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URL :  Econometric Analysis of Models With Risk Terms
Author : A. Pagan - A. Ullah
Detail : eBook Edition: 2009

In this paper we have attempted to provide an integrated approach to the estimation of models with risk terms. I t was argued that there exist orthogonality conditions between variables in the information set and higher-order moments of the unanticipated variable density. These could be exploited to provide consistent estimators of the parameters associated with the risk term. Specifically, it was recommended that an IV estimator should be applied, with instruments constructed from the information set.

eBook Contents

Introduction – Risk as a regressor – Risk as a regressand – The properties of alternative risk measures – Two applications – Conclusion – Acknowledgements - References

eBook License: Copyrighted (Personal Use Only)

Free PDF eBook - 1,7 Mb - 42 pages
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