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Activity Number:
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8
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Type:
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Invited
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Date/Time:
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Sunday, July 29, 2007 : 2:00 PM to 3:50 PM
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Sponsor:
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International Indian Statistical Association
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| Abstract - #307809 |
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Title:
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Generalized R-estimators Under Conditional Heteroscedasticity
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Author(s):
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Kanchan Mukherjee*+
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Companies:
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The University of Liverpool
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Address:
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Department of Mathematical Sciences, Liverpool, L69 7ZL, United Kingdom
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Keywords:
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R-estimation ; Autoregression ; ARCH model ; Heteroscedasticity
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Abstract:
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In this talk, we discuss a class of rank estimators of the parameters associated with the conditional mean function of an autoregressive model with heteroscedastic errors. The estimators are defined through a three-steps procedure. We discuss the role of these estimators in mis-specified models and their asymptotic distributions. The class of models includes Engel's ARCH model and the threshold heteroscedastic model. The class of estimators includes an extension of Wilcoxon-type rank estimator. Some simulation studies are presented.
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