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Articles 1 - 23 of 23
Full-Text Articles in Statistics and Probability
Obtaining Critical Values For Test Of Markov Regime Switching, Douglas G. Steigerwald, Valerie Bostwick
Obtaining Critical Values For Test Of Markov Regime Switching, Douglas G. Steigerwald, Valerie Bostwick
Douglas G. Steigerwald
For Markov regime-switching models, testing for the possible presence of more than one regime requires the use of a non-standard test statistic. Carter and Steigerwald (forthcoming, Journal of Econometric Methods) derive in detail the analytic steps needed to implement the test ofMarkov regime-switching proposed by Cho and White (2007, Econometrica). We summarize the implementation steps and address the computational issues that arise. A new command to compute regime-switching critical values, rscv, is introduced and presented in the context of empirical research.
Testing For Regime Swtiching: A Comment, Douglas Steigerwald, Andrew Carter
Testing For Regime Swtiching: A Comment, Douglas Steigerwald, Andrew Carter
Douglas G. Steigerwald
An autoregressive model with Markov-regime switching is analyzed that reflects on the properties of the quasi-likelihood ratio test developed by Cho and White (2007). For such a model, we show that consistency of the quasi-maximum likelihood estimator for the population parameter values, on which consistency of the test is based, does not hold. We describe a condition that ensures consistency of the estimator and discuss the consistency of the test in the absence of consistency of the estimator.
Accurately Sized Test Statistics With Misspecified Conditional Homoskedasticity, Douglas Steigerwald, Jack Erb
Accurately Sized Test Statistics With Misspecified Conditional Homoskedasticity, Douglas Steigerwald, Jack Erb
Douglas G. Steigerwald
We study the finite-sample performance of test statistics in linear regression models where the error dependence is of unknown form. With an unknown dependence structure there is traditionally a trade-off between the maximum lag over which the correlation is estimated (the bandwidth) and the amount of heterogeneity in the process. When allowing for heterogeneity, through conditional heteroskedasticity, the correlation at far lags is generally omitted and the resultant inflation of the empirical size of test statistics has long been recognized. To allow for correlation at far lags we study test statistics constructed under the possibly misspecified assumption of conditional homoskedasticity. …
The Underground Economy Of Fake Antivirus Software, Douglas Steigerwald, Brett Stone-Gross, Ryan Abman, Richard Kemmerer, Christopher Kruegel, Giovanni Vigna
The Underground Economy Of Fake Antivirus Software, Douglas Steigerwald, Brett Stone-Gross, Ryan Abman, Richard Kemmerer, Christopher Kruegel, Giovanni Vigna
Douglas G. Steigerwald
Fake antivirus (AV) programs have been utilized to defraud millions of computer users into paying as much as one hundred dollars for a phony software license. As a result, fake AV software has evolved into one of the most lucrative criminal operations on the Internet. In this paper, we examine the operations of three large-scale fake AV businesses, lasting from three months to more than two years. More precisely, we present the results of our analysis on a trove of data obtained from several backend servers that the cybercriminals used to drive their scam operations. Our investigations reveal that these …
Adaptive Estimation, Douglas G. Steigerwald
Adaptive Estimation, Douglas G. Steigerwald
Douglas G. Steigerwald
No abstract provided.
Noise Reduced Realized Volatility: A Kalman Filter Approach, Douglas Steigerwald, John Owens
Noise Reduced Realized Volatility: A Kalman Filter Approach, Douglas Steigerwald, John Owens
Douglas G. Steigerwald
How should one remove microstructure noise from high-frequency asset prices? We show how to use the Kalman filter to efficiently remove microstructure noise.
Identifying A Source Of Financial Volatility, Douglas G. Steigerwald, Richard Vagnoni
Identifying A Source Of Financial Volatility, Douglas G. Steigerwald, Richard Vagnoni
Douglas G. Steigerwald
How should one combine stock and option markets in models of trade and asset price volatility? We address this question, paying particular attention to the identification of parameters of interest.
Inferring Information Frequency And Quality, Douglas G. Steigerwald, John Owens
Inferring Information Frequency And Quality, Douglas G. Steigerwald, John Owens
Douglas G. Steigerwald
We develop a microstructure model that, in contrast to previous models, allows one to estimate the frequency and quality of private information. In addition, the model produces stationary asset price and trading volume series. We find evidence that information arrives frequently within a day and that this information is of high quality. The frequent arrival of information, while in contrast to previous microstructure model estimates, accords with nonmodel-based estimates and the related literature testing the mixture-of-distributions hypothesis. To determine if the estimates are correctly reflecting the arrival of latent information, we estimate the parameters over half-hour intervals within the day. …
Consumption Function, Douglas G. Steigerwald
Consumption Function, Douglas G. Steigerwald
Douglas G. Steigerwald
No abstract provided.
Optimal Policies For Investment With Time-Varying Return Distributions, Douglas Steigerwald, Doncho Donchev, Svetlozar Rachev
Optimal Policies For Investment With Time-Varying Return Distributions, Douglas Steigerwald, Doncho Donchev, Svetlozar Rachev
Douglas G. Steigerwald
We develop a model in which investors must learn the distribution of asset returns over time. The process of learning is made more difficult by the fact that the distributions are not constant through time. We consider risk-neutral investors who have quadratic utility and are selecting between two risky assets. We determine the time at which it is optimal to update the distribution estimate and, hence, alter portfolio weights. Our results deliver an optimal policy for asset allocation, that is, the sequence of time intervals at which it is optimal to switch between assets, based on stochastic optimal control theory. …
Adaptive Testing In Arch Models, Douglas G. Steigerwald, Oliver Linton
Adaptive Testing In Arch Models, Douglas G. Steigerwald, Oliver Linton
Douglas G. Steigerwald
Specification tests for conditional heteroskedasticity that are derived under the assumption that the density of the innovation is Gaussian may not be powerful in light of the recent empirical results that the density is not Gaussian. We obtain specification tests for conditional heteroskedasticity under the assumption that the innovation density is a member of a general family of densities. Our test statistics maximize asymptotic local power and weighted average power criteria for the general family of densities. We establish both first-order and second-order theory for our procedures. Simulations indicate that asymptotic power gains are achievable in finite samples.
Consumption Adjustment Under Time-Varying Income Uncertainty, Douglas Steigerwald, Joon-Ho Hahm
Consumption Adjustment Under Time-Varying Income Uncertainty, Douglas Steigerwald, Joon-Ho Hahm
Douglas G. Steigerwald
We study the effect of income uncertainty on consumption in a model that includes precautionary saving. In contrast to previous studies, we focus on time-series variation in income uncertainty. Our time-series measure of income uncertainty is constructed from a panel of forecasts. We find evidence of precautionary saving in that increases in income uncertainty are related to increases in aggregate rates of saving. We also find evidence that anticipated income growth rates have less explanatory power for consumption growth rates after conditioning on income uncertainty. The evidence indicates the presence of forward-looking consumers who gradually adjust precautionary savings in response …
Uniformly Adaptive Estimation For Models With Arma Errors, Douglas Steigerwald
Uniformly Adaptive Estimation For Models With Arma Errors, Douglas Steigerwald
Douglas G. Steigerwald
A semiparametric estimator based on an unknown density is uniformly adaptive if the expected loss of the estimator converges to the asymptotic expected loss of the maximum likelihood estimator based on the true density (MLE), and if convergence does not depend on either the parameter values or the form of the unknown density. Without uniform adaptivity, the asymptotic expected loss of the MLE need not approximate the expected loss of a semiparamteric estimator for any finite sample. I show that a two-step semiparametric estimator is uniformly adaptive for the parameters of nonlinear regression models with autoregressive moving average errors.
Econometric Estimation Of Foresight: Tax Policy And Investment In The U.S., Douglas G. Steigerwald, Charles Stuart
Econometric Estimation Of Foresight: Tax Policy And Investment In The U.S., Douglas G. Steigerwald, Charles Stuart
Douglas G. Steigerwald
We develop a method for measuring the foresight agents have. We first dichotomize an agent's information at current date t into knowledge up to date t+f and expectations after t+f. We then form a residual-based test statistic that allows us to compare prediction errors for econometric models based on different values of f. We illustrate the method, examining investment around tax reforms to measure the foresight firms have about tax policy. In this illustration, current investment appears to reflect currently available information but little foresight other than foresight of enacted policy changes.
Asymptotic Bias For Quasi-Maximum Likelihood Estimators In Models With Conditional Heteroskedasticity, Douglas G. Steigerwald, Whitney Newey
Asymptotic Bias For Quasi-Maximum Likelihood Estimators In Models With Conditional Heteroskedasticity, Douglas G. Steigerwald, Whitney Newey
Douglas G. Steigerwald
Virtually all applications of time-varying conditional variance models use a quasi-maximum likelihood estimator (QMLE). Consistency of a QMLE requires an identification condition that the quasi-log-likelihood have a unique maximum at the true conditional mean and relative scale parameters. We show that the identification condition holds for a non-Gaussian QMLE if the conditional mean is identically zero or if a symmetry condition is satisfied. Without symmetry an additional parameter, for the location of the innovation density, must be added for consistency. We calculate the efficiency loss from adding such a parameter under symmetry, when the parameter is not needed. We also …
Testing For Absolute Purchaing Power Parity, Douglas G. Steigerwald, Collin Crownover, John Pippenger
Testing For Absolute Purchaing Power Parity, Douglas G. Steigerwald, Collin Crownover, John Pippenger
Douglas G. Steigerwald
Purchasing power parity (PPP) is an equilibrium condition equating the nominal exchange rate between two countries with the relative price of an identical bundle of goods in each country. Previous time-series researchers use price indicies to study PPP, so they study relative PPP. We use new data that measures price levels, so we test absolute PPP. Price levels provide a test of absolute PPP because, unlike price indicies, do not contain a base period in which the nominal exchange rate equals the price ratio by construction. We find support for absolute PPP.
Purchasing Power Parity, Unit Roots And Dynamic Structure, Douglas G. Steigerwald
Purchasing Power Parity, Unit Roots And Dynamic Structure, Douglas G. Steigerwald
Douglas G. Steigerwald
Recent studies of puchasing power parity (PPP) account for the possible presence of unit roots in nominal exchange rates and relative price indicies by applying standard unit-root tests to real exchange rates, which are ratios of nominal exchange rates and relative price indicies. These studies occasionally find evidence of PPP but, as a whole, the evidence is not definitive. Standard unit-root tests impose a restrictive dynamic structure between nominal exchange rates and relative price indicies. I specify and estimate a generalized dynamic structure. I reject the dynamic restrictions implicit in standard unit-root tests of PPP, and find stronger evidence of …
Modeling Volatility Dynamics, Douglas Steigerwald
Modeling Volatility Dynamics, Douglas Steigerwald
Douglas G. Steigerwald
No abstract provided.
Volatility, Douglas G. Steigerwald, Stephen Leroy
Volatility, Douglas G. Steigerwald, Stephen Leroy
Douglas G. Steigerwald
How should one determine if capital markets are efficient? We examine the statistical foundations of tests of efficiency.
Adaptive Estimation In Timeseries Regression Models, Douglas Steigerwald
Adaptive Estimation In Timeseries Regression Models, Douglas Steigerwald
Douglas G. Steigerwald
I develop adaptive estimators for linear regression with serially correlated errors. The efficiency results hold even when the serial correlation structure is unknown. Simulations indicate that efficiency gains can be substantial with samples of only 50 observations. We apply the method to a study of forward exchange rates.
On The Finite Sample Behavior Of Adaptive Estimators, Douglas Steigerwald
On The Finite Sample Behavior Of Adaptive Estimators, Douglas Steigerwald
Douglas G. Steigerwald
With only 50 observations, the adaptive estimator produces confidence intervals that are 20 to 50 percent shorter than those produced by GLS procedures. The key feature is that the underlying error density is symmetric. Under asymmetry the interval length is shortened by a smaller amount.
A Course In Econometrics: A Review, Douglas G. Steigerwald
A Course In Econometrics: A Review, Douglas G. Steigerwald
Douglas G. Steigerwald
No abstract provided.
Uncertainty And Policy Agressiveness, Douglas Steigerwald, Roger Craine
Uncertainty And Policy Agressiveness, Douglas Steigerwald, Roger Craine
Douglas G. Steigerwald
How should a decision maker proceed with uncertain knowledge of the decision outcome? We use the unknown coefficient control problem to shed light on the issue.