nep-ets New Economics Papers
on Econometric Time Series
Issue of 2015‒02‒11
two papers chosen by
Yong Yin
SUNY at Buffalo

  1. Asymptotics for parametric GARCH-in-Mean Models By Conrad, Christian; Mammen , Enno
  2. A General Theory of Rank Testing By Majid M. Al-Sadoon

  1. By: Conrad, Christian; Mammen , Enno
    Abstract: In this paper we develop an asymptotic theory for the parametric GARCH-in-Mean model. The asymptotics is based on a study of the volatility as a process of the model parameters. The proof makes use of stochastic recurrence equations for this random function and uses exponential inequalities to localize the problem. Our results show why the asymptotics for this specification is quite complex although it is a rather standard parametric model. Nevertheless, our theory does not yet treat all standard specifications of the mean function.
    Keywords: GARCH-in-Mean; stochastic recurrence equations; risk-return relationship
    Date: 2015–01–19
  2. By: Majid M. Al-Sadoon
    Abstract: This paper demonstrates that all rank test statistics are functions of implicit null space estimators. The paper proposes a novel theory of null space estimation that allows for standard asymptotics, polynomial regressions, and cointegration asymptotics. The paper proves that the behaviour of rank test statistics is completely governed by the implicit null space estimators through a plug-in principle. This allows for a general theory of rank testing that simplifies the asymptotics of rank test statistics, clarifies the relationships between the various rank test statistics, makes full use of the numerical analysis literature, and motivates numerous new rank test statistics. A brief Monte Carlo study illustrates the results.
    Keywords: rank testing, cointegration, plug-in principle, subspace estimation
    JEL: C12 C13 C30
    Date: 2015–02

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