Supplemental Material for ”Robust Generalized Empirical Likelihood for Heavy Tailed Autoregressions with Conditionally Heteroscedastic Errors”

نویسنده

  • Jonathan B. Hill
چکیده

The following tables and figures report all results from the three simulation experiments in the main paper. In all cases the instruments are zt = [yt−1, yt−2] ′. Tables T.1-T.3 concern trimmed EL for each transform, based on weight Wt = 1/ ∏2 i=1(1 + y 2 t−i) 1/2. Tables T.4-T.6 concern trimmed CUE for each transform based on weightWt = 1/(1 + y2 t−1). In those cases the model estimated is AR(1) with i.i.d. t that is symmetrically P1.5, P2.5 or P4.5 distributed; or with GARCH t that has an i.i.d. error ut that is P2.5 or P4.5 distributed; or IGARCH t that has an i.i.d. error ut that is N(0, 1) distributed. Tables T.7-T.9 concern trimmed EL for each transform, based on the smaller weightWt = 1/ ∏2 i=1(1+ y2 t−i). The model is AR(1) with i.i.d. t that is symmetrically P.75, P1.5, or P2.5 distributed. Figures F.1-F.4 contain plots of confidence regions, bias, median, root mean squared error [rmse], and 95% coverage probabilities for EL estimates under simple trimming, for the AR model with an i.i.d. or GARCH error, and n ∈ {100, 500}. Figures F.5-F.8 contain related plots for the AR model with an i.i.d. error that may be very heavy tailed.

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تاریخ انتشار 2014