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Dynamic Vector Mode Regression

Kemp, GCR and Parente, PMDC and Santos Silva, JMC (2020) Dynamic Vector Mode Regression. UNSPECIFIED. UNSPECIFIED.


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We study the semiparametric 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. We specifically consider the estimation of vector autoregressive conditional mode models and of systems of linear simultaneous equations defined by mode restrictions. The proposed estimator is easy to implement and simulations suggest that it is reasonably behaved in finite samples. An empirical example illustrates the application of the proposed methods, including its use to obtain multistep forecasts and to construct impulse response functions.

Item Type: Monograph (UNSPECIFIED)
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 15 May 2015 15:06
Last Modified: 30 Mar 2021 09:15

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