EconPapers    
Economics at your fingertips  
 

R-estimation in semiparametric dynamic location-scale models

Marc Hallin () and Davide La Vecchia

Journal of Econometrics, 2017, vol. 196, issue 2, 233-247

Abstract: We propose rank-based estimation (R-estimators) as an alternative to Gaussian quasi-likelihood and standard semiparametric estimation in time series models, where conditional location and/or scale depend on a Euclidean parameter of interest, while the unspecified innovation density is a nuisance. We show how to construct R-estimators achieving semiparametric efficiency at some predetermined reference density while preserving root-n consistency and asymptotic normality irrespective of the actual density. Contrary to the standard semiparametric estimators, our R-estimators neither require tangent space calculations nor innovation density estimation. Numerical examples illustrate their good performances on simulated and real data.

Keywords: Conditional heteroskedasticity; Distribution-freeness; Discretely observed Lévy processes; Forecasting; R-estimation; Realized volatility; Skew-t family (search for similar items in EconPapers)
JEL-codes: C13 C14 C22 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407616301725
Full text for ScienceDirect subscribers only

Related works:
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:eee:econom:v:196:y:2017:i:2:p:233-247

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-10-09
Handle: RePEc:eee:econom:v:196:y:2017:i:2:p:233-247