Directionally Differentiable Econometric Models with Application to Rosenberg's Conditional Heteroskedasticity Models


Jin Seo Cho (Yonsei University)
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大証寄附研究部門セミナーシリーズ第30回
Directionally Differentiable Econometric Models with Application to Rosenberg's Conditional Heteroskedasticity Models

Jin Seo Cho (Yonsei University)

We relax the differentiability condition for standard econometric models to the level of directional Gateaux differentiability and analyze asymptotic distribution of extremum estimator. We show that its asymptotic distribution can be represented as a functional of Gaussian process indexed by direction. Our analysis also treats the differentiable models as a special case of directionally differentiable models.

For data inference, we refine standard likelihood ratio, Wald, and Lagrange multiplier test statistics. These refinements also permit the presence of nuisance parameters. Further, from this, these test statistics are shown to be asymptotically equivalent if the null models are differentiable and do not have boundary parameters.

講 師:
Jin Seo Cho (Yonsei University)
テーマ:
Directionally Differentiable Econometric Models with Application to Rosenberg's Conditional Heteroskedasticity Models
日 時:
2012年02月08日(水)16:20-17:50
場 所:
大阪大学大学院基礎工学研究科 (豊中キャンパス)I 棟 204号室
参加費:
無料
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