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Moment-Based Estimation of Smooth Transition Regression Models with Endogenous Variables
http://hdl.handle.net/2261/28500
http://hdl.handle.net/2261/28500b36e8929-e981-4cf4-9c10-f3726ae11496
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Moment-Based Estimation of Smooth Transition Regression Models with Endogenous Variables | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Smooth transition | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | nonlinear models | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | nonlinear instrumental variables | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | generalized method of moments | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | endogeneity | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | inflation targeting | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Areosa, Waldyr Dutra
× Areosa, Waldyr Dutra× McAleer, Michael× Medeiros, Marcelo C. |
|||||
著者所属 | ||||||
著者所属 | Department of Economics Pontifical Catholic University of Rio de Janeiro | |||||
著者所属 | ||||||
著者所属 | Banco Central do Brasil Michael McAleer Econometric Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
著者所属 | ||||||
著者所属 | Tinbergen Institute The Netherlands | |||||
著者所属 | ||||||
著者所属 | Center for International Research on the Japanese Economy (CIRJE) Faculty of Economics University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Department of Economics Pontifical Catholic University of Rio de Janeiro | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | Nonlinear regression models have been widely used in practice for a variety of time series and cross-section datasets. For purposes of analyzing univariate and multivariate time series data, in particular, Smooth Transition Regression (STR) models have been shown to be very useful for representing and capturing asymmetric behavior. Most STR models have been applied to univariate processes, and have made a variety of assumptions, including stationary or cointegrated processes, uncorrelated, homoskedastic or conditionally heteroskedastic errors, and weakly exogenous regressors. Under the assumption of exogeneity, the standard method of estimation is nonlinear least squares. The primary purpose of this paper is to relax the assumption of weakly exogenous regressors and to discuss moment based methods for estimating STR models. The paper analyzes the properties of the STR model with endogenous variables by providing a diagnostic test of linearity of the underlying process under endogeneity, developing an estimation procedure and a misspecification test for the STR model, presenting the results of Monte Carlo simulations to show the usefulness of the model and estimation method, and providing an empirical application for inflation rate targeting in Brazil. We show that STR models with endogenous variables can be specified and estimated by a straightforward application of existing results in the literature. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-671, 発行日 2009-09 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf671ab.html |