Estimation of econometric models with nonparametrically specified risk terms

Badi H. Baltagi; Qi Li

doi:10.1081/ETC-100106999

Estimation of econometric models with nonparametrically specified risk terms

Badi H. Baltagi, Qi Li

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

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 (Formula presented.) -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.

Original language	English (US)
Pages (from-to)	445-460
Number of pages	16
Journal	Econometric Reviews
Volume	20
Issue number	4
DOIs	https://doi.org/10.1081/ETC-100106999
State	Published - 2001
Externally published	Yes

Keywords

Asymptotic normality
Exchange market
JEL Classification: C14; C12
Risk premium
Semiparametric estimation
√n-consistency

ASJC Scopus subject areas

Economics and Econometrics

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10.1081/ETC-100106999

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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 (Formula presented.) -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.",

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doi = "10.1081/ETC-100106999",

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AU - Li, Qi

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AB - 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 (Formula presented.) -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.

KW - Asymptotic normality

KW - Exchange market

KW - JEL Classification: C14; C12

KW - Risk premium

KW - Semiparametric estimation

KW - √n-consistency

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Estimation of econometric models with nonparametrically specified risk terms

Abstract

Keywords

ASJC Scopus subject areas

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