Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models

Panayiotis Theodossiou (), James McDonald and Christian Hansen

No 2007-13, Economics Discussion Papers from Kiel Institute for the World Economy (IfW Kiel)

Abstract: This paper discusses three families of flexible parametric probability density functions: the skewed generalized t, the exponential generalized beta of the second kind, and the inverse hyperbolic sin distributions. These families allow quite flexible modeling the first four moments of a distribution and could be considered in modeling a wide variety of economic problems. We illustrate their use in a simple regression model with a simulation study that demonstrates that the use of the flexible distributions may result in significant efficiency gains relative to more conventional regression procedures, such as ordinary least squares or least absolute deviations regression, without a suffering from a large efficiency loss when errors are Gaussian.

Keywords: Partially Adaptive Estimation; Econometric Models (search for similar items in EconPapers)
JEL-codes: C13 C14 C15 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (19)

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Journal Article: Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwedp:5527

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