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Author : Kerry David Patterson
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (247 download)
Download or read book Finite Sample Bias of the Least Squares Estimator in an AR(p) Model written by Kerry David Patterson and published by . This book was released on 1999 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shuichi Nagata
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (13 download)
Download or read book Finite Sample Bias and MSE of Fully Aggregated Estimator For AR(1) Model with a General Error Distribution written by Shuichi Nagata and published by . This book was released on 2016 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we derive the finite sample bias and MSE of the fully aggregated estimator (FAE) for the stationary AR(1) model with intercept, which is proposed by Han, Phillips, and Sul (2011). Our analytical results show why the FAE is less biased than the ordinary least square estimator in finite sample case and is not biased by non-normality of error distribution and by intercept term at least O(1/T ), where T is sample size. We also propose a second order unbiased FAE using the analytical result. Finally, we examine the Monte Carlo simulation and show that it is consistent with the theoretical results.
Author : Sean Reardon
Publisher :
ISBN 13 :
Total Pages : 7 pages
Book Rating : 4.:/5 (16 download)
Download or read book Assessing Compliance-Effect Bias in the Two Stage Least Squares Estimator written by Sean Reardon and published by . This book was released on 2011 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt: The proposed paper studies the bias in the two-stage least squares, or 2SLS, estimator that is caused by the compliance-effect covariance (hereafter, the compliance-effect bias). It starts by deriving the formula for the bias in an infinite sample (i.e., in the absence of finite sample bias) under different circumstances. Specifically, it considers the following cases: (1) A single site study with one mediator; (2) A multiple site study with one mediator; and (3) A multiple site study with multiple mediators. The formulas demonstrate how the magnitude of the compliance-effect bias varies with different parameters (e.g., compliance-effect correlation, mean and variance of the compliance and effect) in infinite samples. However, as the situation under consideration gets more complicated, the bias formula quickly becomes intractable. The second part of the paper, therefore, uses simulations to demonstrate the relationship between the compliance-effect bias and various parameters, as well as the behavior of the estimated 2SLS standard errors. Furthermore, the simulation exercise assesses how the compliance-effect bias interacts with the finite sample bias when the analysis sample is small or when the instrument is weak. The paper also uses simulations to compare the properties of the 2SLS estimator with those of the ordinary least squares (OLS) estimator in the presence of the compliance-effect bias, the finite sample bias, and the omitted variable bias. (Contains 6 footnotes.).
Author : Albert Ka-Cheng Tsui
Publisher :
ISBN 13 :
Total Pages : 918 pages
Book Rating : 4.:/5 (214 download)
Download or read book On the Finite Sample Distribution of a Least Square Estimator in a First Order Autoregressive Model written by Albert Ka-Cheng Tsui and published by . This book was released on 1989 with total page 918 pages. Available in PDF, EPUB and Kindle. Book excerpt:
![Download The Finite Sample Analysis of Least Squares Estimators in Dynamic Econometric Models [microform] PDF Online Free](https://books.google.com/books/content/images/frontcover/aHPCwQEACAAJ?fife=w200-h370)
Author : Thomas Armstrong Peters
Publisher : National Library of Canada
ISBN 13 : 9780315330290
Total Pages : 454 pages
Book Rating : 4.3/5 (32 download)
Download or read book The Finite Sample Analysis of Least Squares Estimators in Dynamic Econometric Models [microform] written by Thomas Armstrong Peters and published by National Library of Canada. This book was released on 1986 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt: The least squares estimator of the autoregressive parameter, LS((gamma)), in a first-order stochastic difference equation with independent, identically distributed random innovations is known to be asymptotically unbiased, efficient and consistent (as T ( -->) (INFIN) or (sigma) ( -->) 0) under the proper model specification. Further, LS((gamma)) has a limiting normal distribution around the true parameter, (gamma), if the random innovations are drawn from a normal population. These properties are not observed, however, in sample sizes that are typical of economic time series.
Author : Thomas Armstrong Peters
Publisher :
ISBN 13 :
Total Pages : 454 pages
Book Rating : 4.:/5 (17 download)
Download or read book The Finite Sample Analysis of Least Squares Estimators in Dynamic Econometric Models written by Thomas Armstrong Peters and published by . This book was released on 1986 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mukhtar M. Ali
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Distribution of the Least Squares Estimator in a First-Order Autoregressive Model written by Mukhtar M. Ali and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the finite sample distribution of the least squares estimator of the autoregressive parameter in a first-order autoregressive model. Uniform asymptotic expansion for the distribution applicable to both stationary and nonstationary cases is obtained. Accuracy of the approximation to the distribution by a first few terms of this expansion is then investigated. It is found that the leading term of this expansion approximates well the distribution. The approximation is, in almost all cases, accurate to the second decimal place throughout the distribution. In the literature, there exists a number of approximations to this distribution which are specifically designed to apply in some special cases of this model. The present approximation compares favorably with those approximations and in fact, its accuracy is, with almost no exception, as good as or better than these other approximations. Convenience of numerical computations seems also to favor the present approximations over the others. An application of the finding is illustrated with examples.
Author : Mi Jeong Kim
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (818 download)
Download or read book Efficient Semiparametric Estimators for Nonlinear Regressions and Models Under Sample Selection Bias written by Mi Jeong Kim and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the consistency, robustness and efficiency of parameter estimation in different but related models via semiparametric approach. First, we revisit the second-order least squares estimator proposed in Wang and Leblanc (2008) and show that the estimator reaches the semiparametric efficiency. We further extend the method to the heteroscedastic error models and propose a semiparametric efficient estimator in this more general setting. Second, we study a class of semiparametric skewed distributions arising when the sample selection process causes sampling bias for the observations. We begin by assuming the anti-symmetric property to the skewing function. Taking into account the symmetric nature of the population distribution, we propose consistent estimators for the center of the symmetric population. These estimators are robust to model misspecification and reach the minimum possible estimation variance. Next, we extend the model to permit a more flexible skewing structure. Without assuming a particular form of the skewing function, we propose both consistent and efficient estimators for the center of the symmetric population using a semiparametric method. We also analyze the asymptotic properties and derive the corresponding inference procedures. Numerical results are provided to support the results and illustrate the finite sample performance of the proposed estimators.
Author : Jerzy Szroeter
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (117 download)
Download or read book Exact Finite-sample Relative Efficiency of Sub-optimally Weighted Least Squares Estimators in Models with Ordered Heteroscedasticity written by Jerzy Szroeter and published by . This book was released on 1992 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stanford University. Institute for Mathematical Studies in the Social Sciences
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (123 download)
Download or read book Asymptotic Bias of the Least Squares Estimator for Multivariate Autoregressive Models written by Stanford University. Institute for Mathematical Studies in the Social Sciences and published by . This book was released on 1982 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Eunho Ha
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Bias of Spatial Yule-Walker and Least Squares Estimators written by Eunho Ha and published by . This book was released on 1991 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the asymptotic distribution of Yule-Walker and least squares estimators for two-dimensional autoregressive (AR) processes. Explicit expressions for the asymptotic bias of Yule-Walker estimators and Tjøstheim's least squares estimators (1983) are obtained for AR(p1, p2) processes. The bias in the Yule-Walker estimators disappears if we use the so-called unbiased sample autocovariance function and the usual least squares estimators are also asymptotically unbiased. The extent of the biases in small and moderate samples is studied via simulation.
Author : Taku Yamamoto
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (596 download)
Download or read book Asymtotic Bias of Ordinary Least Squares Estimator for Multivariate Autoregressive Models written by Taku Yamamoto and published by . This book was released on 1981 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Muhammad Abdullah
Publisher :
ISBN 13 :
Total Pages : 10 pages
Book Rating : 4.:/5 (13 download)
Download or read book Biases in GLS Estimators for Dynamic Panel Data Models Allowing Cross-Sectional Heteroscedasticity written by Muhammad Abdullah and published by . This book was released on 2017 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: The inclusion of lagged dependent variable in the list of explanatory variables introduces the specific estimation problems even the generalized least squares estimator for the dynamic panel data models allowing cross sectional heteroscedasticity becomes biased and inconsistent. In this study, the analytical expressions for the inconsistency have been derived in the first order autoregressive case. A comparison between asymptotic bias and small sample simulated bias has also been carried out. The analytical biases emerged coincident with or a little above the small sample simulated biases. The closeness of the two types of biases mainly depends on coefficient of lagged dependent variable (y) and the number of cross sectional units N.
Author : Andrew Chesher
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (133 download)
Download or read book Finite Sample Properties of Least Squares Convariance Matrix Estimators written by Andrew Chesher and published by . This book was released on 1984 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
![Download Approximation of the Bias of the Least Squares Estimator of [sigma]2 in the Case of a First-order Autoregressive Process and Two Correlated Predictors PDF Online Free](https://books.google.com/books/content/images/frontcover/AhJuHAAACAAJ?fife=w200-h370)
Author : Wilfried R. Vanhonacker
Publisher :
ISBN 13 :
Total Pages : 9 pages
Book Rating : 4.:/5 (824 download)
Download or read book Approximation of the Bias of the Least Squares Estimator of [sigma]2 in the Case of a First-order Autoregressive Process and Two Correlated Predictors written by Wilfried R. Vanhonacker and published by . This book was released on 1981 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Study of Estimators in Linear Models written by and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Henri Rijken van Olst
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (643 download)
Download or read book Bias of Least-squares Estimators in Autoregressive Equations written by Henri Rijken van Olst and published by . This book was released on 1977 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
