This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Indirect Inference, Nuisance Parameter and Threshold Moving Average

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Alain Guay () (Center for Research on Economic Fluctuations and Employment, UQAM)
Olivier Scaillet () (Université Catholique de Louvain)

Additional information is available for the following registered author(s):

Abstract

We analyse the modifications that occur in indirect inference when a nuisance parameter is not identified under the null hypothesis. We develop a testing procedure adapted to this simulation based estimation method, and detail its use for detecting the threshold effect in threshold moving average models with contemporaneous and lagged asymetries. In contrast to existing threshold models, these models allow to take into account the presence of asymetric effects of current and lagged random shocks on US GNP growth rates.

Nous analysons les modifications à apporter à la méthode d'inférence indirecte lorsqu'un paramètre de nuisance n'est pas identifié sous l'hypothèse nulle. Nous développons une procédure de test adaptée à cette méthode d'estimation fondée sur des simulations, et détaillons son utilisation dans la détection de l'effet de seuil dans des modèles moyennes mobiles à seuils avec asymétries contemporaines et retardées. Par rapport aux autres modèles à seuils existants, ces modèles permettent de prendre en compte la présence d'effets asymétriques des chocs courants et retardés sur la série de taux de croissance du PNB américain.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.unites.uqam.ca/eco/CREFE/cahiers/cah95.ps
File Format: application/postscript
File Function: Main text
Download Restriction: no
File URL: http://www.unites.uqam.ca/eco/CREFE/cahiers/cah95.pdf
File Format: application/pdf
File Function: Main text
Download Restriction: no

Publisher Info
Paper provided by CREFE, Université du Québec à Montréal in its series Cahiers de recherche CREFE / CREFE Working Papers with number 95.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 29 pages
Date of creation: Nov 1999
Date of revision:
Handle: RePEc:cre:crefwp:95

Contact details of provider:
Postal: P.O. Box 8888, Downtown Station, Montreal (Canada) Quebec, H3C 3P8
Phone: (514) 987-6181
Fax: (514) 987-8494
Email:
Web page: http://ideas.uqam.ca/CREFE/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Stéphane Pallage).

Related research
Keywords: threshold model; indirect inference; nuisance parameter;

Find related papers by JEL classification:
C5 - Mathematical and Quantitative Methods - - Econometric Modeling
C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Babsiri, Mohamed El & Zakoian, Jean-Michel, 2001. "Contemporaneous asymmetry in GARCH processes," Journal of Econometrics, Elsevier, vol. 101(2), pages 257-294, April. [Downloadable!] (restricted)
    Other versions:
  2. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March. [Downloadable!] (restricted)
    Other versions:
  3. Ghysels, E. & Guay, A. & Hall, A., 1995. "Predictive Tests for Structural Change with Unknown Breakpoint," Cahiers de recherche 9524, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    Other versions:
  4. Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(04), pages 657-681, October. [Downloadable!]
  5. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De. [Downloadable!] (restricted)
    Other versions:
  6. Gouri?roux, Christian & Monfort, Alain, 1995. "Testing, Encompassing, and Simulating Dynamic Econometric Models," Econometric Theory, Cambridge University Press, vol. 11(02), pages 195-228, February. [Downloadable!]
    Other versions:
  7. Beaudry, Paul & Koop, Gary, 1993. "Do recessions permanently change output?," Journal of Monetary Economics, Elsevier, vol. 31(2), pages 149-163, April. [Downloadable!] (restricted)
  8. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO. [Downloadable!]
    Other versions:
  9. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
  10. Eric Ghysels ; Alain Guay, . "Structural Change Tests for Simulated Method of Moments," Working Papers 98-37, Centre de Recherche en Economie et Statistique. [Downloadable!]
  11. Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  12. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
  13. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July. [Downloadable!] (restricted)
    Other versions:
  14. repec:cup:etheor:v:11:y:1995:i:2:p:195-228 is not listed on IDEAS
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Catherine Bruneau & Amine Lahiani, 2006. "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," EconomiX Working Papers 2006-17, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? You can include your works in the database easily by uploading them on the Munich Personal RePEc Archive (MPRA) if you do not have access to an institutional RePEc archive.

This page was last updated on 2009-11-6.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.