Estimating Parameters in Autoregressive Models with Asymmetric Innovations
AbstractTiku et al (1999) considered the estimation in a regression model with autocorrelated error in which the underlying distribution be a shift-scaled Student’s t distribution, developed the modified maximum likelihood (MML) estimators of the parameters and showed that the proposed estimators had closed forms and were remarkably efficient and robust. In this paper, we extend the results to the case, where the underlying distribution is a generalized logistic distribution. The generalized logistic distribution family represents very wide skew distributions ranging from highly right skewed to highly left skewed. Analogously, we develop the MML estimators since the ML (maximum likelihood) estimators are intractable for the generalized logistic data. We then study the asymptotic properties of the proposed estimators and conduct simulation to the study.
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Bibliographic InfoPaper provided by National University of Singapore, Department of Economics in its series Departmental Working Papers with number wp0408.
Date of creation: 2004
Date of revision:
Other versions of this item:
- Wong, Wing-Keung & Bian, Guorui, 2005. "Estimating parameters in autoregressive models with asymmetric innovations," Statistics & Probability Letters, Elsevier, vol. 71(1), pages 61-70, January.
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.:
- Wing-keung Wong & Raymond Chan, 2004.
"On the estimation of cost of capital and its reliability,"
Taylor and Francis Journals, vol. 4(3), pages 365-372.
- Wing-Keung Wong & Raymond H. Chan, 2004. "On the Estimation of Cost of Capital and its Reliability," Departmental Working Papers wp0401, National University of Singapore, Department of Economics.
- Wong, Wing-Keung & Li, Chi-Kwong, 1999. "A note on convex stochastic dominance," Economics Letters, Elsevier, vol. 62(3), pages 293-300, March.
- Weiss, Andrew A., 1990. "Least absolute error estimation in the presence of serial correlation," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 127-158.
- Beach, Charles M & MacKinnon, James G, 1978. "A Maximum Likelihood Procedure for Regression with Autocorrelated Errors," Econometrica, Econometric Society, vol. 46(1), pages 51-58, January.
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