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Author : Lars Peter Hansen
Publisher :
ISBN 13 :
Total Pages : 59 pages
Book Rating : 4.:/5 (316 download)
Download or read book Finite Sample Properties of Some Alternative Generalized Method of Moments Estimators written by Lars Peter Hansen and published by . This book was released on 1994 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lars Peter Hansen
Publisher : Forgotten Books
ISBN 13 : 9780331971491
Total Pages : 64 pages
Book Rating : 4.9/5 (714 download)
Download or read book Finite Sample Properties of Some Alternative Gmm Estimators (Classic Reprint) written by Lars Peter Hansen and published by Forgotten Books. This book was released on 2017-11-26 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Finite Sample Properties of Some Alternative Gmm Estimators Let vtw) denote (an infeasible) consistent estimator of this covariance matrix. This latter estimator is typically made operational by substituting a consistent estimator for (3. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Author : Hansen Peter
Publisher : Hardpress Publishing
ISBN 13 : 9781314823356
Total Pages : 72 pages
Book Rating : 4.8/5 (233 download)
Download or read book Finite Sample Properties of Some Alternative Gmm Estimators... written by Hansen Peter and published by Hardpress Publishing. This book was released on 2013-12 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unlike some other reproductions of classic texts (1) We have not used OCR(Optical Character Recognition), as this leads to bad quality books with introduced typos. (2) In books where there are images such as portraits, maps, sketches etc We have endeavoured to keep the quality of these images, so they represent accurately the original artefact. Although occasionally there may be certain imperfections with these old texts, we feel they deserve to be made available for future generations to enjoy.
Author : Lars Peter Hansen
Publisher : Scholar's Choice
ISBN 13 : 9781297030888
Total Pages : 66 pages
Book Rating : 4.0/5 (38 download)
Download or read book Finite Sample Properties of Some Alternative Gmm Estimators - Scholar's Choice Edition written by Lars Peter Hansen and published by Scholar's Choice. This book was released on 2015-02-15 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work.As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author : Stephen R. Bond
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Reliable Inference for GMM Estimators? Finite Sample Properties of Alternative Test Procedures in Linear Panel Data Models written by Stephen R. Bond and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We compare the finite sample performance of a range of tests of linear restrictions for linear panel data models estimated using Generalised Method of Moments (GMM). These include standard asymptotic Wald tests based on one-step and two-step GMM estimators; two bootstrapped versions of these Wald tests; a version of the two-step Wald test that uses a finite sample corrected estimate of the variance of the two-step GMM estimator; the LM test; and three criterion-based tests that have recently been proposed. We consider both the AR(1) panel model, and a design with predetermined regressors. The corrected two-step Wald test performs similarly to the standard one-step Wald test, whilst the bootstrapped one-step Wald test, the LM test, and a simple criterion-difference test can provide more reliable finite sample inference in some cases.
Author : Lars Peter Hansen
Publisher : Franklin Classics Trade Press
ISBN 13 : 9780353246904
Total Pages : 64 pages
Book Rating : 4.2/5 (469 download)
Download or read book Finite Sample Properties of Some Alternative Gmm Estimators written by Lars Peter Hansen and published by Franklin Classics Trade Press. This book was released on 2018-11-10 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important and is part of the knowledge base of civilization as we know it. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. To ensure a quality reading experience, this work has been proofread and republished using a format that seamlessly blends the original graphical elements with text in an easy-to-read typeface. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author : Laszlo Matyas
Publisher : Cambridge University Press
ISBN 13 : 9780521669672
Total Pages : 332 pages
Book Rating : 4.6/5 (696 download)
Download or read book Generalized Method of Moments Estimation written by Laszlo Matyas and published by Cambridge University Press. This book was released on 1999-04-13 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.
Author : Donald W. K. Andrews
Publisher : Cambridge University Press
ISBN 13 : 1139444603
Total Pages : 589 pages
Book Rating : 4.1/5 (394 download)
Download or read book Identification and Inference for Econometric Models written by Donald W. K. Andrews and published by Cambridge University Press. This book was released on 2005-07-04 with total page 589 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose others. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap.
Author : Joachim Inkmann
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (247 download)
Download or read book Finite Sample Properties of One-step, Two-step and Bootstrap Empirical Likelihood Approaches to Efficient GMM Estimation written by Joachim Inkmann and published by . This book was released on 2000 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Benjamin Kwok
Publisher :
ISBN 13 :
Total Pages : 420 pages
Book Rating : 4.:/5 (16 download)
Download or read book Finite Sample Properties of Two-stage Estimators written by Benjamin Kwok and published by . This book was released on 1992 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Garry D. A. Phillips
Publisher : Cambridge University Press
ISBN 13 : 113946311X
Total Pages : 368 pages
Book Rating : 4.1/5 (394 download)
Download or read book The Refinement of Econometric Estimation and Test Procedures written by Garry D. A. Phillips and published by Cambridge University Press. This book was released on 2007-02-01 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: The small sample properties of estimators and tests are frequently too complex to be useful or are unknown. Much econometric theory is therefore developed for very large or asymptotic samples where it is assumed that the behaviour of estimators and tests will adequately represent their properties in small samples. Refined asymptotic methods adopt an intermediate position by providing improved approximations to small sample behaviour using asymptotic expansions. Dedicated to the memory of Michael Magdalinos, whose work is a major contribution to this area, this book contains chapters directly concerned with refined asymptotic methods. In addition, there are chapters focusing on new asymptotic results; the exploration through simulation of the small sample behaviour of estimators and tests in panel data models; and improvements in methodology. With contributions from leading econometricians, this collection will be essential reading for researchers and graduate students concerned with the use of asymptotic methods in econometric analysis.
Author :
Publisher : International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies
ISBN 13 :
Total Pages : pages
Book Rating : 4./5 ( download)
Download or read book Papers in ITJEMAST 11(7) 2020 written by and published by International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies. This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies publishes a wide spectrum of research and technical articles as well as reviews, experiments, experiences, modelings, simulations, designs, and innovations from engineering, sciences, life sciences, and related disciplines as well as interdisciplinary/cross-disciplinary/multidisciplinary subjects. Original work is required. Article submitted must not be under consideration of other publishers for publications.
Author : Adrian Colin Cameron
Publisher : Cambridge University Press
ISBN 13 : 1107014166
Total Pages : 597 pages
Book Rating : 4.1/5 (7 download)
Download or read book Regression Analysis of Count Data written by Adrian Colin Cameron and published by Cambridge University Press. This book was released on 2013-05-27 with total page 597 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides the most comprehensive and up-to-date account of regression methods to explain the frequency of events.
Author : A. Colin Cameron
Publisher : Cambridge University Press
ISBN 13 : 1107717795
Total Pages : 597 pages
Book Rating : 4.1/5 (77 download)
Download or read book Regression Analysis of Count Data written by A. Colin Cameron and published by Cambridge University Press. This book was released on 2013-05-27 with total page 597 pages. Available in PDF, EPUB and Kindle. Book excerpt: Students in both social and natural sciences often seek regression methods to explain the frequency of events, such as visits to a doctor, auto accidents, or new patents awarded. This book, now in its second edition, provides the most comprehensive and up-to-date account of models and methods to interpret such data. The authors combine theory and practice to make sophisticated methods of analysis accessible to researchers and practitioners working with widely different types of data and software in areas such as applied statistics, econometrics, marketing, operations research, actuarial studies, demography, biostatistics and quantitative social sciences. The new material includes new theoretical topics, an updated and expanded treatment of cross-section models, coverage of bootstrap-based and simulation-based inference, expanded treatment of time series, multivariate and panel data, expanded treatment of endogenous regressors, coverage of quantile count regression, and a new chapter on Bayesian methods.
Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262351307
Total Pages : 497 pages
Book Rating : 4.2/5 (623 download)
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-26 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Author : Fumiya Akashi
Publisher : Springer Nature
ISBN 13 : 9811622647
Total Pages : 117 pages
Book Rating : 4.8/5 (116 download)
Download or read book Diagnostic Methods in Time Series written by Fumiya Akashi and published by Springer Nature. This book was released on 2021-06-08 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains new aspects of model diagnostics in time series analysis, including variable selection problems and higher-order asymptotics of tests. This is the first book to cover systematic approaches and widely applicable results for nonstandard models including infinite variance processes. The book begins by introducing a unified view of a portmanteau-type test based on a likelihood ratio test, useful to test general parametric hypotheses inherent in statistical models. The conditions for the limit distribution of portmanteau-type tests to be asymptotically pivotal are given under general settings, and very clear implications for the relationships between the parameter of interest and the nuisance parameter are elucidated in terms of Fisher-information matrices. A robust testing procedure against heavy-tailed time series models is also constructed in the context of variable selection problems. The setting is very reasonable in the context of financial data analysis and econometrics, and the result is applicable to causality tests of heavy-tailed time series models. In the last two sections, Bartlett-type adjustments for a class of test statistics are discussed when the parameter of interest is on the boundary of the parameter space. A nonlinear adjustment procedure is proposed for a broad range of test statistics including the likelihood ratio, Wald and score statistics.
Author : William Messiha Mikhail
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (143 download)
Download or read book A study of the finite-sample properties of some econometric estimators written by William Messiha Mikhail and published by . This book was released on 1969 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
