Estimating Parameters in Autoregressive Models with Asymmetric Innovations
Tiku 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.
|Date of creation:||2004|
|Contact details of provider:|| Web page: http://www.fas.nus.edu.sg/ecs/index.html|
More information through EDIRC
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.:
- Wong, Wing-Keung & Li, Chi-Kwong, 1999. "A note on convex stochastic dominance," Economics Letters, Elsevier, vol. 62(3), pages 293-300, March.
- 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.
- Wing-keung Wong & Raymond Chan, 2004. "On the estimation of cost of capital and its reliability," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 365-372.
- 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.
When requesting a correction, please mention this item's handle: RePEc:nus:nusewp:wp0408. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.