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1 – 4 of 4Igor Vaynman and Brendan K. Beare
The variance targeting estimator (VTE) for generalized autoregressive conditionally heteroskedastic (GARCH) processes has been proposed as a computationally simpler and…
Abstract
The variance targeting estimator (VTE) for generalized autoregressive conditionally heteroskedastic (GARCH) processes has been proposed as a computationally simpler and misspecification-robust alternative to the quasi-maximum likelihood estimator (QMLE). In this paper we investigate the asymptotic behavior of the VTE when the stationary distribution of the GARCH process has infinite fourth moment. Existing studies of historical asset returns indicate that this may be a case of empirical relevance. Under suitable technical conditions, we establish a stable limit theory for the VTE, with the rate of convergence determined by the tails of the stationary distribution. This rate is slower than that achieved by the QMLE. The limit distribution of the VTE is nondegenerate but singular. We investigate the use of subsampling techniques for inference, but find that finite sample performance is poor in empirically relevant scenarios.
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Purevdorj Tuvaandorj and Victoria Zinde-Walsh
We consider conditional distribution and conditional density functionals in the space of generalized functions. The approach follows Phillips (1985, 1991, 1995) who employed…
Abstract
We consider conditional distribution and conditional density functionals in the space of generalized functions. The approach follows Phillips (1985, 1991, 1995) who employed generalized functions to overcome non-differentiability in order to develop expansions. We obtain the limit of the kernel estimators for weakly dependent data, even under non-differentiability of the distribution function; the limit Gaussian process is characterized as a stochastic random functional (random generalized function) on the suitable function space. An alternative simple to compute estimator based on the empirical distribution function is proposed for the generalized random functional. For test statistics based on this estimator, limit properties are established. A Monte Carlo experiment demonstrates good finite sample performance of the statistics for testing logit and probit specification in binary choice models.
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