence of GARCH residuals.

Download or read book Generalized Method of Moments Estimation written by Laszlo Matyas and published by Cambridge University Press. This book was released on 1999-04-13 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.

Download or read book Optimal Instrumental Variables Estimation in Stationary Time Series Models written by Stanislav Anatolyev and published by . This book was released on 2000 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Estimating Conditional Expectations When Volatility Fluctuates written by Robert F. Stambaugh and published by . This book was released on 2007 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asymptotic variance of estimated parameters in models of conditional expectations are calculated analytically assuming a GARCH process for conditional volatility. Under such heteroskedasticity, OLS estimators or parameters in single-period models can posses substantially larger asymptotic variances the GMM estimators employing additional multiperiod moment conditions - an approach yielding no efficiency gain under homoskedasticity. In estimating models of long- horizon expectations, the VAR approach provides an efficiency advantage over long-horizon regressions under homoskedasticity, but that ordering can reverse under heteroskedasticity, especially when the conditional mean and variance are both persistent. In such cases, the VAR approach maintains a slight efficiency advantage if the OLS estimator is replaced by an alternative GMM estimator. Heteroskedasticity can increase dramatically the apparent asymptotic power advantages of long-horizon regressions to reject constant expectations against persistent alternatives.

Download or read book Estimation with Panel Data written by Kyung So Im and published by . This book was released on 1994 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book GMM Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances written by Osman Dogan and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider a spatial econometric model containing a spatial lag in the dependent variable and the disturbance term with an unknown form of heteroskedasticity in innovations. We first prove that the maximum likelihood (ML) estimator for spatial autoregressive models is generally inconsistent when heteroskedasticity is not taken into account in the estimation. We show that the necessary condition for the consistency of the ML estimator of spatial autoregressive parameters depends on the structure of the spatial weight matrices. Then, we extend the robust generalized method of moment (GMM) estimation approach in Lin and Lee (2010) for the spatial model allowing for a spatial lag not only in the dependent variable but also in the disturbance term. We show the consistency of the robust GMM estimator and determine its asymptotic distribution. Finally, through a comprehensive Monte Carlo simulation, we compare finite sample properties of the robust GMM estimator with other estimators proposed in the literature.

Download or read book The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Triangular Systems with Applications to Asset Pricing Models that Include a Mismeasured Factor written by Todd Prono and published by . This book was released on 2015 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new estimator is proposed for linear triangular systems, where identification results from the model errors following a bivariate and diagonal GARCH(1,1) process with potentially time-varying error covariances. This estimator applies when traditional instruments are unavailable. I demonstrate its usefulness on asset pricing models like the CAPM and Fama-French three-factor model. In the context of a standard two-pass cross-sectional regression approach, this estimator improves the pricing performance of both models. Set identification bounds and an associated estimator are also provided for cases where the conditions supporting point identification fail.

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 Conditional GMM Estimation for Gravity Models written by Masaya Nishihata and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Estimation of a Game theoretic Model of Learning written by Bruno Broseta and published by . This book was released on 1993 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: