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Ramirez, Octavio A.. |
This paper explores the impact of error-term non-normality on the performance of the normal-error Generalized Autoregressive Conditional Heteroskedastic (GARCH) model under small and moderate sample sizes. A non-normal-, asymmetric-error GARCH model is proposed, and its finite-sample performance is evaluated in comparison to the normal-error GARCH under various underlying error-term distributions. The results suggest that one must be skeptical of using the normal-error GARCH when there is evidence of conditional error-term non-normality. The conditional distribution of the error-term in a previous mainstream application of the normal GARCH is found to be non-normal and asymmetric. The same application is used to illustrate the advantages of the proposed... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Error- term non-normality; Skewness; Autoregressive conditional heteroskedasticity; Research Methods/ Statistical Methods. |
Ano: 2001 |
URL: http://purl.umn.edu/20595 |
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Sanglestsawai, Santi; Rejesus, Roderick M.; Yorobe, Jose M., Jr.. |
This article examines the production risk effects and welfare implications of Bt corn adoption in the Philippines by specifically considering the impact of Bt on the mean, variance, and skewness of yields. Assessing the skewness effects of Bt provides further inferences about the downside risk protection of this technology in a developing country context. Stochastic production function estimation is utilized to achieve the study objective, including an approach that allows for examining the skewness effects of Bt within a damage abatement specification. Our results indicate that Bt corn do not have a statistically significant risk-reducing (i.e., variance-reducing) or downside risk-reducing (i.e., skewness-increasing) effect, the main benefit is through... |
Tipo: Presentation |
Palavras-chave: Bt corn; Damage Abatement; GM crop; Production Risk; Downside risk; Skewness; Stochastic Production Function; Risk and Uncertainty; Q12; Q1. |
Ano: 2012 |
URL: http://purl.umn.edu/124237 |
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