nep-ecm New Economics Papers
on Econometrics
Issue of 2007‒10‒13
nine papers chosen by
Sune Karlsson
Orebro University

  1. Semiparametric Multivariate Density Estimation for Positive Data Using Copulas By Taoufik Bouezmarni; Jeroen V.K. Rombouts
  2. Gel Estimation and Inference with Non-Smooth Moment Indicators and Dynamic Data By Gordon Kemp
  3. Bayesian Methods in Nonlinear Time Series By Korenok Oleg
  4. Testing Uncovered Interest Parity: A Continuous-Time Approach By Diez de los Rios, Antonio; Sentana, Enrique
  5. Change in persistence tests for panels By Cerqueti, Roy; Costantini, Mauro; Gutierrez, Luciano
  6. Bayesian Analysis of Determinisitic Time Trend and Changes in Persistence Using a Generalised Stochastic Unit Root Model By Fuyu Yang
  7. Estimating Marginal Treatment Effects in Heterogeneous Populations By Robert Moffit
  8. Model selection in iterative valuation questions By Emmanuel Flachaire; Guillaume Hollard
  9. On the Consistency of Approximate Maximizing Estimator Sequences in the Case of Quasiconcave Functions By Gordon Kemp

  1. By: Taoufik Bouezmarni; Jeroen V.K. Rombouts
    Abstract: In this paper we estimate density functions for positive multivariate data. We propose a semiparametric approach. The estimator combines gamma kernels or local linear kernels, also called boundary kernels, for the estimation of the marginal densities with semiparametric copulas to model the dependence. This semiparametric approach is robust both to the well known boundary bias problem and the curse of dimensionality problem. We derive the mean integrated squared error properties, including the rate of convergence, the uniform strong consistency and the asymptotic normality. A simulation study investigates the finite sample performance of the estimator. We find that univariate least squares cross validation, to choose the bandwidth for the estimation of the marginal densities, works well and that the estimator we propose performs very well also for data with unbounded support. Applications in the field of finance are provided.
    Keywords: Asymptotic properties, asymmetric kernels, boundary bias, copula, curse of dimension, least squares cross validation
    JEL: C13 C14 C22
    Date: 2007
  2. By: Gordon Kemp
    Abstract: In this paper we demonstrate consistency and asymptotic normality for Generalized Empirical Likelihood (GEL) estimation in dynamic models when the moment indicators being used are the non-differentiable functions of the parameters of interest.
    Date: 2007–09–28
  3. By: Korenok Oleg (Department of Economics, VCU School of Business)
    Abstract: This paper reviews the analysis of the threshold autoregressive, smooth threshold autoregressive, and Markov switching autoregressive models from the Bayesian perspective. For each model we start by describing a baseline model and discussing possible extensions and applications. Then we review the choice of prior, inference, tests against the linear hypothesis, and conclude with models selection. A short discussion of recent progress in incorporating regime changes into theoretical macroeconomic models concludes our survey.
    Keywords: Threshold, Smooth Threshold, Markov-switching
    JEL: C11 C22 C52
    Date: 2007–03
  4. By: Diez de los Rios, Antonio; Sentana, Enrique
    Abstract: Nowadays researchers can choose the sampling frequency of exchange rates and interest rates. If the number of observations per contract period is large relative to the sample size, standard GMM asymptotic theory provides unreliable inferences in UIP regression tests. We specify a bivariate continuous-time model for exchange rates and forward premia robust to temporal aggregation, unlike the discrete time models in the literature. We obtain the UIP restrictions on the continuous-time model parameters, which we estimate efficiently, and propose a novel specification test that compares estimators at different frequencies. Our empirical results based on correctly specified models reject UIP.
    Keywords: Exchange Rates; Forward Premium Puzzle; Hausman Test; Interest Rates; Orstein-Uhlenbeck Process; Temporal Aggregation
    JEL: F31 G15
    Date: 2007–10
  5. By: Cerqueti, Roy; Costantini, Mauro; Gutierrez, Luciano
    Abstract: In this paper we propose a set of new panel tests to detect changes in persistence. These statistics are used to test the null hypothesis of stationarity against the alternative of a change in persistence from I(0) to I(1) or viceversa. Alternative of unknown direction is also considered. The limiting distributions of the panel tests are derived and small sample properties are investigated by Monte Carlo experiments under the hypothesis that the individual series are cross-sectionally independently distributed. These tests have a good size and power properties. Cross-sectional dependence is also considered. A procedure of de-factorizing proposed by Stock and Watson (2002) is applied. Monte Carlo analysis is conducted and the defactored panel tests show to have good size and power. The empirical results obtained from applying these tests to a panel covering 15 European countries between 1970 and 2006 suggest that inflation rate changes from I(1) to I(0) when cross-correlation is considered.
    Keywords: Persistence, Stationarity, Panel data
    JEL: C12 C23
    Date: 2007–10–01
  6. By: Fuyu Yang
    Abstract: This paper makes use of the novel Generalized Stochastic Unit Root (GSTUR) model, Bayesian model estimation and model comparison techniques to investigate the presence of a deterministic time trend in economic series. The model is specified to allow for changes in persistence over time, such as shifts from stationarity I(0) to nonstationarity I(1) or vice versa. This uncertainty raises the crucial question about how sure one can be that an economic time series has a deterministic trend when there is a change in the underlying properties. Empirical analysis indicates that the GSTUR model could provide new insights on time series studies.
    Keywords: Stochastic Unit Root; MCMC; Bayesian
    Date: 2007–11
  7. By: Robert Moffit
    Abstract: This paper proposes a nonparametric method of estimating marginal treatment effects in heterogeneous populations. Building upon an insight of Heckman and Vytlacil, the conventional treatment effects model with heterogeneous effects is shown to imply that outcomes are a nonlinear function of participation probabilities. The degree of this nonlinearity, and hence the shape of the marginal response curve, can be estimated with series methods such as power series or splines. An illustration is provided for the returns to higher education in the U.K, indicating that marginal returns to higher education fall as the proportion of the population with higher education rises, thus providing evidence of heterogeneity in returns.
    Date: 2007–10
  8. By: Emmanuel Flachaire (CES - Centre d'économie de la Sorbonne - [CNRS : UMR8174] - [Université Panthéon-Sorbonne - Paris I]); Guillaume Hollard (OEP - [Universite de Marne la Vallee])
    Abstract: In this article, we propose a unified framework that accomodates many of the existing models for dichotomous choice contingent valuation with follow-up and allows to discriminate between them by simple parametric tests of hypothese. Our empirical results show that the Range model, developped in Flachaire and Hollard (2007}, utperforms other standard models and confirms that, when uncertain, respondents tend to accept proposed bids.
    Keywords: starting point bias ; preference uncertainty ; contingent valuation.
    Date: 2007–07
  9. By: Gordon Kemp
    Abstract: This paper demonstrates consistency for estimators obtained by approximately maximizing a sequence of stochastic quasiconcave functions on RP that converges in probability pointwise to a non-stochastic function. In the scalar parameter case all that is necessary for consistency is that the parameter value of interest is a unique maximizer of the limiting function. However, in the vector parameter case certain further conditions on the limiting function are necessary to establish consistency. The paper also discusses the relation of these results to existing results on the consistency of estimators obtained by approximately maximizing concave functions and to the concepts of hypoconvergence and epiconvergence.
    Date: 2007–09–28

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