ESTIMATION OF ECONOMETRIC MODELS WITH NONPARAMETRICALLY SPECIFIED RISK TERMS

Badi Baltagi and Qi Li

Econometric Reviews, 2001, vol. 20, issue 4, 445-460

Abstract: This paper studies the asymptotic properties of the semiparametric estimator considered by Pagan and Ullah (1988) and Pagan and Hong (1991) for models with risk terms. We show that when the risk term is nonparametrically specified, the estimator with generated regressors suggested by Pagan and Ullah (1988) and Pagan and Hong (1991) is [image omitted]-consistent and has an asymptotic normal distribution. The result is then applied to analyzing risk premium for the U.S. dollar against the British pound, the French franc and the Japanese yen exchange markets for monthly data covering the period 1976:1 to 1992:8.

Keywords: Risk premium, Exchange market, Semiparametric estimation, √n-consistency, Asymptotic normality, JEL Classification: C14; C12, (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:20:y:2001:i:4:p:445-460

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DOI: 10.1081/ETC-100106999

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