Download or read book Three Essays on High dimensional Model Econometrics written by Zhentao Shi and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Econometric Methods for High dimensional Economic and Financial Data Using Factor Structures written by Yuning Li and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This note is part of Quality testing.

Download or read book Three Essays on Econometrics written by Wooyoung Kim and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter, I propose an averaging estimator with a data-dependent weight for models with a potentially misspecified over-identifying moment inequality condition. I derive the uniform dominance result of the estimator with the infeasible optimal weight to minimize the mean-squared error and propose a plug-in estimator to implement it. Although the plug-in estimator is not consistent because of the inconsistency in the estimation of the slackness parameter, I show that this estimator performs well in simulations in terms of the mean-squared error. In the second chapter, I propose a bootstrap-based confidence interval of a projection of a potentially partially identified parameter which is asymptotically uniformly valid and alleviates projection conservatism. I also suggest the algorithm to implement my approach using the response surface method. The implementation is not costly in terms of computational time. I provide a simulation result of the two-player entry game. Lastly, I illustrate the application of the frequentist's approach to the structural VAR with sign restrictions. In the last chapter, I propose an estimator and an inference method for the low-dimensional parameters of interest in models with high-dimensional controls. The estimator uses principal components regression (PCR) to estimate relevant components of the high-dimensional controls. I adopt the Neyman orthogonalized moment conditions to obtain root-N-consistency of my estimator. I derive asymptotic normality of the estimator and develop a consistent estimator for the asymptotic variance. I extend these results to allow for endogeneity of the variables of interest when an instrumental variable is available. In simulations, I compare the mean-squared error and the coverage rate of corresponding confidence intervals of my estimator with several competing estimators for a parameter of interest in different setups. PCR results show correct coverage rate and the smallest mean-squared error when the underlying data generating processes are high-dimensional factor models. I apply my estimator and other parametric alternatives to the estimation and inference of the price coefficient in logit demand models for the U.S. cereal market. Using an instrumental variable does change the estimate of the price coefficient significantly, which implies that researchers should consider potential endogeneity problems even when using high-dimensional controls.

Download or read book Three Essays in Econometrics written by Chaojun Li (Economist) and published by . This book was released on 2020 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt: Regime-switching models have been applied extensively to study how time-series patterns change across different underlying economic states, such as boom and recession, high-volatility and low-volatility financial market environments, and active and passive monetary and fiscal policies. Among various models with regime switching, endogenous regime-switching models have the most general form of the regime process by allowing the determination of regimes to depend on the realizations of observations. The first chapter, jointly written with Yan Liu, proves consistency and asymptotic normality of the maximum likelihood estimator of the endogenous regime-switching models. The dynamic pattern of a time series may change abruptly as the underlying economic environment shifts and, at the same time, may also vary smoothly with other macroeconomic variables. The Markov-switching state-space model accommodates the two types of changes. For this class of models, it is computationally infeasible to calculate the exact likelihood function through the Kalman filter because of the path dependence on regimes. Approximation is widely applied in practice by truncating the path of regimes, but the statistical properties of the estimator based on approximation have not been examined. The second chapter fills the gap and shows consistency and asymptotic normality of the approximated maximum likelihood estimator. In the "big data" era, the large-dimensional factor model proves useful in extracting information from high-dimensional time series, by assuming a small number of factors can summarize the co-movement. In the third chapter, I propose a new method to estimate large-dimensional factor models with two types of structural breaks--in factor loadings and in the number of factors. Such breaks, if undetected, can lead to the estimation of pseudo factors instead of true factors. Compared to the existing method in the literature, the proposed method is computationally faster. Moreover, the estimated break ratios converge at a faster rate.

Download or read book Essays in High dimensional Econometrics written by and published by . This book was released on 2014 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: The dissertation contains three papers on causal inference in econometrics.

Download or read book Topics in Model Averaging and Dimensionality Reduction written by Kevin Huynh and published by . This book was released on 2024 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Honor of Cheng Hsiao written by Dek Terrell and published by Emerald Group Publishing. This book was released on 2020-04-15 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.

Download or read book Three Essays on Econometrics written by Mijung Choi and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter titled, "A Factor Model for Functional Time Series", I construct a factor model for functional time series. Functions are infinite dimensional, and therefore, they have infinite dimensional features. I define functional factors as features affecting functional time series regularly and frequently. Other components are defined to be idiosyncratic since they only appear intermittently and sporadically. For determining the number of functional factors, asymptotic behaviors of the eigenvalues of the sample variance operator of the underlying functional time series are derived. I examine the time series of densities for the cross-sectional distributions of NYSE stock returns, and credit spread curves between US corporate bonds and Treasury bonds. In both examples, I find two functional factors characterize two main common features of the underlying functional time series. In the second chapter titled "A Factor Model for Functional Time Series with Unit Roots", I extend a factor model developed in the first chapter by allowing nonstationarity in the functional time series. I show functional factors and loadings can be consistently estimated after identifying potential unit roots subspace through functional principal component analysis. I apply the model to the U.S. yield curves and find the stationary fluctuations of the U.S. yield curves are mostly driven by curvature type of features. Also, I find one curvature feature appears regularly and is qualified being a functional factor.In the third chapter titled "A Factor Model for Functional Panels", I develop a factor model for functional panels with potentially large set of cross sections and time series. This model assumes that there are a finite number of common functional time series which keep generating response functions over time and its effects are non-trivial. I examine term structures of government bond yields for the US, the UK, Switzerland, Norway, South Korea, Germany, Canada and Australia. I find one global factor does exist and is important explaining fractions of variation in some country yield curves.

Download or read book Three Essays on Semiparametric Econometrics written by Hongjun Li and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation aims at investigating the theory and application of semiparametric econometrics. I first inspect the selection of optimal bandwidth using the cross-validation method for the kernel estimation of cumulative distribution/survivor functions. Then, I analyze the determination of the number of factors with the methods of principal component and information criteria. I also show the application of semiparametric methods to "purchasing power parity" puzzle. Firstly, I propose a data-driven least squares cross-validation method to optimally select smoothing parameters for the nonparametric estimation of cumulative distribution/ survivor functions. The general multivariate covariates can be continuous, discrete/ordered categorical or a mix of either. I establish the asymptotic optimality of least squares cross-validation method. Also, I show that the estimators of cumulative distribution/survivor functions using the smoothing parameters selected by the proposed method is asymptotically normally distributed. Monte Carlo simulation verifies the finite-sample properties of the least squares cross-validation method. Secondly, I provide some discussions on the econometric theory for factor models of large dimensions where the number of factors (r) is allowed to increase as the two dimensions, cross-sections (N) and time dimensions (T) increase. I mainly focus on the determination of the number of factors. I extend the existing panel criteria to high dimension case where r may be increasing with N or T. I show that the number of factors can be consistently estimated using the criteria. Also, Monte-Carlo simulation demonstrates the finite sample properties of the proposed estimating method. Lastly, I consider an empirical application of semiparametric econometrics to the problem of purchasing power parity (hereafter PPP) hypothesis test. Traditional linear cointegration tests of PPP hypothesis often lead to rejection of the PPP hypothesis. More recent studies allowing for some sort of nonlinearity in econometric modelings suggest mixed results and leave this problem as an unresolved issue. Therefore, I analyze PPP hypothesis within a semiparametric framework using the varying coefficient model with integrated variables, which can capture the nonlinearity of the economic structures. Applying the semiparametric functional cointegration test method, I conduct the cointegration test of PPP hypothesis between U.S. and Canada, U.S. and Japan, and U.S. and U.K., respectively to test the PPP hypothesis. In contrast to the usual findings based on linear model PPP hypothesis testing, the semiparametric model based tests provide supporting evidence of the PPP hypothesis. The electronic version of this dissertation is accessible from http://hdl.handle.net/1969.1/152605

Download or read book Essays in Nonlinear Time Series Econometrics written by Niels Haldrup and published by OUP Oxford. This book was released on 2014-06-26 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.

Download or read book Essays in Honor of Subal Kumbhakar written by Christopher F. Parmeter and published by Emerald Group Publishing. This book was released on 2024-04-05 with total page 487 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is the editor’s distinct privilege to gather this collection of papers that honors Subhal Kumbhakar’s many accomplishments, drawing further attention to the various areas of scholarship that he has touched.

Download or read book Essays in Honour of Fabio Canova written by Juan J. Dolado and published by Emerald Group Publishing. This book was released on 2022-09-21 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.

Download or read book Three Essays on the Econometric Analysis of High frequency Data written by Peter Malec and published by . This book was released on 2013 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Spatial Econometric Models with Missing Data written by Wei Wang and published by . This book was released on 2010 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This dissertation is composed of three essays on spatial econometric models with missing data. Spatial models that have a long history in regional science and geography have received substantial attention in various areas of economics recently. Applications of spatial econometric models prevail in urban, developmental and labor economics among others. In practice, an issue that researchers often face is the missing data problem. Although many solutions such as list-wise deletion and EM algorithm can be found in literature, most of them are either not suited for spatial models or hard to apply due to technical difficulties. My research focuses on the estimation of the spatial econometric models in the presence of missing data problems. The first chapter develops a GMM method based on linear moments for the estimation of mixed regressive, spatial autoregressive (MRSAR) models with missing observations in the dependent variables. The estimation method uses the expectation of the missing data, as a function of the observed independent variables and the parameters to be estimated, to replace the missing data themselves in the estimation. The proposed GMM estimators are shown to be consistent and asymptotically normal. Feasible optimal weighting matrix for the GMM estimation is given. We extend our estimation method to MRSAR models with heteroskedastic disturbances, high order MRSAR models and unbalanced spatial panel data models with random effects as well. From these extensions, we see that the proposed GMM method has more compatibility, compared with the conventional EM algorithm. The second chapter considers a group interaction model first proposed by Lee (2006); this model is a special case of the spatial autoregressive (SAR) models. It is a first attempt to estimate the model in a more general random sample setting, i.e. a framework in which only a random sample rather than the whole population in a group is available. We incorporate group heteroskedasticity along with the endogenous, exogenous and group fixed effects in the model. We prove that, under some basic assumptions and certain identification conditions, the quasi maximum likelihood (QML) estimators are consistent and asymptotically normal when the functional form of the group heteroskedasticity is known. Two types of misspecifications are considered, and, under each, the estimators are inconsistent. We also propose IV estimation in the case that the group heteroskedasticity is unknown. A LM test of group heteroskedasticity is given at the end. The third chapter considers the same group interaction model as that in the second chapter, but focuses on the large group interaction case and uses a random effects setting for the group specific characters. A GMM estimation framework using moment conditions from both within and between equations is applied to the model. We prove that under some basic assumptions and certain identification conditions, the GMM estimators are consistent and asymptotically normal, and the convergence rates of the estimators are higher than those of the estimators derived from the within equations only. Feasible optimal GMM estimators are proposed.

Download or read book Three Essays on Model Selection in Time Series Econometrics written by Niels Mariano Aka and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Econometrics of Latent Variables written by and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Honor of M Hashem Pesaran written by Alexander Chudik and published by Emerald Group Publishing. This book was released on 2022-01-18 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: The collection of chapters in Volume 43 Part B of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.