Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models

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dc.creator	Theodossiou, Panayiotis
dc.creator	McDonald, James B.
dc.creator	Hansen, Christian B.
dc.date	2007
dc.date.accessioned	2013-10-16T06:57:54Z
dc.date.available	2013-10-16T06:57:54Z
dc.date.issued	2013-10-16
dc.identifier	Economics: The Open-Access, Open-Assessment E-Journal 1 2007-7 1-20 doi:10.5018/economics-ejournal.ja.2007-7
dc.identifier	doi:10.5018/economics-ejournal.ja.2007-7
dc.identifier	http://hdl.handle.net/10419/18005
dc.identifier	ppn:537360301
dc.identifier	http://www.economics-ejournal.org/economics/journalarticles/2007-7
dc.identifier	RePEc:zbw:ifweej:5742
dc.identifier.uri	http://koha.mediu.edu.my:8181/xmlui/handle/10419/18005
dc.description	This paper provides a survey of three families of flexible parametric probability density functions (the skewed generalized t, the exponential generalized beta of the second kind, and the inverse hyperbolic sine distributions) which can be used in modeling a wide variety of econometric problems. A figure, which can facilitate model selection, summarizing the admissible combinations of skewness and kurtosis spanned by the three distributional families is included. Applications of these families to estimating regression models demonstrate that they may exhibit significant efficiency gains relative to conventional regression procedures, such as ordinary least squares estimation, when modeling non-normal errors with skewness and/or leptokurtosis, without suffering large efficiency losses when errors are normally distributed. A second example illustrates the application of flexible parametric density functions as conditional distributions in a GARCH formulation of the distribution of returns on the S&P500. The skewed generalized t can be an important model for econometric analysis.
dc.language	eng
dc.publisher	Kiel Institute for the World Economy (IfW) Kiel
dc.relation	economics - The Open-Access, Open-Assessment E-Journal 2007-7
dc.rights	http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
dc.subject	C15
dc.subject	C14
dc.subject	C13
dc.subject	ddc:330
dc.subject	Partially Adaptive Estimation
dc.subject	Econometric Models
dc.subject	Statistische Verteilung
dc.subject	ARCH-Modell
dc.subject	Nichtparametrisches Verfahren
dc.subject	Ökonometrisches Modell
dc.subject	Schätzung
dc.title	Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models
dc.type	doc-type:article