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Dynamic Vector Mode Regression

Kemp, Gordon CR and Parente, Paulo MDC and Santos Silva, JMC (2019) 'Dynamic Vector Mode Regression.' Journal of Business and Economic Statistics. ISSN 0735-0015

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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. 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 multi-step forecasts and to construct impulse response functions.

Item Type: Article
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 > Economics, Department of
Depositing User: Elements
Date Deposited: 07 Feb 2019 13:04
Last Modified: 01 Feb 2020 02:00

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