Scandinavian Working Papers in Economics

SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics

No 548: Estimating confidence regions over bounded domains

Bruno Eklund ()
Additional contact information
Bruno Eklund: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, SE-113 83 Stockholm, Sweden

Abstract: Estimating a density function over a bounded domain can be very complicated and resulting in an unsatisfactory or unrealistic density estimate. In many cases a one-to-one transformation can be applied to the considered data set, but there are also situations where such a unique transformation may not exist. This paper proposes a method to estimate confidence regions over bounded domains when a one-to-one transformation either does not exist or its existence is difficult to verify. By taking into account parameter restrictions of a underlying model, a nonlinear grid can be constructed, over which the density function can be estimated. The method is illustrated by applying it to the kurtosis/first-order autocorrelation of squared observations of the GARCH(1,1) model.

Keywords: Kernel estimation; nonlinear grid; GARCH model; highest density region

JEL-codes: C14; C22

12 pages, November 28, 2003

Download statistics

Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2018-01-27 00:01:31.