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Dynamic Vector Mode Regression

Kemp, GCR and Parente, PMDC and Santos Silva, JMC (2015) Dynamic Vector Mode Regression. UNSPECIFIED. University of Essex, Department of Economics, Economics Discussion Papers, Colchester.

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Abstract

We study the semi-parametric estimation of the conditional mode of a random vector that has a continuous conditional joint density with a well-defined global mode. A novel full-system estimator is proposed and its asymptotic properties are studied allowing for possibly dependent data. We specifically consider the estimation of vector autoregressive conditional mode models and of structural systems of linear simultaneous equations definded by mode restrictions. The proposed estimator is easy to implement using standard software and the results of a small simulation study suggest that it is well behaved in finite samples.

Item Type: Monograph (UNSPECIFIED)
Uncontrolled Keywords: Impulse response functions; Multivariate conditional mode; Robust regression; Simultaneous equations; Vector autoregression
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences
Faculty of Social Sciences > Economics, Department of
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 15 May 2015 15:06
Last Modified: 06 Jan 2022 13:34
URI: http://repository.essex.ac.uk/id/eprint/13793

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