Supplementary Appendix to: Nearest Comoment Estimation with Unobserved Factors

27 Pages Posted: 12 Nov 2018 Last revised: 30 Mar 2019

See all articles by Kris Boudt

Kris Boudt

Ghent University; Vrije Universiteit Brussel; Vrije Universiteit Amsterdam

Dries Cornilly

Vrije Universiteit Brussel (VUB); KU Leuven

Tim Verdonck

KU Leuven

Date Written: March 27, 2019

Abstract

Full paper is available at: https://ssrn.com/abstract=3087336.

In this supplementary appendix to the paper Boudt, Cornilly and Verdonck (2019), we first provide a brief R tutorial for the proposed NC estimator. Then, we go into more detail about the shape of its influence function. Additionally, we study the MSE in the case where n / p is constant and consider the sensitivity of the NC estimator with respect to model misspecification. We extend the simulations in the main paper by showing the performance of the proposed AIC and BIC selection criteria. We include three goodness-of-fit statistics and examine their coverage in the simulation settings of the main paper and explain how the theory changes when the mean of X is assumed to be known. Furthermore, we give examples of moment expansions that are relevant in economics and finance, define mean-variance-skewness-kurtosis efficient portfolios and give the element-wise formulas for the moments under a factor model.

Keywords: higher-order multivariate moments; latent factor model; minimum distance estimation; risk assessment; structural equation modelling

JEL Classification: C100; C130; C510

Suggested Citation

Boudt, Kris and Cornilly, Dries and Verdonck, Tim, Supplementary Appendix to: Nearest Comoment Estimation with Unobserved Factors (March 27, 2019). Available at SSRN: https://ssrn.com/abstract=3269127 or http://dx.doi.org/10.2139/ssrn.3269127

Kris Boudt

Ghent University ( email )

Sint-Pietersplein 5
Gent, 9000
Belgium

Vrije Universiteit Brussel ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

Vrije Universiteit Amsterdam ( email )

De Boelelaan 1105
Amsterdam, ND North Holland 1081 HV
Netherlands

Dries Cornilly (Contact Author)

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
Brussels, Brussels 1050
Belgium

KU Leuven

Celestijnenlaan 200B
Leuven, Vlaams-Brabant 3001
Belgium

Tim Verdonck

KU Leuven ( email )

Celestijnenlaan 200B
Leuven, 3001
Belgium

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