Generalized Method of Moments with Tail Trimming
نویسندگان
چکیده
We develop a GMM estimator for stationary heavy tailed data by trimming an asymptotically vanishing sample portion of the estimating equations. Trimming ensures the estimator is asymptotically normal, and self-normalization implies we do not need to know the rate of convergence. Tail -trimming, however, ensures asymmetric models are covered under rudimentary assumptions about the thresholds, and it implies possibly heterogeneous convergence rates below, at or above √ T . Further, it implies super√ T -consistency is achievable depending on regressor and error tail thickness and feedback, with a rate equivalent to the largest possible rate amongst untrimmed minimum distance estimators for linear models with iid errors, and a faster rate than QML for heavy tailed GARCH. In the latter cases the optimal rate is achieved with the efficient GMM weight, and by using simple rules of thumb for choosing the number of trimmed equations. Simulation evidence shows the new estimator dominates GMM and QML when these estimators are not or have not been shown to be asymptotically normal.
منابع مشابه
Robust Minimum Distance Estimation for Nonlinear Semi-Strong GARCH Models
We develop a class of Minimum Distance Estimators for semi-strong Nonlinear ARMAX-Nonlinear GARCH processes. The estimators are asymptotically normal for possibly very heavy-tailed data due to underlying shocks and/or model parameter values. In particular we only impose trivial moment conditions on the GARCH errors, covering non-stationary GARCH. The MDE class is couched within a Method of Mome...
متن کاملHigher moments portfolio Optimization with unequal weights based on Generalized Capital Asset pricing model with independent and identically asymmetric Power Distribution
The main criterion in investment decisions is to maximize the investors utility. Traditional capital asset pricing models cannot be used when asset returns do not follow a normal distribution. For this reason, we use capital asset pricing model with independent and identically asymmetric power distributed (CAPM-IIAPD) and capital asset pricing model with asymmetric independent and identically a...
متن کاملInfluences of Switch Trimming on Cleanliness and Udder Health in Dairy Cattle
The periodic trimming of the long hairs growing at the distal end of the tail -switch trimming- is humane alternative of tail docking. The purpose of this study was to determine the influence of switch trimming on somatic cell count (SCC), California mastitis test (CMT) and udder cleanliness of lactating cows in a free-stall dairy farm. In the present study, 219 healthy, pregnant Holstein cows ...
متن کاملThe Welfare Cost of Inflation: Theory with an Application of Generalized Method of Moments (GMM) to Ira
متن کامل
Finite Sample Properties of Localized Moment Estimator
This paper investigates finite sample properties of localized version of moment estimator including Local Generalized Method of Moments(LGMM) and conditional Euclidean Empirical Likelihood(CEEL) estimator. By comparing the performance of LGMM estimator and C-EEL estimator with various nonparametric techniques including the choice of bandwidth, choice of kernel and trimming strategies, this pape...
متن کامل