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Uneven two-sided power distributions with applications in econometric models

机译:不均匀的双面功率分布及其在计量经济模型中的应用

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In this paper we propose and analyze a bounded density function with a jump discontinuity at a threshold. Its properties are presented and a maximum likelihood estimation (MLE) procedure for the threshold location and jump size is developed. The distribution seems be appropriate in the context of financial engineering, production analysis, standard auction models and the equilibrium job search problem. An example of the MLE procedure is given utilizing an i.i.d. sample of standardized log differences of bi-monthly US Certificate Deposit interest rates for the period from 1966-2002. The corresponding time series was constructed using an Auto-Regressive Conditional Heteroscedastic (ARCH) model.
机译:在本文中,我们提出并分析了在阈值处具有跳跃不连续性的有界密度函数。给出了它的性质,并开发了针对阈值位置和跳跃大小的最大似然估计(MLE)程序。在金融工程,生产分析,标准拍卖模型和均衡工作寻找问题的背景下,这种分布似乎是适当的。利用i.i.d给出MLE程序的示例。 1966-2002年期间双月美国证书存款利率的标准对数差异样本。相应的时间序列是使用自回归条件异方差(ARCH)模型构建的。

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