References of "Holcblat, Benjamin 50022840"
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See detailThe Empirical Saddlepoint Estimator
Holcblat, Benjamin UL; Sowell, Fallaw

Scientific Conference (2017, December 17)

Previous studies have shown that existing moment-based estimation approaches have poor small-sample performance in some applications. We propose an alternative that is based on the ESP (empirical ... [more ▼]

Previous studies have shown that existing moment-based estimation approaches have poor small-sample performance in some applications. We propose an alternative that is based on the ESP (empirical saddlepoint) approximation of the solutions to the empirical moment conditions. Saddlepoint approximations are known to perform well in small sample. The novel estimator proposed, which we call the ESP estimator, is the mode of the ESP approximation. We show that it is consistent and asymptotically normal, and we study its higher-order bias. We propose novel test statistics based on the ESP estimator. Finally, we also investigate the finite-sample properties of the ESP estimator and related test statistics through Monte-Carlo simulations. [less ▲]

Detailed reference viewed: 55 (2 UL)
See detailOn Partial-Sum Processes of ARMAX Residuals
Holcblat, Benjamin UL; Gronneberg, Steffen

Scientific Conference (2017, December)

General and versatile results are established regarding the limit behavior of the partial-sum process of ARMAX residuals. Illustrations include ARMA with seasonal dummies, misspecified ARMAX models with ... [more ▼]

General and versatile results are established regarding the limit behavior of the partial-sum process of ARMAX residuals. Illustrations include ARMA with seasonal dummies, misspecified ARMAX models with autocorrelated errors, nonlinear ARMAX models, ARMA with a structural break, a wide range of ARMAX models with infinite-variance errors, weak GARCH models and the consistency of kernel estimation of the density of ARMAX errors. Our results identify the limit distributions, and provide a general algorithm to obtain pivot statistics for CUSUM tests. [less ▲]

Detailed reference viewed: 34 (4 UL)
See detailDiscussion of "Dissecting Characteristics Nonparametrically" by M. Weber et. al.
Holcblat, Benjamin UL

Scientific Conference (2017, October)

Detailed reference viewed: 64 (1 UL)
See detailOn the Empirical Saddlepoint Approximation with Application to Asset Pricing
Holcblat, Benjamin UL

Presentation (2017, April 27)

Moment-based estimation often yields instable estimates, such as the RRA (relative risk aversion) estimate in consumption-based asset pricing. This paper establishes novel theoretical results for the ESP ... [more ▼]

Moment-based estimation often yields instable estimates, such as the RRA (relative risk aversion) estimate in consumption-based asset pricing. This paper establishes novel theoretical results for the ESP (empirical saddlepoint) approximation, and then use them to investigate this instability. We prove that there exists an intensity distribution of the solutions to empirical moment conditions, and approximate it with the integral of the ESP approximation, calling the result the ESP intensity. Global consistency and asymptotic normality of the ESP intensity are proved. The application provides an explanation for the instability of the RRA estimates reported in the literature (fat and long right tail of the ESP approximation), and it suggests that consumption-based asset-pricing theory is more consistent with data than standard inference approaches indicate. [less ▲]

Detailed reference viewed: 58 (1 UL)
See detailOn Partial-Sum Processes of ARMAX Residuals
Gronneberg; Holcblat, Benjamin UL

Presentation (2017, February 11)

In time series analysis and other setups, numerous inference procedures need to use residuals, instead of the unobserved errors. In the present paper, we establish general and versatile results regarding ... [more ▼]

In time series analysis and other setups, numerous inference procedures need to use residuals, instead of the unobserved errors. In the present paper, we establish general and versatile results regarding the limit of partial-sum processes of ARMAX residuals. Process limits based on residuals often do not correspond to process limits based on the error terms. To illustrate the generality and versatility of our results, we apply them to misspecified ARMA with correlated errors, nonlinear ARMAX, a range of ARMA processes with infinite-variance errors, ARMA with a unit root and a polynomial time-trend, or with seasonal dummy variables to obtain consistency of kernel estimation of the density of ARMAX errors, the asymptotic distribution of statistics useful for CUSUM tests and change-point problem type of tests, and some local power results. [less ▲]

Detailed reference viewed: 102 (6 UL)
See detailLimit theorems for residuals from VARMAX models with potentially serially correlated errors
Gronneberg, Steffen; Holcblat, Benjamin UL

Scientific Conference (2016)

Detailed reference viewed: 48 (5 UL)