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Uneven two-sided power distributions with applications in econometric models

Author

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  • Samuel Kotz

    (The George Washington University)

  • J. René Dorp

    (The George Washington University)

Abstract

. In this paper we propose and analyze a bounded density function with a jump discontinuity at a threshold. Its properties are presented and a maximum likelihood estimation (MLE) procedure for the threshold location and jump size is developed. The distribution seems be appropriate in the context of financial engineering, production analysis, standard auction models and the equilibrium job search problem. An example of the MLE procedure is given utilizing an i.i.d. sample of standardized log differences of bi-monthly US Certificate Deposit interest rates for the period from 1966-2002. The corresponding time series was constructed using an Auto-Regressive Conditional Heteroscedastic (ARCH) model.

Suggested Citation

  • Samuel Kotz & J. René Dorp, 2004. "Uneven two-sided power distributions with applications in econometric models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 13(3), pages 285-313, December.
    • Handle: RePEc:spr:stmapp:v:13:y:2004:i:3:d:10.1007_s10260-004-0099-x
    DOI: 10.1007/s10260-004-0099-x
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    Cited by:

    1. Donatella Vicari & Johan Rene Van Dorp & Samuel Kotz, 2008. "Two-sided generalized Topp and Leone (TS-GTL) distributions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 35(10), pages 1115-1129.

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