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Estimation Of Econometric Models With Nonparametrically Specified Risk Terms

Author

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  • Badi Baltagi
  • Qi Li

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 [image omitted]-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.

Suggested Citation

  • Badi Baltagi & Qi Li, 2001. "Estimation Of Econometric Models With Nonparametrically Specified Risk Terms," Econometric Reviews, Taylor & Francis Journals, vol. 20(4), pages 445-460.
    • Handle: RePEc:taf:emetrv:v:20:y:2001:i:4:p:445-460
    DOI: 10.1081/ETC-100106999
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    Cited by:

    1. Catalina Herrera-Almanza & Fernanda Marquez-Padilla & Silvia Prina, 2024. "C-Sections, Obesity, and Healthcare Specialization: Evidence from Mexico," The World Bank Economic Review, World Bank, vol. 38(1), pages 139-160.
    2. John M. Krieg & Charles S. Wassell Jr. & David W. Hedrick & Steven E. Henson, 2013. "Collective Bargaining and Faculty Job Satisfaction," Industrial Relations: A Journal of Economy and Society, Wiley Blackwell, vol. 52(3), pages 619-644, July.
    3. Fraisse, H. & Frouté, P., 2012. "Households Debt Restructuring: Evidence from the French Experience," Working papers 404, Banque de France.
    4. Bhaven Sampat & Heidi L. Williams, 2019. "How Do Patents Affect Follow-On Innovation? Evidence from the Human Genome," American Economic Review, American Economic Association, vol. 109(1), pages 203-236, January.
    5. Li, Qi & Yang, Jian & Hsiao, Cheng & Chang, Young-Jae, 2005. "The relationship between stock returns and volatility in international stock markets," Journal of Empirical Finance, Elsevier, vol. 12(5), pages 650-665, December.
    6. Jaeun Shin, 2005. "Stock Returns and Volatility in Emerging Stock Markets," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 4(1), pages 31-43, April.

    More about this item

    Keywords

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

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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