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Author : Tiemen Woutersen
Publisher :
ISBN 13 : 9780771424076
Total Pages : 27 pages
Book Rating : 4.4/5 (24 download)
Download or read book Adaptive Estimation of the Dynamic Linear Model with Fixed Effects written by Tiemen Woutersen and published by . This book was released on 2002 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : D. G. Lainiotis
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (227 download)
Download or read book Optimal Adaptive Estimation: Structure and Parameter Adaptation. Part I. Linear Models written by D. G. Lainiotis and published by . This book was released on 1969 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Bayesian approach to optimal adatpive estimation with continuous as well as discrete data is presented. Both structure and parameter adaptation are considered and specific recursive adaptation algorithms are derived for gaussian process models and linear dynamics. Specifically, for the class of adaptive estimation problems with linear dynamic models and gaussian excitations, a form of the 'partition' theorem is given that is applicable both for structure and parameter adaptation. The 'partition' or 'decomposition' theorem effects the partition of the essentially nonlinear estimation problem into two parts, a linear non-adaptive part consisting of ordinary Kalman estimators and a nonlinear part that incorporates the adaptive or learning nature of the adaptive estimator. In addition, simple performance measures are introduced for the on-line performance evaluation of the adaptive estimator. The on-line performance measure utilize quantities available from the adaptive estimator and hence a minimum of additional computational effort is required for evaluation. Adaptive estimators are given for filtering, prediction, as well as smoothing. (Author).
Author : Giovanni Petris
Publisher : Springer Science & Business Media
ISBN 13 : 0387772383
Total Pages : 258 pages
Book Rating : 4.3/5 (877 download)
Download or read book Dynamic Linear Models with R written by Giovanni Petris and published by Springer Science & Business Media. This book was released on 2009-06-12 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: State space models have gained tremendous popularity in recent years in as disparate fields as engineering, economics, genetics and ecology. After a detailed introduction to general state space models, this book focuses on dynamic linear models, emphasizing their Bayesian analysis. Whenever possible it is shown how to compute estimates and forecasts in closed form; for more complex models, simulation techniques are used. A final chapter covers modern sequential Monte Carlo algorithms. The book illustrates all the fundamental steps needed to use dynamic linear models in practice, using R. Many detailed examples based on real data sets are provided to show how to set up a specific model, estimate its parameters, and use it for forecasting. All the code used in the book is available online. No prior knowledge of Bayesian statistics or time series analysis is required, although familiarity with basic statistics and R is assumed.
Author : Douglas Gardiner Steigerwald
Publisher :
ISBN 13 :
Total Pages : 180 pages
Book Rating : 4.:/5 (7 download)
Download or read book Adaptive Estimation in Time Series Regression Models written by Douglas Gardiner Steigerwald and published by . This book was released on 1989 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Cheng Hsiao
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (13 download)
Download or read book Estimation of Fixed Effects Dynamic Panel Data Models - Linear Differencing Or Conditional Expectation written by Cheng Hsiao and published by . This book was released on 2018 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This note discusses the pros and cons of using the conditional mean approach of Mundlak (1978) and Chamberlain (1980) and the linear difference approach to deal with the incidental parameters issue in estimating fixed effects dynamic panel data models. The importance of the data generating process of the explanatory variables and the proper treatment of initial values for either approach to get asymptotically unbiased estimators are demonstrated both analytically and through Monte Carlo studies.
Author : Xun Lu
Publisher :
ISBN 13 :
Total Pages : 94 pages
Book Rating : 4.:/5 (13 download)
Download or read book Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects written by Xun Lu and published by . This book was released on 2015 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider the problem of determining the number of factors and selecting the proper regressors in linear dynamic panel data models with interactive fixed effects. Based on the preliminary estimates of the slope parameters and factors a la Bai and Ng (2009) and Moon and Weidner (2014a), we propose a method for simultaneous selection of regressors and factors and estimation through the method of adaptive group Lasso (least absolute shrinkage and selection operator). We show that with probability approaching one, our method can correctly select all relevant regressors and factors and shrink the coefficients of irrelevant regressors and redundant factors to zero. Further, we demonstrate that our shrinkage estimators of the nonzero slope parameters exhibit some oracle property. We conduct Monte Carlo simulations to demonstrate the superb finite-sample performance of the proposed method. We apply our method to study the determinants of economic growth and find that in addition to three common unobserved factors selected by our method, government consumption share has negative effects, whereas investment share and lagged economic growth have positive effects on economic growth.
Author : Georgi Golubev
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (115 download)
Download or read book On Adaptive Estimation in Partial Linear Models written by Georgi Golubev and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Georgij Golubev
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (758 download)
Download or read book On Adaptive Estimation in Partial Linear Models written by Georgij Golubev and published by . This book was released on 1997 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Badi H. Baltagi
Publisher : Emerald Group Publishing
ISBN 13 : 1781903077
Total Pages : 576 pages
Book Rating : 4.7/5 (819 download)
Download or read book Essays in Honor of Jerry Hausman written by Badi H. Baltagi and published by Emerald Group Publishing. This book was released on 2012-12-17 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aims to annually publish original scholarly econometrics papers on designated topics with the intention of expanding the use of developed and emerging econometric techniques by disseminating ideas on the theory and practice of econometrics throughout the empirical economic, business and social science literature.
Author : Douglas Steigerwald
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (318 download)
Download or read book Generalized Adaptive Estimation for Econometric and Financial Models written by Douglas Steigerwald and published by . This book was released on 1990 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael Conlon
Publisher :
ISBN 13 :
Total Pages : 342 pages
Book Rating : 4.:/5 (883 download)
Download or read book Continuously Adaptive M-estimation in the Linear Model written by Michael Conlon and published by . This book was released on 1982 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: M-estimates of regression parameters are found by minimizing the sum of a function of the difference between observed and predicted values of a dependent variable. The choice of a particular function before the data have been examined is shown to have serious consequences for the asymptotic variance of the parameter estimates. Previous adaptive M-estimates used one of a small number of functions selected after preliminary examination of the data. Continuously adaptive M-estimation (CAM) is introduced to choose a function according to maximum likelihood criteria from a continuous class of functions, thereby simultaneously estimating the regression parameters and the underlying error density. Algorithms for calculating the estimates are derived and numerical examples demonstrate the method's performance in a variety of regression problems, including symmetric and asymmetric errors.
Author : Badi H. Baltagi
Publisher : Springer Nature
ISBN 13 : 3030539539
Total Pages : 436 pages
Book Rating : 4.0/5 (35 download)
Download or read book Econometric Analysis of Panel Data written by Badi H. Baltagi and published by Springer Nature. This book was released on 2021-03-16 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook offers a comprehensive introduction to panel data econometrics, an area that has enjoyed considerable growth over the last two decades. Micro and Macro panels are becoming increasingly available, and methods for dealing with these types of data are in high demand among practitioners. Software programs have fostered this growth, including freely available programs in R and numerous user-written programs in both Stata and EViews. Written by one of the world’s leading researchers and authors in the field, Econometric Analysis of Panel Data has established itself as the leading textbook for graduate and postgraduate courses on panel data. It provides up-to-date coverage of basic panel data techniques, illustrated with real economic applications and datasets, which are available at the book’s website on springer.com. This new sixth edition has been fully revised and updated, and includes new material on dynamic panels, limited dependent variables and nonstationary panels, as well as spatial panel data. The author also provides empirical illustrations and examples using Stata and EViews. “This is a definitive book written by one of the architects of modern, panel data econometrics. It provides both a practical introduction to the subject matter, as well as a thorough discussion of the underlying statistical principles without taxing the reader too greatly." Professor Kajal Lahiri, State University of New York, Albany, USA. "This book is the most comprehensive work available on panel data. It is written by one of the leading contributors to the field, and is notable for its encyclopaedic coverage and its clarity of exposition. It is useful to theorists and to people doing applied work using panel data. It is valuable as a text for a course in panel data, as a supplementary text for more general courses in econometrics, and as a reference." Professor Peter Schmidt, Michigan State University, USA. “Panel data econometrics is in its ascendancy, combining the power of cross section averaging with all the subtleties of temporal and spatial dependence. Badi Baltagi provides a remarkable roadmap of this fascinating interface of econometric method, enticing the novitiate with technical gentleness, the expert with comprehensive coverage and the practitioner with many empirical applications.” Professor Peter C. B. Phillips, Cowles Foundation, Yale University, USA.
Author : Beong-Soo So
Publisher :
ISBN 13 :
Total Pages : 146 pages
Book Rating : 4.:/5 (7 download)
Download or read book Asymptotically Optimal Estimation in the Semiparametric Heteroscedastic Linear Model written by Beong-Soo So and published by . This book was released on 1989 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James S. Hodges
Publisher : CRC Press
ISBN 13 : 1439866848
Total Pages : 464 pages
Book Rating : 4.4/5 (398 download)
Download or read book Richly Parameterized Linear Models written by James S. Hodges and published by CRC Press. This book was released on 2016-04-19 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: A First Step toward a Unified Theory of Richly Parameterized Linear ModelsUsing mixed linear models to analyze data often leads to results that are mysterious, inconvenient, or wrong. Further compounding the problem, statisticians lack a cohesive resource to acquire a systematic, theory-based understanding of models with random effects.Richly Param
Author : Steven Portnoy
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (748 download)
Download or read book Adaptive L-estimation of Linear Models written by Steven Portnoy and published by . This book was released on 1987 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : R. D. Snyder
Publisher :
ISBN 13 : 9780867464153
Total Pages : 17 pages
Book Rating : 4.4/5 (641 download)
Download or read book Estimation of a Dynamic Linear Model written by R. D. Snyder and published by . This book was released on 1985 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mike West
Publisher : Springer Science & Business Media
ISBN 13 : 1475793650
Total Pages : 720 pages
Book Rating : 4.4/5 (757 download)
Download or read book Bayesian Forecasting and Dynamic Models written by Mike West and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 720 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book we are concerned with Bayesian learning and forecast ing in dynamic environments. We describe the structure and theory of classes of dynamic models, and their uses in Bayesian forecasting. The principles, models and methods of Bayesian forecasting have been developed extensively during the last twenty years. This devel opment has involved thorough investigation of mathematical and sta tistical aspects of forecasting models and related techniques. With this has come experience with application in a variety of areas in commercial and industrial, scientific and socio-economic fields. In deed much of the technical development has been driven by the needs of forecasting practitioners. As a result, there now exists a relatively complete statistical and mathematical framework, although much of this is either not properly documented or not easily accessible. Our primary goals in writing this book have been to present our view of this approach to modelling and forecasting, and to provide a rea sonably complete text for advanced university students and research workers. The text is primarily intended for advanced undergraduate and postgraduate students in statistics and mathematics. In line with this objective we present thorough discussion of mathematical and statistical features of Bayesian analyses of dynamic models, with illustrations, examples and exercises in each Chapter.
