Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models

20 Pages Posted: 18 Dec 2010

See all articles by Christian Hansen

Christian Hansen

University of Chicago - Booth School of Business - Econometrics and Statistics

James McDonald

Brigham Young University

Panayiotis Theodossiou

Cyprus University of Technology

Multiple version iconThere are 2 versions of this paper

Date Written: 2007

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

JEL Classification: C15, C14, C13

Suggested Citation

Hansen, Christian and McDonald, James B. and Theodossiou, Panayiotis, Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models (2007). Economics: The Open-Access, Open-Assessment E-Journal, Vol. 1, 2007-7. Available at SSRN: https://ssrn.com/abstract=1726799 or http://dx.doi.org/10.5018/economics-ejournal.ja.2007-7

Christian Hansen

University of Chicago - Booth School of Business - Econometrics and Statistics ( email )

Chicago, IL 60637
United States
773-834-1702 (Phone)

James B. McDonald

Brigham Young University ( email )

130 Faculty Office Bldg.
Provo, UT 84602-2363
United States
801-378-3463 (Phone)

Panayiotis Theodossiou (Contact Author)

Cyprus University of Technology ( email )

Limassol, 3603
Cyprus

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