Dynamic Vector Mode Regression

We study the semiparametric estimation of the conditional mode of a random vector that has a continuous conditional joint density with a well-defined global mode. A novel full-system estimator is proposed and its asymptotic properties are studied. We specifically consider the estimation of vector au...

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Bibliographic Details
Published in:Journal of business & economic statistics 2020-07, Vol.38 (3), p.647-661
Main Authors: Kemp, Gordon C. R., Parente, Paulo M. D. C., Santos Silva, J. M. C.
Format: Article
Language:English
Subjects:
Impulse response functions
Multivariate conditional mode
Robust regression
Simultaneous equations
Vector autoregression
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Summary:We study the semiparametric estimation of the conditional mode of a random vector that has a continuous conditional joint density with a well-defined global mode. A novel full-system estimator is proposed and its asymptotic properties are studied. We specifically consider the estimation of vector autoregressive conditional mode models and of systems of linear simultaneous equations defined by mode restrictions. The proposed estimator is easy to implement and simulations suggest that it is reasonably behaved in finite samples. An empirical example illustrates the application of the proposed methods, including its use to obtain multistep forecasts and to construct impulse response functions.
ISSN:0735-0015
1537-2707
DOI:10.1080/07350015.2018.1562935