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Adaptive Estimation of Error Correlation Models

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Author Info

  • Hodgson, D.J.

Abstract

This paper considers adaptive maximum likelihood estimation of reduced rank vector error correction models. It is shown that such models can be asymptotically efficiently estimated even in the absence of knowledge of the shape of the density function of the innovation sequence, provided that this density is symmetric. The construction of the estimator, involving the nonparametric kernel estimation of the unknown density using the residuals of a consistent preliminary estimator, is described, and its asymptotic distribution is derived. Asymptotic efficiency gains over the Gaussian pseudo maximum likelihood estimator are evaluated for elliptically symmetric innovations.

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Bibliographic Info

Paper provided by University of Rochester - Center for Economic Research (RCER) in its series RCER Working Papers with number 410.

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Length: 72 pages
Date of creation: 1995
Date of revision:
Handle: RePEc:roc:rocher:410

Contact details of provider:
Postal: University of Rochester, Center for Economic Research, Department of Economics, Harkness 231 Rochester, New York 14627 U.S.A.

Related research

Keywords: EVALUATION; ECONOMETRICS;

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Citations

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Cited by:
  1. Bai, Jushan & Ng, Serena, 2001. "A consistent test for conditional symmetry in time series models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 225-258, July.
  2. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 325-353, November.
  3. Boswijk, H. Peter & Lucas, André & Taylor, Nick, 1998. "A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests," Serie Research Memoranda 0062, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  4. Boswijk, H. Peter & Lucas, Andre, 2002. "Semi-nonparametric cointegration testing," Journal of Econometrics, Elsevier, vol. 108(2), pages 253-280, June.
  5. repec:dgr:uvatin:2099012 is not listed on IDEAS
  6. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute.
  7. Alicia Pérez Alonso, 2006. "A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models," Working Papers. Serie AD 2006-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  8. Perez-Alonso, Alicia, 2007. "A bootstrap approach to test the conditional symmetry in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3484-3504, April.
  9. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute.
  10. Douglas J Hodgson & Oliver Linton & Keith Vorkink, 2000. "Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach," STICERD - Econometrics Paper Series /2000/398, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  11. Hodgson, Douglas J., 1998. "Adaptive estimation of cointegrating regressions with ARMA errors," Journal of Econometrics, Elsevier, vol. 85(2), pages 231-267, August.
  12. Douglas Hodgson & Barrett Slade & Keith Vorkink, 2006. "Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 32(2), pages 151-168, March.
  13. Hallin, M. & Akker, R. van den & Werker, B.J.M., 2012. "Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Discussion Paper 2012-089, Tilburg University, Center for Economic Research.
  14. Jushan Bai & Serena Ng, 1998. "A Test for Conditional Symmetry in Time Series Models," Boston College Working Papers in Economics 410, Boston College Department of Economics.
  15. Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal.

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