Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models

Panayiotis Theodossiou (), James McDonald and Christian Hansen

Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2007, vol. 1, No 2007-7, 20 pages

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: C13 C14 C15 (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

Downloads: (external link)
http://dx.doi.org/10.5018/economics-ejournal.ja.2007-7
https://www.econstor.eu/bitstream/10419/18005/1/economics_2007-7.pdf (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: https://EconPapers.repec.org/RePEc:zbw:ifweej:5742

DOI: 10.5018/economics-ejournal.ja.2007-7

Access Statistics for this article

Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) is currently edited by Dennis J. Snower

More articles in Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) from Kiel Institute for the World Economy (IfW Kiel) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().