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This paper proposes a first-order zero-drift GARCH (ZD-GARCH(1, 1)) model to study conditional heteroscedasticity and heteroscedasticity together. Unlike the classical GARCH model, the ZD-GARCH(1, 1) model is always non-stationary regardless of the sign of the Lyapunov exponent , but interestingly it is stable with its sample path oscillating randomly between zero and infinity over time when . Furthermore, this paper studies the generalized quasi-maximum likelihood estimator (GQMLE) of the ZD-GARCH(1, 1) model, and establishes its strong consistency and asymptotic normality. Based on the GQMLE, an estimator for , a -test for stability, a unit root test for the absence of the drift term, and a portmanteau test for model checking are all constructed. Simulation studies are carried out to assess the finite sample performance of the proposed estimators and tests. Applications demonstrate that a stable ZD-GARCH(1, 1) model is more appropriate than a non-stationary GARCH(1, 1) model in fitting the KV-A stock returns in Francq and Zakoïan (2012). 相似文献
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Ying Zhu 《Journal of econometrics》2018,202(2):196-213
We explore the validity of the 2-stage least squares estimator with -regularization in both stages, for linear triangular models where the numbers of endogenous regressors in the main equation and instruments in the first-stage equations can exceed the sample size, and the regression coefficients are sufficiently sparse. For this -regularized 2-stage least squares estimator, we first establish finite-sample performance bounds and then provide a simple practical method (with asymptotic guarantees) for choosing the regularization parameter. We also sketch an inference strategy built upon this practical method. 相似文献
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This paper defines the notion of a local equilibrium of quality , , in a discrete exchange economy: a partial allocation and item prices that guarantee certain stability properties parametrized by the numbers and . The quality measures the fit between the allocation and the prices: the larger and the closer the fit. For this notion provides a graceful degradation for the conditional equilibria of Fu, Kleinberg and Lavi (2012) which are exactly the local equilibria of quality . For the local equilibria of quality are more stable than conditional equilibria. Any local equilibrium of quality provides, without any assumption on the type of the agents’ valuations, an allocation whose value is at least the optimal fractional allocation. In any economy in which all agents’ valuations are -submodular, i.e., exhibit complementarity bounded by , there is a local equilibrium of quality . In such an economy any greedy allocation provides a local equilibrium of quality . Walrasian equilibria are not amenable to such graceful degradation. 相似文献
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We provide a new test for equality of two symmetric positive-definite matrices that leads to a convenient mechanism for testing specification using the information matrix equality or the sandwich asymptotic covariance matrix of the GMM estimator. The test relies on a new characterization of equality between two dimensional symmetric positive-definite matrices and : the traces of and are equal to if and only if . Using this simple criterion, we introduce a class of omnibus test statistics for equality and examine their null and local alternative approximations under some mild regularity conditions. A preferred test in the class with good omni-directional power is recommended for practical work. Monte Carlo experiments are conducted to explore performance characteristics under the null and local as well as fixed alternatives. The test is applicable in many settings, including GMM estimation, SVAR models and high dimensional variance matrix settings. 相似文献
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We consider a first-order autoregressive model with conditionally heteroskedastic innovations. The asymptotic distributions of least squares (LS), infeasible generalized least squares (GLS), and feasible GLS estimators and statistics are determined. The GLS procedures allow for misspecification of the form of the conditional heteroskedasticity and, hence, are referred to as quasi-GLS procedures. The asymptotic results are established for drifting sequences of the autoregressive parameter and the distribution of the time series of innovations. In particular, we consider the full range of cases in which satisfies and as , where is the sample size. Results of this type are needed to establish the uniform asymptotic properties of the LS and quasi-GLS statistics. 相似文献
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We study the house allocation problem with existing tenants: houses (stand for “indivisible objects”) are to be allocated to agents; each agent needs exactly one house and has strict preferences; houses are initially unowned; agents initially do not own houses; the remaining agents (the so-called “existing tenants”) initially own the remaining houses (each owns one). In this setting, we consider various randomized allocation rules under which voluntary participation of existing tenants is assured and the randomization procedure either treats agents equally or discriminates against some (or all) of the existing tenants. We obtain two equivalence results, which generalize the equivalence results in Abdulkadiroğlu and Sönmez (1999) and Sönmez and Ünver (2005). 相似文献
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