| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP127 |
| 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 |
| URL | https://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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