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.
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.
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.
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: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 15 May 2015 15:06 |
| Last Modified: | 16 May 2024 18:47 |
| URI: | http://repository.essex.ac.uk/id/eprint/13793 |
Available files
Filename: dp761.pdf