51 results found
Abadir KM, Cornea-Madeira A, 2019, Link of moments before and after transformations, with an application to resampling from fat-tailed distributions, Econometric Theory, Vol: 35, Pages: 630-652, ISSN: 0266-4666
Let x be a transformation of y, whose distribution is unknown. We derive an expansion formulating the expectations of x in terms of the expectations of y. Apart from the intrinsic interest in such a fundamental relation, our results can be applied to calculating E(x) by the low-order moments of a transformation which can be chosen to give a good approximation for E(x). To do so, we generalize the approach of bounding the terms in expansions of characteristic functions, and use our result to derive an explicit and accurate bound for the remainder when a finite number of terms is taken. We illustrate one of the implications of our method by providing accurate naive bootstrap confidence intervals for the mean of any fat-tailed distribution with an infinite variance, in which case currently available bootstrap methods are asymptotically invalid or unreliable in finite samples.
Abadir KM, Heijmans RDH, Magnus JR, 2018, Statistics:, Publisher: Cambridge University Press, ISBN: 9780521822886
Building on the success of Abadir and Magnus' Matrix Algebra in the Econometric Exercises Series, Statistics serves as a bridge between elementary and specialized statistics.
Abadir KM, Distaso W, Žikeš F, 2014, Design-free estimation of variance matrices, Journal of Econometrics, Vol: 181, Pages: 165-180, ISSN: 1872-6895
This paper introduces a new method for estimating variance matrices. Starting from the orthogonal decomposition of the sample variance matrix, we exploit the fact that orthogonal matrices are never ill-conditioned and therefore focus on improving the estimation of the eigenvalues. We estimate the eigenvectors from just a fraction of the data, then use them to transform the data into approximately orthogonal series that deliver a well-conditioned estimator (by construction), even when there are fewer observations than dimensions. We also show that our estimator has lower error norms than the traditional one. Our estimator is design-free: we make no assumptions on the distribution of the random sample or on any parametric structure the variance matrix may have. Simulations confirm our theoretical results and they also show that our simple estimator does very well in comparison with other existing methods.
Abadir KM, Distaso W, Giraitis L, et al., 2014, ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES, ECONOMETRIC THEORY, Vol: 30, Pages: 252-284, ISSN: 0266-4666
Abadir KM, 2013, Lies, damned lies, and statistics? Examples from finance and economics., Central European Journal of Economic Modelling and Econometrics, Vol: 5, Pages: 231-248, ISSN: 2080-119X
Reliable data analysis is one of the hardest tasks in sciences and socialsciences. Often misleading and sometimes puzzling results arise when theanalysis is done without regard for the special features of the data. In thisexposition, I will focus on designing new statistical tools to deal with someprominent questions in Finance and Economics. In particular, I will talk aboutthe following. (1) How to characterize the randomness of variables, motivated bya problem in the pricing of financial options. (2) Uncovering the relation betweeninterest rates on different maturities, now and in the future; the "term structureof interest rates". (3) Modelling the unconventional nonlinear long-memorydynamics that arise from a general-equilibrium economic model, and theirimplications for exchange rates, stock market indexes, and all macroeconomicvariables; with recommendations for trading in financial markets, but also forthe design of macroeconomic stabilization policies by governments.
Abadir KM, Caggiano G, Talmain G, 2013, Nelson-Plosser revisited: the ACF approach, Journal of Econometrics, Vol: 175, Pages: 22-34
Abadir KM, 2012, The square root of a matrix, Journal of Time Series Econometrics, Vol: 4
Abadir KM, Larsson R, 2012, Biases of correlograms and of AR representations of stationary series, Journal of Time Series Econometrics, Vol: 4 (lead article)
Abadir KM, 2011, Is the economic crisis over (and out)?, Review of Economic Analysis, Vol: 3, Pages: 102-108, ISSN: 1973-3909
This note analyzes the recent global recession: its causes, the predictability of the timingof its start and of its end, and the implications for macro policy. These follow from thegeneral-equilibrium macro model of Abadir and Talmain (2002) and its implications fora new type of macroeconometrics. The note also proposes some banking regulations, andpresents prospects for the future.
Abadir KM, Distaso W, Giraitis L, 2011, An I(d) model with trend and cycles, Journal of Econometrics, Vol: 163, Pages: 186-199
Abadir KM, Talmain G, 2011, The unconventional dynamics of economic and financial aggregates, Handbook of Empirical Economics and Finance, Editors: Ullah, Giles, Publisher: Chapman & Hall/CRC, ISBN: 9781420070354
Abadir KM, Paruolo P, 2009, On efficient simulations in dynamic models, The Methodology and Practice of Econometrics (Refereed Festschrift in honour of David F. Hendry), Editors: Castle, Shephard, Oxford, Publisher: Oxford University Press
Abadir KM, Distaso W, Giraitis L, 2009, Two estimators of the long-run variance: beyond short memory, Journal of Econometrics, Vol: 150, Pages: 56-70
Abadir K M, W Distaso, 2007, Testing joint hypotheses when one of the alternatives is one-sided, Journal of Econometrics, Vol: 140, Pages: 695-718
K M Abadir, J R Magnus, 2007, A statistical proof of the transformation theorem, The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis, Editors: Phillips, Tzavalis, Cambridge, Publisher: Cambridge University Press, ISBN: 9780521870535
Abadir KM, Distaso W, Giraitis L, 2007, Nonstationarity-extended local Whittle estimation, Journal of Econometrics, Vol: 141, Pages: 1353-1384
Abadir KM, Magnus JR, 2005, Matrix algebra, Cambridge, Publisher: Cambridge University Press, ISBN: 9780521537469
Abadir KM, 2005, THE MEAN-MEDIAN-MODE INEQUALITY: COUNTEREXAMPLES, Econometric Theory, Vol: 21, Pages: 477-482
Let x be a random variable whose first three moments exist. If the density of x is unimodal and positively skewed, then counterexamples are provided which show that the inequality mode median mean does not necessarily hold.I thank Andrey Vasnev for help with the graphs and Jan Magnus for various helpful discussions. I also thank Martin Bland, Paolo Paruolo, Peter Phillips, Michael Rockinger, and a referee for their comments. ESRC grant R000239538 is gratefully acknowledged.
Abadir KM, Talmain G, 2005, Autocovariance functions of series and of their transforms, Journal of Econometrics, Vol: 124, Pages: 227-252, ISSN: 0304-4076
Abadir K, Magnus J, 2004, 03.6.1 The Central Limit Theorem for Student's Distribution—Solution, Econometric Theory, Vol: 20, ISSN: 0266-4666
Abadir KM, Lucas A, 2004, A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model, Journal of Econometrics, Vol: 119, Pages: 45-71, ISSN: 0304-4076
Abadir KM, Lawford S, 2004, Optimal asymmetric kernels, Economics Letters, Vol: 83, Pages: 61-68, ISSN: 0165-1765
Abadir KM, 2004, Cointegration theory, equilibrium and disequilibrium economics, The Manchester School, Vol: 72, Pages: 60-71, ISSN: 1463-6786
Abadir KM, Hadri K, Tzavalis E, 2003, The influence of var dimensions on estimator biases: Comment - Rejoinder to comment by Doornik, Nielsen, and Rothenberg, ECONOMETRICA, Vol: 71, Pages: 385-386, ISSN: 0012-9682
Abadir KM, Rockinger M, 2003, Density functionals, with an option-pricing application, Econometric Theory, Vol: 19, Pages: 778-811, ISSN: 0266-4666
Abadir KM, Magdalinos T, 2002, The characteristic function from a family of truncated normal distributions, ECONOMETRIC THEORY, Vol: 18, Pages: 1276-1287, ISSN: 0266-4666
Abadir KM, 2002, Box-Cox transformations in linear models: large sample theory and tests of normality - Discussion - Comment 1, CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, Vol: 30, Pages: 210-210, ISSN: 0319-5724
Abadir KM, Paruolo P, 2002, Simple robust testing of regression hypotheses: a comment, Econometrica, Vol: 70, Pages: 2097-2098, ISSN: 0012-9682
Abadir K, Talmain G, 2002, Aggregation, persistence and volatility in a macro model, Review of Economic Studies, Vol: 69, Pages: 749-779, ISSN: 0034-6527
Abadir KM, Magnus JR, 2002, Notation in econometrics: a proposal for a standard, Econometrics Journal, Vol: 5, Pages: 76-90, ISSN: 1368-4221
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