Topics in Econometrics 1996/97 Some Statistical Properties of the Ols Estimator

Topics in Econometrics 1998: Bocconi Some Statistical Properties of the Ols Estimator

Topics in Econometrics 2000: Associate Students Some Statistical Properties of the Ols Estimator

On Some Properties and Estimation of a Skew Symmetric Density Function

 In this paper we consider a general setting of skew-symmetric distribution which was constructed by Azzalini (1985), and its properties are presented. A suitable empirical estimator for a skew-symmetric distribution is proposed. In data analysis, by comparing this empirical model with the estimated skew-normal distribution, we show that the proposed empirical model has a better fit in den...

Comparing cointegrating regression estimators: Some additional Monte Carlo results

This paper compares the finite sample performance of the canonical correlation regression estimator (CCR) and Stock and Watson's (A simple estimator of cointegration vectors in higher order integrated systems, Econometrica, 1993, 61(4), 783-820) dynamic ordinary least squares estimator (DOLS) using the models proposed by Inder (Journal of Econometrics, 1993, 57, 53-68). The CCR estimator shows ...

Parameter Estimation of Some Archimedean Copulas Based on Minimum Cramér-von-Mises Distance

The purpose of this paper is to introduce a new estimation method for estimating the Archimedean copula dependence parameter in the non-parametric setting. The estimation of the dependence parameter has been selected as the value that minimizes the Cramér-von-Mises distance which measures the distance between Empirical Bernstein Kendall distribution function and true Kendall distribution functi...