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Author: Yi Zheng
Publisher:
ISBN:
Category : Credit
Languages : en
Pages : 98
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Book Description
Abstract: This dissertation is composed of three chapters centering on nonparametric econometrics with applications to consumer demand system analysis, value-at-risk analysis of commodity future prices, and credit risk analysis of home mortgage portfolios. The first chapter, based on my joint research with Abdoul Sam considers a semiparametric estimation model for a censored consumer demand system with micro data. A common attribute of disaggregated household data is the censoring of commodities. Maximum likelihood and existing two-step estimators of censored demand systems yield biased and inconsistent estimates when the assumed joint distribution of the disturbances is incorrect. This essay proposes a semiparametric estimator that retains the computational advantage of the two-step methods while circumventing their potential distributional misspecification. The key difference between the proposed estimator and existing two-step counterparts is that the parameters of the binary censoring equations are estimated using a distribution-free single-index model. We implement the proposed estimator using household-level data obtained from the Hainan province in China. Horrowitz and Härdle (1994)'s specification test lends support to our approach. The second chapter is an empirical application of a nonparametric estimator of Value-at-Risk on the cattle feeding margin. Value-at-Risk, known as VaR is a common measure of downside market risk associated with an asset or a portfolio of assets. It has been used as a standard tool of predicting potential portfolio losses for twenty years in the financial industry. Recently VaR has gained popularity in agricultural economics literature since the market price risks associated with agricultural commodities are under evaluation. As initial empirical findings suggest that the performance of any VaR estimation technique is sensitive to the types of data set (portfolio composition) used in developing and evaluating the estimates, agricultural data provides a unique laboratory to further explore VaR and its estimation approaches. This essay as a first attempt applies a distribution-free nonparametric kernel estimator of VaR in an agricultural context, the cattle feeding margin using futures data. The empirical results suggest that the nonparametric VaR estimates enjoy a significant efficiency gain without losing much accuracy compared to the parametric estimates. The third chapter measures credit risks associated with residential mortgage loans. Credit risk is the primary source of risk for real estate lenders. Recent advancements in the measurement and management of credit risk give lenders with sophisticated internal risk models a significant comparative advantage over other lenders in terms of capital optimization and risk controlling. This manuscript helps understand the determinants of credit risk and acquire perspectives on how it is distributed in the current or future loan portfolios. This essay contributes to the existing volume of literature as it incorporates the nonparametric estimation technique into default risk analysis. The CreditRisk model is modified and estimated using the consumer side of information. The model identifies the factors determining household default risks and generates a full loan loss distribution at the portfolio level using consumer finance survey data. In the end, portfolio management strategies are discussed.
Author: Yi Zheng
Publisher:
ISBN:
Category : Credit
Languages : en
Pages : 98
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Book Description
Abstract: This dissertation is composed of three chapters centering on nonparametric econometrics with applications to consumer demand system analysis, value-at-risk analysis of commodity future prices, and credit risk analysis of home mortgage portfolios. The first chapter, based on my joint research with Abdoul Sam considers a semiparametric estimation model for a censored consumer demand system with micro data. A common attribute of disaggregated household data is the censoring of commodities. Maximum likelihood and existing two-step estimators of censored demand systems yield biased and inconsistent estimates when the assumed joint distribution of the disturbances is incorrect. This essay proposes a semiparametric estimator that retains the computational advantage of the two-step methods while circumventing their potential distributional misspecification. The key difference between the proposed estimator and existing two-step counterparts is that the parameters of the binary censoring equations are estimated using a distribution-free single-index model. We implement the proposed estimator using household-level data obtained from the Hainan province in China. Horrowitz and Härdle (1994)'s specification test lends support to our approach. The second chapter is an empirical application of a nonparametric estimator of Value-at-Risk on the cattle feeding margin. Value-at-Risk, known as VaR is a common measure of downside market risk associated with an asset or a portfolio of assets. It has been used as a standard tool of predicting potential portfolio losses for twenty years in the financial industry. Recently VaR has gained popularity in agricultural economics literature since the market price risks associated with agricultural commodities are under evaluation. As initial empirical findings suggest that the performance of any VaR estimation technique is sensitive to the types of data set (portfolio composition) used in developing and evaluating the estimates, agricultural data provides a unique laboratory to further explore VaR and its estimation approaches. This essay as a first attempt applies a distribution-free nonparametric kernel estimator of VaR in an agricultural context, the cattle feeding margin using futures data. The empirical results suggest that the nonparametric VaR estimates enjoy a significant efficiency gain without losing much accuracy compared to the parametric estimates. The third chapter measures credit risks associated with residential mortgage loans. Credit risk is the primary source of risk for real estate lenders. Recent advancements in the measurement and management of credit risk give lenders with sophisticated internal risk models a significant comparative advantage over other lenders in terms of capital optimization and risk controlling. This manuscript helps understand the determinants of credit risk and acquire perspectives on how it is distributed in the current or future loan portfolios. This essay contributes to the existing volume of literature as it incorporates the nonparametric estimation technique into default risk analysis. The CreditRisk model is modified and estimated using the consumer side of information. The model identifies the factors determining household default risks and generates a full loan loss distribution at the portfolio level using consumer finance survey data. In the end, portfolio management strategies are discussed.
Author: William A. Barnett
Publisher: Cambridge University Press
ISBN: 9780521424318
Category : Business & Economics
Languages : en
Pages : 512
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Book Description
Papers from a 1988 symposium on the estimation and testing of models that impose relatively weak restrictions on the stochastic behaviour of data.
Author: Thanasis Stengos
Publisher: MDPI
ISBN: 3038979643
Category : Business & Economics
Languages : en
Pages : 224
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Book Description
The present Special Issue collects a number of new contributions both at the theoretical level and in terms of applications in the areas of nonparametric and semiparametric econometric methods. In particular, this collection of papers that cover areas such as developments in local smoothing techniques, splines, series estimators, and wavelets will add to the existing rich literature on these subjects and enhance our ability to use data to test economic hypotheses in a variety of fields, such as financial economics, microeconomics, macroeconomics, labor economics, and economic growth, to name a few.
Author: Lei Ji
Publisher:
ISBN:
Category :
Languages : en
Pages : 158
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Book Description
Author: Joel L. Horowitz
Publisher: Springer Science & Business Media
ISBN: 0387928707
Category : Business & Economics
Languages : en
Pages : 278
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Book Description
Standard methods for estimating empirical models in economics and many other fields rely on strong assumptions about functional forms and the distributions of unobserved random variables. Often, it is assumed that functions of interest are linear or that unobserved random variables are normally distributed. Such assumptions simplify estimation and statistical inference but are rarely justified by economic theory or other a priori considerations. Inference based on convenient but incorrect assumptions about functional forms and distributions can be highly misleading. Nonparametric and semiparametric statistical methods provide a way to reduce the strength of the assumptions required for estimation and inference, thereby reducing the opportunities for obtaining misleading results. These methods are applicable to a wide variety of estimation problems in empirical economics and other fields, and they are being used in applied research with increasing frequency. The literature on nonparametric and semiparametric estimation is large and highly technical. This book presents the main ideas underlying a variety of nonparametric and semiparametric methods. It is accessible to graduate students and applied researchers who are familiar with econometric and statistical theory at the level taught in graduate-level courses in leading universities. The book emphasizes ideas instead of technical details and provides as intuitive an exposition as possible. Empirical examples illustrate the methods that are presented. This book updates and greatly expands the author’s previous book on semiparametric methods in econometrics. Nearly half of the material is new.
Author: Niels Haldrup
Publisher: OUP Oxford
ISBN: 0191669547
Category : Business & Economics
Languages : en
Pages : 393
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Book Description
This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
Author: Aman Ullah
Publisher: Springer Science & Business Media
ISBN: 3642518486
Category : Business & Economics
Languages : en
Pages : 180
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Book Description
Over the last three decades much research in empirical and theoretical economics has been carried on under various assumptions. For example a parametric functional form of the regression model, the heteroskedasticity, and the autocorrelation is always as sumed, usually linear. Also, the errors are assumed to follow certain parametric distri butions, often normal. A disadvantage of parametric econometrics based on these assumptions is that it may not be robust to the slight data inconsistency with the particular parametric specification. Indeed any misspecification in the functional form may lead to erroneous conclusions. In view of these problems, recently there has been significant interest in 'the semiparametric/nonparametric approaches to econometrics. The semiparametric approach considers econometric models where one component has a parametric and the other, which is unknown, a nonparametric specification (Manski 1984 and Horowitz and Neumann 1987, among others). The purely non parametric approach, on the other hand, does not specify any component of the model a priori. The main ingredient of this approach is the data based estimation of the unknown joint density due to Rosenblatt (1956). Since then, especially in the last decade, a vast amount of literature has appeared on nonparametric estimation in statistics journals. However, this literature is mostly highly technical and this may partly be the reason why very little is known about it in econometrics, although see Bierens (1987) and Ullah (1988).
Author: Eduardo García Echeverri
Publisher:
ISBN:
Category : Social mobility
Languages : en
Pages : 0
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Book Description
"This dissertation consists of three chapters on nonparametric and semiparametric econometrics. Chapter 1 introduces the estimators used in the empirical applications of Chapter 2 and therefore should be read first. Chapter 3 is independent from the first two. The first chapter introduces a measure of intergenerational social mobility based on [phi]-divergences. The measure can be decomposed to study mobility in population subgroups of interest and can be used to describe mobility of multiple outcome variables across an arbitrary number of generations, unlike most indicators in the literature. The measure also fully controls for marginal distributions, meaning it is not affected by income growth or changes in income inequality. I propose two estimators for the measure: a non-parametric estimator and an estimator based on the mobility matrix. I provide conditions under which these estimators are n-consistent and asymptotically normal. In the second chapter, I use a specific [phi]-divergence (the Hellinger distance) to measure multidimensional social mobility in the USA and Germany. For this purpose, I use the Panel Study of Income Dynamics (PSID), the German Socio-Economic Panel (SOEP), and US administrative tax data. The measure reveals lower income and health mobility in the USA than Germany, but the opposite for educational mobility. It also shows income mobility for both countries is lowest in the tails of the parental income distribution and greatest in the centre. This inverted U-pattern is more pronounced in the USA. Most of these empirical findings for population subgroups are hidden to the existing indicators in the literature. Chapter 3 introduces a Low CPU Cost Semiparametric (LCS) estimator for linear single index models. The LCS estimator significantly reduces estimation time when compared to the standard semiparametric estimator in Ichimura (1993). It does so by more than 90% in medium sample sizes. Moreover, it makes estimation feasible in a regular PC when the sample size exceeds 10,000 observations. We provide conditions for consistency and asymptotic normality of the LCS estimator based on spline function theory. In our empirical application, we study determinants of expenditures in vocational rehabilitation (VR) programs using the RSA-911 data, containing information on more than 900,000 workers with disabilities. We find that minorities such as African Americans, Hispanic or females have lower expenditures in VR programs. On the other hand, expenditure is greater for more educated workers."--Pages viii-ix.
Author: Qi Li
Publisher: Princeton University Press
ISBN: 0691248087
Category : Business & Economics
Languages : en
Pages : 768
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Book Description
A comprehensive, up-to-date textbook on nonparametric methods for students and researchers Until now, students and researchers in nonparametric and semiparametric statistics and econometrics have had to turn to the latest journal articles to keep pace with these emerging methods of economic analysis. Nonparametric Econometrics fills a major gap by gathering together the most up-to-date theory and techniques and presenting them in a remarkably straightforward and accessible format. The empirical tests, data, and exercises included in this textbook help make it the ideal introduction for graduate students and an indispensable resource for researchers. Nonparametric and semiparametric methods have attracted a great deal of attention from statisticians in recent decades. While the majority of existing books on the subject operate from the presumption that the underlying data is strictly continuous in nature, more often than not social scientists deal with categorical data—nominal and ordinal—in applied settings. The conventional nonparametric approach to dealing with the presence of discrete variables is acknowledged to be unsatisfactory. This book is tailored to the needs of applied econometricians and social scientists. Qi Li and Jeffrey Racine emphasize nonparametric techniques suited to the rich array of data types—continuous, nominal, and ordinal—within one coherent framework. They also emphasize the properties of nonparametric estimators in the presence of potentially irrelevant variables. Nonparametric Econometrics covers all the material necessary to understand and apply nonparametric methods for real-world problems.
Author: Filippo Spazzini
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
