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Submitted by pscully on Thu, 05/08/2008 - 15:50.
02/21/2008 - 16:10
02/21/2008 - 17:30
STA/BST 290: Jonathan Hill
Tail Trimmed Sums for Dependent, Heterogeneous Data, with Applications to Robust GMM
THURSDAY, February 21st, 2008
Speaker: Jonathan Hill (Economics,
Title: Tail Trimmed Sums for Dependent, Heterogeneous Data, with Applications to Robust GMM
Abstract: We establish sufficient conditions for asymptotic normality of an intermediate tail-trimmed sum for dependent, heterogeneous data with arbitrarily thin or thick tails. The sum is self-standardized with a kernel variance estimator of the trimmed sum. The resulting central limit theory applies to linear and nonlinear distributed lags, FIGARCH and stochastic volatility processes, all with short or long memory and thin or thick-tailed shocks, including IGARCH and explosive GARCH. The theory is applied to a robust M-estimator of GARCH data when the data may be heavy-tailed, yet standard asymptotics are desired.