IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v27y2011i01p154-177_00.html
   My bibliography  Save this article

Empirical-Likelihood-Based Confidence Intervals For Conditional Variance In Heteroskedastic Regression Models

Author

Listed:
  • Chan, Ngai Hang
  • Peng, Liang
  • Zhang, Dabao

Abstract

Fan and Yao (1998) proposed an efficient method to estimate the conditional variance of heteroskedastic regression models. Chen, Cheng, and Peng (2009) applied variance reduction techniques to the estimator of Fan and Yao (1998) and proposed a new estimator for conditional variance to account for the skewness of financial data. In this paper, we apply empirical likelihood methods to construct confidence intervals for the conditional variance based on the estimator of Fan and Yao (1998) and the reduced variance modification of Chen et al. (2009). Simulation studies and data analysis demonstrate the advantage of the empirical likelihood method over the normal approximation method.

Suggested Citation

  • Chan, Ngai Hang & Peng, Liang & Zhang, Dabao, 2011. "Empirical-Likelihood-Based Confidence Intervals For Conditional Variance In Heteroskedastic Regression Models," Econometric Theory, Cambridge University Press, vol. 27(1), pages 154-177, February.
    • Handle: RePEc:cup:etheor:v:27:y:2011:i:01:p:154-177_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466610000150/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Otsu, Taisuke & Xu, Ke-Li & Matsushita, Yukitoshi, 2015. "Empirical likelihood for regression discontinuity design," Journal of Econometrics, Elsevier, vol. 186(1), pages 94-112.
    2. repec:cep:stiecm:/2014/573 is not listed on IDEAS
    3. Chaouch, Mohamed, 2019. "Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors," Journal of Multivariate Analysis, Elsevier, vol. 170(C), pages 129-148.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:27:y:2011:i:01:p:154-177_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.