Dynamic modeling under linear-exponential loss

Stanislav Anatolyev

No w0092, Working Papers from Center for Economic and Financial Research (CEFIR)

Abstract: We develop a methodology of parametric modeling of time series dynamics when the underlying loss function is linear-exponential (Linex). We propose to directly model the dynamics of the conditional expectation that determines the optimal predictor. The procedure hinges on the exponential quasi maximum likelihood interpretation of the Linex loss and nicely fits the multiple error modeling framework. Many conclusions relating to estimation, inference and forecasting follow from results already available in the econometric literature. The methodology is illustrated using data on United States GNP growth and Treasury bill returns.

Keywords: Linear-exponential loss; optimal predictor; quasi maximum likelihood; multiple error model; autoregressive conditional durations (search for similar items in EconPapers)
JEL-codes: C22 C51 C52 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2006-12
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://www.cefir.ru/papers/WP92.pdf (application/pdf)

Related works:
Journal Article: Dynamic modeling under linear-exponential loss (2009)
Working Paper: Dynamic modeling under linear-exponential loss (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:cfr:cefirw:w0092

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