Adaptive estimation of cointegrating regressions with ARMA errors

Hodgson, Douglas J.

doi:10.1016/s0304-4076(97)00101-2

Cited by 24 publications

(29 citation statements)

References 43 publications

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“…Although trimming is theoretically required to calculate b = = i , we elected not to trim, due to the large size of our sample. 9 9 Monte Carlo evidence presented by Hsieh and Manski (1987) and Hodgson (1998aHodgson ( ,b, 1999 show that adaptive estimators with normal kernels behave well with very little trimming for sample sizes in the 100-200 range.…”

Section: Econometric Modelmentioning

confidence: 99%

“…(Hodgson and Vorkink, 2003), among others. Hsieh and Manski (1987) and Hodgson (1998aHodgson ( , 1999 have reported generally favorable simulation evidence on the behavior of these estimators. Among the empirical applications in econometrics are exchange rate models (Hodgson, 1999), the unconditional capital asset pricing model (CAPM) (Hodgson et al, 2002), and the conditional CAPM (Hodgson and Vorkink, 2003).…”

Section: Introductionmentioning

confidence: 97%

See 1 more Smart Citation

Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach

Hodgson

Slade

Vorkink

2006

J Real Estate Finan Econ

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Constant-quality commercial indices generated by ordinary least squares may suffer an efficiency loss due to leptokurtosis caused by outliers in transactions data. When the subsequent nonnormality occurs, substantial improvement in index precision is obtained by estimating the hedonic model using a semiparametric adaptive estimator technique. When this method was applied to 1,846 office transactions that occurred in the Phoenix metropolitan area from January 1997 through June 2004, a substantial standard error reduction of approximately 9% was realized relative to ordinary least squares estimates. The difference in average returns between the semiparametric method and ordinary least squares was about 0.25% in each period, which represents a substantial increase in commercial property index precision. Copyright Springer Science + Business Media, Inc. 2006hedonic price indices, commercial office property, semiparametric adaptive estimators,

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Section: Econometric Modelmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 97%

Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach

Hodgson

Slade

Vorkink

2006

J Real Estate Finan Econ

Self Cite

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“…Often, they also suggest how to construct optimal procedures. That approach, for cointegration models, has been taken by several authors, including Phillips (1991), Jeganathan (1997 and Hodgson (1998aHodgson ( , 1998b, and exploited to construct optimal tests for hypotheses on the cointegration vectors. This paper focuses on the construction of optimal tests for hypotheses on the cointegration rank in error-correction models (ECMs).…”

Section: Introductionmentioning

confidence: 99%

Optimal Pseudo-Gaussian and Rank-Based Tests of the Cointegration Rank in Semiparametric Error-Correction Models

Hallin

Werker²,

Akker

2015

SSRN Journal

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Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction ModelsHallin, M.; Werker, B.J.M.; van den Akker, R. Document version:Early version, also known as pre-print General rightsCopyright and moral rights for the publications made accessible in the public portal are retained by the authors and/or other copyright owners and it is a condition of accessing publications that users recognise and abide by the legal requirements associated with these rights.-Users may download and print one copy of any publication from the public portal for the purpose of private study or research -You may not further distribute the material or use it for any profit-making activity or commercial gain -You may freely distribute the URL identifying the publication in the public portal Take down policy If you believe that this document breaches copyright, please contact us providing details, and we will remove access to the work immediately and investigate your claim. AbstractThis paper provides locally optimal pseudo-Gaussian and rank-based tests for the cointegration rank in linear cointegrated error-correction models with i.i.d. elliptical innovations. The proposed tests are asymptotically distribution-free, hence their validity does not depend on the actual distribution of the innovations. The proposed rank-based tests depend on the choice of scores, associated with a reference density that can freely be chosen. Under appropriate choices they are achieving the semiparametric efficiency bounds; when based on Gaussian scores, they moreover uniformly dominate their pseudo-Gaussian counterparts. Simulations show that the asymptotic analysis provides an accurate approximation to finite-sample behavior. The theoretical results are based on a complete picture of the asymptotic statistical structure of the model under consideration.

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“…Traditionally, Gaussian likelihood or moment-based procedures are used for estimation and testing problems concerning, e.g., the cointegrating rank or the cointegrating vectors; see, e.g., Stock (1987), Johansen and Juselius (1990), Johansen (1988Johansen ( , 1991Johansen ( , 1995, Phillips (1991) and Reinsel and Ahn (1992). Moreover, some papers describe (part of) the asymptotic structure of cointegrating models from a statistical point of view, notably Phillips (1991), Jeganathan (1997) and Hodgson (1998aHodgson ( , 1998b. We unify and extend these results by providing a complete characterization of the limiting experiments (à la Le Cam) arising within non-seasonal cointegrating Error Correction Models (ECMs) with independent and identically elliptically distributed innovations.…”

Section: Introductionmentioning

confidence: 99%

Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models

Hallin,

van den Akker,

Werker

2012

SSRN Journal

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Adaptive estimation of cointegrating regressions with ARMA errors

Cited by 24 publications

References 43 publications

Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach

Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach

Optimal Pseudo-Gaussian and Rank-Based Tests of the Cointegration Rank in Semiparametric Error-Correction Models

Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models

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