| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0331 |
| 来源ID | Technical Working Paper 0331 |
| Vector Multiplicative Error Models: Representation and Inference | |
| Fabrizio Cipollini; Robert F. Engle; Giampiero M. Gallo | |
| 发表日期 | 2006-11-15 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | The Multiplicative Error Model introduced by Engle (2002) for positive valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with positive support. In this paper we propose a multi-variate extension of such a model, by taking into consideration the possibility that the vector innovation process be contemporaneously correlated. The estimation procedure is hindered by the lack of probability density functions for multivariate positive valued random variables. We suggest the use of copulafunctions and of estimating equations to jointly estimate the parameters of the scale factors and of the correlations of the innovation processes. Empirical applications on volatility indicators are used to illustrate the gains over the equation by equation procedure. |
| 主题 | Econometrics |
| URL | https://www.nber.org/papers/t0331 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570349 |
| 推荐引用方式 GB/T 7714 | Fabrizio Cipollini,Robert F. Engle,Giampiero M. Gallo. Vector Multiplicative Error Models: Representation and Inference. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0331.pdf（397KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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