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R-estimation in semiparametric dynamic location-scale models

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  • Hallin, Marc
  • La Vecchia, Davide

Abstract

We propose rank-based estimation (R-estimators) as an alternative to Gaussian quasi-likelihood and standard semiparametric estimation in time series models, where conditional location and/or scale depend on a Euclidean parameter of interest, while the unspecified innovation density is a nuisance. We show how to construct R-estimators achieving semiparametric efficiency at some predetermined reference density while preserving root-n consistency and asymptotic normality irrespective of the actual density. Contrary to the standard semiparametric estimators, our R-estimators neither require tangent space calculations nor innovation density estimation. Numerical examples illustrate their good performances on simulated and real data.

Suggested Citation

  • Hallin, Marc & La Vecchia, Davide, 2017. "R-estimation in semiparametric dynamic location-scale models," Journal of Econometrics, Elsevier, vol. 196(2), pages 233-247.
  • Handle: RePEc:eee:econom:v:196:y:2017:i:2:p:233-247
    DOI: 10.1016/j.jeconom.2016.08.002
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    More about this item

    Keywords

    Conditional heteroskedasticity; Distribution-freeness; Discretely observed Lévy processes; Forecasting; R-estimation; Realized volatility; Skew-t family;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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