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Estimation of multivariate models for time series of possibly different lengths

Publication ,  Journal Article
Patton, AJ
Published in: Journal of Applied Econometrics
2006

We consider the problem of estimating parametric multivariate density models when unequal amounts of data are available on each variable. We focus in particular on the case that the unknown parameter vector may be partitioned into elements relating only to a marginal distribution and elements relating to the copula. In such a case we propose using a multi-stage maximum likelihood estimator (MSMLE) based on all available data rather than the usual one-stage maximum likelihood estimator (1SMLE) based only on the overlapping data. We provide conditions under which the MSMLE is not less asymptotically efficient than the 1SMLE, and we examine the small sample efficiency of the estimators via simulations. The analysis in this paper is motivated by a model of the joint distribution of daily Japanese yen-US dollar and euro-US dollar exchange rates. We find significant evidence of time variation in the conditional copula of these exchange rates, and evidence of greater dependence during extreme events than under the normal distribution. Copyright © 2006 John Wiley & Sons, Ltd.

Duke Scholars

Published In

Journal of Applied Econometrics

DOI

ISSN

0883-7252

Publication Date

2006

Volume

21

Issue

2

Start / End Page

147 / 173

Related Subject Headings

  • Econometrics
  • 1403 Econometrics
  • 1402 Applied Economics
 

Citation

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ICMJE
MLA
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Patton, A. J. (2006). Estimation of multivariate models for time series of possibly different lengths. Journal of Applied Econometrics, 21(2), 147–173. https://doi.org/10.1002/jae.865
Patton, A. J. “Estimation of multivariate models for time series of possibly different lengths.” Journal of Applied Econometrics 21, no. 2 (2006): 147–73. https://doi.org/10.1002/jae.865.
Patton AJ. Estimation of multivariate models for time series of possibly different lengths. Journal of Applied Econometrics. 2006;21(2):147–73.
Patton, A. J. “Estimation of multivariate models for time series of possibly different lengths.” Journal of Applied Econometrics, vol. 21, no. 2, 2006, pp. 147–73. Scival, doi:10.1002/jae.865.
Patton AJ. Estimation of multivariate models for time series of possibly different lengths. Journal of Applied Econometrics. 2006;21(2):147–173.
Journal cover image

Published In

Journal of Applied Econometrics

DOI

ISSN

0883-7252

Publication Date

2006

Volume

21

Issue

2

Start / End Page

147 / 173

Related Subject Headings

  • Econometrics
  • 1403 Econometrics
  • 1402 Applied Economics