Arbeitspapier
Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models
This paper discusses three families of flexible parametric probability density functions: the skewed generalized t, the exponential generalized beta of the second kind, and the inverse hyperbolic sin distributions. These families allow quite flexible modeling the first four moments of a distribution and could be considered in modeling a wide variety of economic problems. We illustrate their use in a simple regression model with a simulation study that demonstrates that the use of the flexible distributions may result in significant efficiency gains relative to more conventional regression procedures, such as ordinary least squares or least absolute deviations regression, without a suffering from a large efficiency loss when errors are Gaussian.
- Sprache
-
Englisch
- Erschienen in
-
Series: Economics Discussion Papers ; No. 2007-13
- Klassifikation
-
Wirtschaft
Estimation: General
Semiparametric and Nonparametric Methods: General
Statistical Simulation Methods: General
- Thema
-
Partially Adaptive Estimation
Econometric Models
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Theodossiou, Panayiotis
McDonald, James B.
Hansen, Christian B.
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Theodossiou, Panayiotis
- McDonald, James B.
- Hansen, Christian B.
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2007
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