Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models

Panayiotis Theodossiou (), James McDonald () and Christian B. Hansen

Economics - The Open-Access, Open-Assessment E-Journal, 2007, vol. 1, issue 7, pages 1-20

Abstract: 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. --

Keywords: Partially Adaptive Estimation; Econometric Models (search for similar items in EconPapers)
JEL-codes: C15 C14 C13 (search for similar items in EconPapers)
Date: 2007
View list of references

Downloads: (external link)
http://www.economics-ejournal.org/economics/journalarticles/2007-7 (application/pdf)

Related works:
Working Paper: Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:zbw:ifweej:5742

Access Statistics for this article

Economics - The Open-Access, Open-Assessment E-Journal is edited by Dennis J. Snower

More articles in Economics - The Open-Access, Open-Assessment E-Journal from Kiel Institute for the World Economy
Contact information at EDIRC.
Series data maintained by ZBW - German National Library for Economics ().