Robust Methods And Asymptotic Theory In Nonlinear Econometrics

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Robust Methods and Asymptotic Theory in Nonlinear Econometrics

Author : H. J. Bierens
Publisher : Springer Science & Business Media
ISBN 13 : 3642455298
Total Pages : 211 pages
Book Rating : 4.6/5 (424 download)

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Book Synopsis Robust Methods and Asymptotic Theory in Nonlinear Econometrics by : H. J. Bierens

Download or read book Robust Methods and Asymptotic Theory in Nonlinear Econometrics written by H. J. Bierens and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 211 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Lecture Note deals with asymptotic properties, i.e. weak and strong consistency and asymptotic normality, of parameter estimators of nonlinear regression models and nonlinear structural equations under various assumptions on the distribution of the data. The estimation methods involved are nonlinear least squares estimation (NLLSE), nonlinear robust M-estimation (NLRME) and non linear weighted robust M-estimation (NLWRME) for the regression case and nonlinear two-stage least squares estimation (NL2SLSE) and a new method called minimum information estimation (MIE) for the case of structural equations. The asymptotic properties of the NLLSE and the two robust M-estimation methods are derived from further elaborations of results of Jennrich. Special attention is payed to the comparison of the asymptotic efficiency of NLLSE and NLRME. It is shown that if the tails of the error distribution are fatter than those of the normal distribution NLRME is more efficient than NLLSE. The NLWRME method is appropriate if the distributions of both the errors and the regressors have fat tails. This study also improves and extends the NL2SLSE theory of Amemiya. The method involved is a variant of the instrumental variables method, requiring at least as many instrumental variables as parameters to be estimated. The new MIE method requires less instrumental variables. Asymptotic normality can be derived by employing only one instrumental variable and consistency can even be proved with out using any instrumental variables at all.

Dynamic Nonlinear Econometric Models

Author : Benedikt M. Pötscher
Publisher : Springer Science & Business Media
ISBN 13 : 3662034867
Total Pages : 307 pages
Book Rating : 4.6/5 (62 download)

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Book Synopsis Dynamic Nonlinear Econometric Models by : Benedikt M. Pötscher

Download or read book Dynamic Nonlinear Econometric Models written by Benedikt M. Pötscher and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many relationships in economics, and also in other fields, are both dynamic and nonlinear. A major advance in econometrics over the last fifteen years has been the development of a theory of estimation and inference for dy namic nonlinear models. This advance was accompanied by improvements in computer technology that facilitate the practical implementation of such estimation methods. In two articles in Econometric Reviews, i.e., Pötscher and Prucha {1991a,b), we provided -an expository discussion of the basic structure of the asymptotic theory of M-estimators in dynamic nonlinear models and a review of the literature up to the beginning of this decade. Among others, the class of M-estimators contains least mean distance estimators (includ ing maximum likelihood estimators) and generalized method of moment estimators. The present book expands and revises the discussion in those articles. It is geared towards the professional econometrician or statistician. Besides reviewing the literature we also presented in the above men tioned articles a number of then new results. One example is a consis tency result for the case where the identifiable uniqueness condition fails.

Nonlinear Econometric Modeling in Time Series

Author : William A. Barnett
Publisher : Cambridge University Press
ISBN 13 : 9780521594240
Total Pages : 248 pages
Book Rating : 4.5/5 (942 download)

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Book Synopsis Nonlinear Econometric Modeling in Time Series by : William A. Barnett

Download or read book Nonlinear Econometric Modeling in Time Series written by William A. Barnett and published by Cambridge University Press. This book was released on 2000-05-22 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents some of the more recent developments in nonlinear time series, including Bayesian analysis and cointegration tests.

Introduction to Robust and Quasi-Robust Statistical Methods

Author : W.J.J. Rey
Publisher : Springer Science & Business Media
ISBN 13 : 364269389X
Total Pages : 247 pages
Book Rating : 4.6/5 (426 download)

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Book Synopsis Introduction to Robust and Quasi-Robust Statistical Methods by : W.J.J. Rey

Download or read book Introduction to Robust and Quasi-Robust Statistical Methods written by W.J.J. Rey and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Asymptotic Theory for Econometricians

Author : Halbert White
Publisher : Academic Press
ISBN 13 : 1483294420
Total Pages : 288 pages
Book Rating : 4.4/5 (832 download)

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Book Synopsis Asymptotic Theory for Econometricians by : Halbert White

Download or read book Asymptotic Theory for Econometricians written by Halbert White and published by Academic Press. This book was released on 2014-06-28 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is intended to provide a somewhat more comprehensive and unified treatment of large sample theory than has been available previously and to relate the fundamental tools of asymptotic theory directly to many of the estimators of interest to econometricians. In addition, because economic data are generated in a variety of different contexts (time series, cross sections, time series--cross sections), we pay particular attention to the similarities and differences in the techniques appropriate to each of these contexts.

The Theory and Practice of Econometrics

Author : George G. Judge
Publisher : John Wiley & Sons
ISBN 13 : 047189530X
Total Pages : 1062 pages
Book Rating : 4.4/5 (718 download)

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Book Synopsis The Theory and Practice of Econometrics by : George G. Judge

Download or read book The Theory and Practice of Econometrics written by George G. Judge and published by John Wiley & Sons. This book was released on 1991-01-16 with total page 1062 pages. Available in PDF, EPUB and Kindle. Book excerpt: This broadly based graduate-level textbook covers the major models and statistical tools currently used in the practice of econometrics. It examines the classical, the decision theory, and the Bayesian approaches, and contains material on single equation and simultaneous equation econometric models. Includes an extensive reference list for each topic.

Econometric Theory and Practice

Author : P. C. B. Phillips
Publisher : Cambridge University Press
ISBN 13 : 9780521807234
Total Pages : 390 pages
Book Rating : 4.8/5 (72 download)

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Book Synopsis Econometric Theory and Practice by : P. C. B. Phillips

Download or read book Econometric Theory and Practice written by P. C. B. Phillips and published by Cambridge University Press. This book was released on 2006-01-09 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essays in this book explore important theoretical and applied advances in econometrics.

Robust Digital Processing of Speech Signals

Author : Branko Kovacevic
Publisher : Springer
ISBN 13 : 3319536133
Total Pages : 224 pages
Book Rating : 4.3/5 (195 download)

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Book Synopsis Robust Digital Processing of Speech Signals by : Branko Kovacevic

Download or read book Robust Digital Processing of Speech Signals written by Branko Kovacevic and published by Springer. This book was released on 2017-06-06 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on speech signal phenomena, presenting a robustification of the usual speech generation models with regard to the presumed types of excitation signals, which is equivalent to the introduction of a class of nonlinear models and the corresponding criterion functions for parameter estimation. Compared to the general class of nonlinear models, such as various neural networks, these models possess good properties of controlled complexity, the option of working in “online” mode, as well as a low information volume for efficient speech encoding and transmission. Providing comprehensive insights, the book is based on the authors’ research, which has already been published, supplemented by additional texts discussing general considerations of speech modeling, linear predictive analysis and robust parameter estimation.

Stochastic Control

Author : N.K. Sinha
Publisher : Elsevier
ISBN 13 : 1483298078
Total Pages : 526 pages
Book Rating : 4.4/5 (832 download)

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Book Synopsis Stochastic Control by : N.K. Sinha

Download or read book Stochastic Control written by N.K. Sinha and published by Elsevier. This book was released on 2014-05-23 with total page 526 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic control, the control of random processes, has become increasingly more important to the systems analyst and engineer. The Second IFAC Symposium on Stochastic Control represents current thinking on all aspects of stochastic control, both theoretical and practical, and as such represents a further advance in the understanding of such systems.

The Elements of a Nonlinear Theory of Economic Dynamics

Author : Carl Chiarella
Publisher : Springer Science & Business Media
ISBN 13 : 3642467075
Total Pages : 162 pages
Book Rating : 4.6/5 (424 download)

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Book Synopsis The Elements of a Nonlinear Theory of Economic Dynamics by : Carl Chiarella

Download or read book The Elements of a Nonlinear Theory of Economic Dynamics written by Carl Chiarella and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: Elements of a Nonlinear Theory of Economic Dynamics provides both a framework and a survey of its needs. First, principle results and techniques of the theory relevant to applications in dynamic economics are discussed, then their application in view of older endogenous cycle theories are considered in a unified mathematical framework. Models incorporating the government budget constraint and the Goodwin model are analysed using the method of averaging and the centre manifold theory. The dynamic instability problem is solved by placing models in a nonlinear framework.

Topics in Advanced Econometrics

Author : Herman J. Bierens
Publisher : Cambridge University Press
ISBN 13 : 9780521565110
Total Pages : 274 pages
Book Rating : 4.5/5 (651 download)

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Book Synopsis Topics in Advanced Econometrics by : Herman J. Bierens

Download or read book Topics in Advanced Econometrics written by Herman J. Bierens and published by Cambridge University Press. This book was released on 1996-02-23 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: A rigorous treatment of a number of timely topics in advanced econometrics.

Estimation of Dynamic Econometric Models with Errors in Variables

Author : Jaime Terceiro Lomba
Publisher : Springer Science & Business Media
ISBN 13 : 3642488102
Total Pages : 126 pages
Book Rating : 4.6/5 (424 download)

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Book Synopsis Estimation of Dynamic Econometric Models with Errors in Variables by : Jaime Terceiro Lomba

Download or read book Estimation of Dynamic Econometric Models with Errors in Variables written by Jaime Terceiro Lomba and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new procedure for the maximum-likelihood estimation of dynamic econometric models with errors in both endogenous and exogenous variables is presented in this monograph. A complete analytical development of the expressions used in problems of estimation and verification of models in state-space form is presented. The results are useful in relation not only to the problem of errors in variables but also to any other possible econometric application of state-space formulations.

Competition, Instability, and Nonlinear Cycles

Author : Willi Semmler
Publisher : Springer Science & Business Media
ISBN 13 : 3642516998
Total Pages : 357 pages
Book Rating : 4.6/5 (425 download)

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Book Synopsis Competition, Instability, and Nonlinear Cycles by : Willi Semmler

Download or read book Competition, Instability, and Nonlinear Cycles written by Willi Semmler and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 357 pages. Available in PDF, EPUB and Kindle. Book excerpt: I. The Topic and the structure of the Proceedings The papers in this book are the proceedings of a conference held at the Economics Department of the Graduate Faculty of the New School for Social Research in March 1985 in New York for which financial support was provided by .the West German Consulate. The topic of the conference was "Competition, Instability, and Nonlinear Cycles." A number of mathematical economists from Italy, West Germany, France, Japan, and the u.s. were invited as participants in this meeting. The conference was preceded by two other conferences in which several of the invited scholars had taken part. One, on "la gravitation des prix," took place in Nanterre, France,in March 1984. The other was held at the New School for Social Research in April 1984 on "Price of Production in Joint Production systems." Both conference were concerned with classical prices of production systems and their revival in the form developed by Sraffa and Pasinetti (1977). In these conferences, considerable interest arose in more properly modeling the dynamics of prices of production systems in a multi sectoral framework by utilizing modern mathematical tools of dynamical systems. Such a discussion on the dynamics of the classical process of competition and the stability of classical production prices was originally initiated by several papers by Nikaido (1977, 1983, 1984) and further pursued by several scholars (see Steedman, 1983; Boggio, 1980; Kuroki, 1983; Dumenil/Levy, 1983; Krause, 1983, 1984; Hosoda, 1985; Filippini, 1985).

More Test Examples for Nonlinear Programming Codes

Author : Klaus Schittkowski
Publisher : Springer Science & Business Media
ISBN 13 : 3642615821
Total Pages : 271 pages
Book Rating : 4.6/5 (426 download)

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Book Synopsis More Test Examples for Nonlinear Programming Codes by : Klaus Schittkowski

Download or read book More Test Examples for Nonlinear Programming Codes written by Klaus Schittkowski and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of 188 nonlinear programming test examples is a supplement of the test problem collection published by Hock and Schittkowski [2]. As in the former case, the intention is to present an extensive set of nonlinear programming problems that were used by other authors in the past to develop, test or compare optimization algorithms. There is no distinction between an "easy" or "difficult" test problem, since any related classification must depend on the underlying algorithm and test design. For instance, a nonlinear least squares problem may be solved easily by a special purpose code within a few iterations, but the same problem can be unsolvable for a general nonlinear programming code due to ill-conditioning. Thus one should consider both collections as a possible offer to choose some suitable problems for a specific test frame. One difference between the new collection and the former one pub lished by Hock and Schittkowski [2], is the attempt to present some more realistic or "real world" problems. Moreover a couple of non linear least squares test problems were collected which can be used e. g. to test data fitting algorithms. The presentation of the test problems is somewhat simplified and numerical solutions are computed only by one nonlinear programming code, the sequential quadratic programming algorithm NLPQL of Schittkowski [3]. But both test problem collections are implemeted in the same way in form of special FORTRAN subroutines, so that the same test programs can be used.

Estimation, Inference and Specification Analysis

Author : Halbert White
Publisher : Cambridge University Press
ISBN 13 : 9780521574464
Total Pages : 396 pages
Book Rating : 4.5/5 (744 download)

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Book Synopsis Estimation, Inference and Specification Analysis by : Halbert White

Download or read book Estimation, Inference and Specification Analysis written by Halbert White and published by Cambridge University Press. This book was released on 1996-06-28 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the consequences of misspecifications for the interpretation of likelihood-based methods of statistical estimation and interference. The analysis concludes with an examination of methods by which the possibility of misspecification can be empirically investigated.

Econometrics

Author : John Eatwell
Publisher : Springer
ISBN 13 : 1349205702
Total Pages : 296 pages
Book Rating : 4.3/5 (492 download)

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Book Synopsis Econometrics by : John Eatwell

Download or read book Econometrics written by John Eatwell and published by Springer. This book was released on 1990-02-23 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an excerpt from the 4-volume dictionary of economics, a reference book which aims to define the subject of economics today. 1300 subject entries in the complete work cover the broad themes of economic theory. This extract concentrates on econometrics.

Business Cycle Theory

Author : Günter Gabisch
Publisher : Springer Science & Business Media
ISBN 13 : 3662011786
Total Pages : 240 pages
Book Rating : 4.6/5 (62 download)

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Book Synopsis Business Cycle Theory by : Günter Gabisch

Download or read book Business Cycle Theory written by Günter Gabisch and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Is the business cycle obsolete?" This often cited title of a book edited by Bronfenbren ner with the implicit affirmation of the question reflected the attitude of mainstream macroeconomics in the Sixties regarding the empirical relevance of cyclic motions of an economy. The successful income policies, theoretically grounded in Keynesian macroec onomics, seemed to have eased or even abolished the fluctuations in West,ern economies which motivated studies of many classical and neoclassical economists for more than 100 years. The reasoning behind the conviction that business cycles would increasingly become irrelevant was rather simple: if an economy fluctuates for whatever reason, then it is almost always possible to neutralize these cyclic motions by means of anti-cyclic demand policies. From the 1950's until the mid-Sixties business cycle theory had often been consid ered either as an appendix to growth theory or as an academic exercise in dynamical economics. The common business cycle models were essentially multiplier-accelerator models whose sensitive dependence on parameter values (in order to be called busi ness cycle models) suggested a rather improbable occurrence of continuing oscillations. The obvious success in compensating business cycles in those days prevented intensive concern with the occurrence of cycles. Rather, business cycle theory turned into sta bilization theory which investigated theoretical possibilities of stabilizing a fluctuating economy. Many macroeconomic textbooks appeared in the Sixties which consequently identified business cycle theory with inquiries on the possibilities to stabilize economies 2 Introduction by means of active fiscal or monetary policies.