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DOUGLAS G. STEIGERWALD
(Econometrics, Finance, Macroeconomics)
- Department Address
- 2127 North Hall
- University of California
- Santa Barbara, CA 93106-9210
- Office
- North Hall 2016
- phone: (805) 893-3151
- fax: (805) 893-8830
- email: doug@econ.ucsb.edu
- Research Statement
- Time-Series Analysis
Analysis of financial data often provides evidence that the distribution of the driving innovations is not Gaussian. If the innovations are not Gaussian, parametric estimators that capture all sample information are difficult to formulate. My work considers semiparametric estimators of financial models, which include nonparametric estimators of the innovation density. In many applications semiparametric estimators provide more precise estimates of the parameters of interest in financial models. In Efficient Estimation of Models with Conditional Heteroskedasticity I study a semiparametric estimator and derive its efficiency properties. In Consistency of Quasi-Maximum Likelihood Estimators for Models with Conditional Heteroskedasticity we show that the leading alternative to semiparametric estimators, which is constructed from a misspecified parametric innovation density, may not be consistent for many financial models. We then show how the addition of a single parameter renders the estimators consistent.
Many studies of the macroeconomy analyze vectors of time-series variables. These vectors are often modeled as vector autoregressions, in large part due to the complications of including vector moving average terms. In Estimation of VARMA models with the EM Algorithm we show why previous applications of the EM algorithm to models with moving average components have broken down and how to correct the model so that the EM algorithm provides a solution. We also provide computational code so that the method can be easily applied.
- Research Papers
- Workshops
- Undergraduate Teaching
- Introduction to Econometrics
Economics 140A
- Introduction to Time-Series Econometrics
Economics 140B
- Graduate Teaching
- Econometrics
Economics 241B
- Econometric Theory
Economics 245A
- Time-Series Analysis
Economics 245B
Ph.D., (Economics), University of California, Berkeley, 1989
M.A., (Statistics), University of California, Berkeley, 1986
B.A., (Economics), Pomona College, 1981
Selected Publications
Consumption Adjustment Under Time-Varying Income Uncertainty
(with Joon-Ho Hahm)
| Review of Economics and Statistics (81) 1999 |
Asymptotic Bias for Quasi-Maximum Likelihood Estimators in Conditional Heteroskedasticity Models
(with Whitney Newey)
| Econometrica (65) 1997 |
Econometric Estimation of Foresight: Tax Policy and Investment
in the U.S.
(with Charles Stuart)
| Review of Economics and Statistics (79) 1997 |
Uniformly Adaptive Estimation for Models with ARMA Errors
| Econometric Reviews (16) 1997 |
Purchasing Power Parity, Unit Roots, and Dynamic Structure
| Journal of Empirical Finance (2) 1996 |
Testing for Absolute Purchasing Power Parity
(with Collin Crownover and John Pippenger)
| Journal of International Money and Finance (5) 1996 |
Volatility
(with Steven LeRoy)
| Handbook in Operations Research and Management Science Volume 9 1995 |
Adaptive Estimation in Time-Series Regression Models
| Journal of Econometrics (54) 1992 |
On the Finite Sample Behavior of Adaptive Estimators
| Journal of Econometrics (54) 1992 |
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