G2TT
来源类型Discussion paper
规范类型论文
来源IDDP127
DP127 The Econometric Analysis of Risk Terms
Adrian Pagan; Aman Ullah
发表日期1986-09-01
出版年1986
语种英语
摘要This paper provides a critical survey of the methods employed to model the effects of risk in econometric models. Most of the popular methods are shown to suffer from errors-in-variables bias, and an instrumental variable method is suggested to overcome this problem. The technique exploits the orthogonality conditions existing between the squared unanticipated variables and functions of variables making up the information set defining the anticipations. An alternative procedure used in the paper is to directly estimate the conditional variance (risk) by non-parametric estimators. Applications are made to foreign exchange markets, interest rates and unemployment/inflation risk relations.
关键词Arch Errors-in-variables Exchange rates Instrumental variables Interest rates Risk
URLhttps://cepr.org/publications/dp127
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/529283
推荐引用方式
GB/T 7714
Adrian Pagan,Aman Ullah. DP127 The Econometric Analysis of Risk Terms. 1986.
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