Nearest comoment estimation with unobserved factors

被引：7

作者：

Boudt, Kris ^{[1
,2
,3
]}

Cornilly, Dries ^{[2
,4
]}

Verdonck, Tim ^{[4
,5
]}

机构：

[1] Univ Ghent, Dept Econ, Sint Pieterspl 5, B-9000 Ghent, Belgium

[2] Vrije Univ Brussel, Dept Business, Pl Laan 2, B-1050 Brussels, Belgium

[3] Vrije Univ Amsterdam, Sch Business & Econ, De Boelelaan 1105, NL-1081 Amsterdam, Netherlands

[4] Katholieke Univ Leuven, Dept Math, Celestijnenlaan 200B, B-3001 Leuven, Belgium

[5] Univ Antwerp, Dept Math, Middelheimlaan 1, B-2020 Antwerp, Belgium

来源：

JOURNAL OF ECONOMETRICS | 2020年 / 217卷 / 02期

关键词：

Higher-order multivariate moments; Latent factor model; Minimum distance estimation; Risk assessment; Structural equation modelling; ASSET ALLOCATION; DISTRIBUTIONS; MODELS;

D O I：

10.1016/j.jeconom.2019.12.009

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We propose a minimum distance estimator for the higher-order comoments of a multivariate distribution exhibiting a lower dimensional latent factor structure. We derive the influence function of the proposed estimator and prove its consistency and asymptotic normality. The simulation study confirms the large gains in accuracy compared to the traditional sample comoments. The empirical usefulness of the novel framework is shown in applications to portfolio allocation under non-Gaussian objective functions and to the extraction of factor loadings in a dataset with mental ability scores. (C) 2019 Elsevier B.V. All rights reserved.

引用

页码：381 / 397

页数：17

共 42 条

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