Gaussian Rank Correlation and Regression

Dante Amengual, Enrique Sentana and Zhanyuan Tian

A chapter in Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology, 2022, vol. 43B, pp 269-306 from Emerald Group Publishing Limited

Abstract: We study the statistical properties of Pearson correlation coefficients of Gaussian ranks, and Gaussian rank regressions – ordinary least-squares (OLS) models applied to those ranks. We show that these procedures are fully efficient when the true copula is Gaussian and the margins are non-parametrically estimated, and remain consistent for their population analogs otherwise. We compare them to Spearman and Pearson correlations and their regression counterparts theoretically and in extensive Monte Carlo simulations. Empirical applications to migration and growth across US states, the augmented Solow growth model and momentum and reversal effects in individual stock returns confirm that Gaussian rank procedures are insensitive to outliers.

Keywords: Copula; growth regressions; migration; misspecification; momentum; robustness; short-term reversals; C13; C46; G14; O47 (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... 1-90532021000043B012
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

Related works:
Working Paper: Gaussian Rank Correlation and Regression (2020)
Working Paper: Gaussian rank correlation and regression (2020)
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:eme:aecozz:s0731-90532021000043b012

DOI: 10.1108/S0731-90532021000043B012

Access Statistics for this chapter

More chapters in Advances in Econometrics from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().