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Asymptotic Properties Of The Maximum Likelihood Estimator Of Random Effects Models With Serial Correlation
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Book Synopsis Asymptotic Properties of the Maximum Likelihood Estimator of Random Effects Models with Serial Correlation by :
Download or read book Asymptotic Properties of the Maximum Likelihood Estimator of Random Effects Models with Serial Correlation written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Stockholm School of Economics (SSE) Library presents the full text of the February 2001 paper entitled "Asymptotic Properties of the Maximum Likelihood Estimator of Random Effects Models with Serial Correlation," written by Jimmy Skoglund and Sune Karlsson. The text is available in PDF format and the paper is number 432 in the SEE/EFI Working Papers in Economics and Finance series. This paper discusses the large sample behavior of the maximum likelihood estimator of random effects models with serial correlation in the form of AR for the time-specific error component.
Book Synopsis Asymptotics for Random Effects Models with Serial Correlation by : Jimmy Skoglund
Download or read book Asymptotics for Random Effects Models with Serial Correlation written by Jimmy Skoglund and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers the large sample behavior of the maximum likelihood estimator of random effects models. Consistent estimation and asymptotic normality as N and/or T grows large is established for a comprehensive specification which allows for serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. The consistency and asymptotic normality properties of all commonly used random effects models are obtained as special cases of the comprehensive model. When N or T >infty only a subset of the parameters are consistent and asymptotic normality is established for the consistent subsets.
Book Synopsis Asymptotic Properties and Computation of Maximum Likelihood Estimates in the Mixed Model of the Analysis of Variance by : Stanford University. Department of Statistics
Download or read book Asymptotic Properties and Computation of Maximum Likelihood Estimates in the Mixed Model of the Analysis of Variance written by Stanford University. Department of Statistics and published by . This book was released on 1973 with total page 556 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem considered is the estimation of the parameters in the mixed model of the analysis of variance, assuming normality of the random effects and errors. Both asymptotic properties of such estimates as the size of the design increases and numerical procedures for their calculation are discussed. Estimation is carried out by the method of maximum likelihood. It is shown that there is a sequence of roots of the likelihood equations which is consistent, asymptotically normal and asymptotically efficient in the sense of attaining the Cramer-Rao lower bound for the covariance matrix as the size of the design increases. This is accomplished using a Taylor series expansion of the log-likelihood. (Modified author abstract).
Book Synopsis Asymptotic Properties of Maximum Likelihood Estimators in the General Sampling Framework, and Some Results in Non-normal Linear Regression by : Robert Ernest Tarone
Download or read book Asymptotic Properties of Maximum Likelihood Estimators in the General Sampling Framework, and Some Results in Non-normal Linear Regression written by Robert Ernest Tarone and published by . This book was released on 1974 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Maximum-Likelihood Based Inference in the Two-Way Random Effects Model with Serially Correlated Time Effects by : Jimmy Skoglund
Download or read book Maximum-Likelihood Based Inference in the Two-Way Random Effects Model with Serially Correlated Time Effects written by Jimmy Skoglund and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The general case where the time specific effect in a two way model follows an arbitrary ARMA process has not been considered previously. We offer a straightforward maximum likelihood estimator for this case. Allowing for general ARMA processes raises the issue of model specification and we propose tests of the null hypothesis of no serial correlation as well as tests for discriminating between different specifications. A Monte-Carlo experiment evaluates the finite-sample properties of the estimators and test-statistics.
Book Synopsis Asymptotic Properties of Some Estimators in Moving Average Models by : Stanford University. Department of Statistics
Download or read book Asymptotic Properties of Some Estimators in Moving Average Models written by Stanford University. Department of Statistics and published by . This book was released on 1975 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: The author considers estimation procedures for the moving average model of order q. Walker's method uses k sample autocovariances (k> or = q). Assume that k depends on T in such a way that k nears infinity as T nears infinity. The estimates are consistent, asymptotically normal and asymptotically efficient if k = k (T) dominates log T and is dominated by (T sub 1/2). The approach in proving these theorems involves obtaining an explicit form for the components of the inverse of a symmetric matrix with equal elements along its five central diagonals, and zeroes elsewhere. The asymptotic normality follows from a central limit theorem for normalized sums of random variables that are dependent of order k, where k tends to infinity with T. An alternative form of the estimator facilitates the calculations and the analysis of the role of k, without changing the asymptotic properties.
Book Synopsis Asymptotic Properties of Maximum Likelihood Estimators in the Nonlinear Regression Model when the Errors are Neither Independent for Identically Distributed by : R. D. H. Heijmans
Download or read book Asymptotic Properties of Maximum Likelihood Estimators in the Nonlinear Regression Model when the Errors are Neither Independent for Identically Distributed written by R. D. H. Heijmans and published by . This book was released on 1982 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Econometric Analysis of Panel Data by : Badi Baltagi
Download or read book Econometric Analysis of Panel Data written by Badi Baltagi and published by John Wiley & Sons. This book was released on 2008-06-30 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the world's leading researchers and writers in the field, Econometric Analysis of Panel Data has become established as the leading textbook for postgraduate courses in panel data. This new edition reflects the rapid developments in the field covering the vast research that has been conducted on panel data since its initial publication. Featuring the most recent empirical examples from panel data literature, data sets are also provided as well as the programs to implement the estimation and testing procedures described in the book. These programs will be made available via an accompanying website which will also contain solutions to end of chapter exercises that will appear in the book. The text has been fully updated with new material on dynamic panel data models and recent results on non-linear panel models and in particular work on limited dependent variables panel data models.
Book Synopsis Asymptotic Properties of Maximum Likelihood Estimators in the Nonlinear Regression Model when the Errors are Neither Independent Nor Identically Distributed by : R. D. H. Heijmans
Download or read book Asymptotic Properties of Maximum Likelihood Estimators in the Nonlinear Regression Model when the Errors are Neither Independent Nor Identically Distributed written by R. D. H. Heijmans and published by . This book was released on 1982 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Asymptotic Properties of Maximum Likelihood Estimators of Parameters of Some Econometric Models by : Mary Kathleen Vickers
Download or read book Optimal Asymptotic Properties of Maximum Likelihood Estimators of Parameters of Some Econometric Models written by Mary Kathleen Vickers and published by . This book was released on 1977 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: Four theorems are proven, which simplify the application to econometric models of Weiss's theorem on asymptotic properties of maximum likelihood estimators in nonstandard cases. The theorems require, roughly: the uniform convergence in any compact sets of the unknown parameters of the expection of the Hessian matrix of the log likelihood function; and the uniform convergence to 0 in the same sense of the variance of the same quantities. The fourth theorem allows one to conclude that the optimal properties hold on an image set of the parameters when the map satisfies certain smoothness conditions, and the first three theorems are satisfied for the original parameter set. These four theorems are applied to autoregressive models, nonlinear models, systems of equations, and probit and logit models to infer optimal asymptotic properties. (Author).
Book Synopsis Analysis of Panel Data by : Cheng Hsiao
Download or read book Analysis of Panel Data written by Cheng Hsiao and published by Cambridge University Press. This book was released on 2014-12-08 with total page 563 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive, coherent, and intuitive review of panel data methodologies that are useful for empirical analysis. Substantially revised from the second edition, it includes two new chapters on modeling cross-sectionally dependent data and dynamic systems of equations. Some of the more complicated concepts have been further streamlined. Other new material includes correlated random coefficient models, pseudo-panels, duration and count data models, quantile analysis, and alternative approaches for controlling the impact of unobserved heterogeneity in nonlinear panel data models.
Book Synopsis Maximum Likelihood Estimation and Inference by : Russell B. Millar
Download or read book Maximum Likelihood Estimation and Inference written by Russell B. Millar and published by John Wiley & Sons. This book was released on 2011-07-26 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book takes a fresh look at the popular and well-established method of maximum likelihood for statistical estimation and inference. It begins with an intuitive introduction to the concepts and background of likelihood, and moves through to the latest developments in maximum likelihood methodology, including general latent variable models and new material for the practical implementation of integrated likelihood using the free ADMB software. Fundamental issues of statistical inference are also examined, with a presentation of some of the philosophical debates underlying the choice of statistical paradigm. Key features: Provides an accessible introduction to pragmatic maximum likelihood modelling. Covers more advanced topics, including general forms of latent variable models (including non-linear and non-normal mixed-effects and state-space models) and the use of maximum likelihood variants, such as estimating equations, conditional likelihood, restricted likelihood and integrated likelihood. Adopts a practical approach, with a focus on providing the relevant tools required by researchers and practitioners who collect and analyze real data. Presents numerous examples and case studies across a wide range of applications including medicine, biology and ecology. Features applications from a range of disciplines, with implementation in R, SAS and/or ADMB. Provides all program code and software extensions on a supporting website. Confines supporting theory to the final chapters to maintain a readable and pragmatic focus of the preceding chapters. This book is not just an accessible and practical text about maximum likelihood, it is a comprehensive guide to modern maximum likelihood estimation and inference. It will be of interest to readers of all levels, from novice to expert. It will be of great benefit to researchers, and to students of statistics from senior undergraduate to graduate level. For use as a course text, exercises are provided at the end of each chapter.
Book Synopsis Asymptotic Properties of Maximum Likelihood Estimators in a Nonlinear Regression Model with Unknown Parameters in the Disturbance Covariance Matrix by : R. D. H. Heijmans
Download or read book Asymptotic Properties of Maximum Likelihood Estimators in a Nonlinear Regression Model with Unknown Parameters in the Disturbance Covariance Matrix written by R. D. H. Heijmans and published by . This book was released on 1977 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asymptotic Properties of Maximum-likelihood-estimators in Diffusion Type Models by : H. M. Dietz
Download or read book Asymptotic Properties of Maximum-likelihood-estimators in Diffusion Type Models written by H. M. Dietz and published by . This book was released on 1989 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Linear Mixed Models in Practice by : Geert Verbeke
Download or read book Linear Mixed Models in Practice written by Geert Verbeke and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive treatment of linear mixed models, focusing on examples from designed experiments and longitudinal studies. Aimed at applied statisticians and biomedical researchers in industry, public health organisations, contract research organisations, and academia, this book is explanatory rather than mathematical rigorous. Although most analyses were done with the MIXED procedure of the SAS software package, and many of its features are clearly elucidated, considerable effort was put into presenting the data analyses in a software-independent fashion.
Book Synopsis Asymptotic Properties of Induced Maximum Likelihood Estimates of Nonlinear Models for Item Response Variables: The Finite-Generic-Item-Pool Case by : Douglas H. Jones
Download or read book Asymptotic Properties of Induced Maximum Likelihood Estimates of Nonlinear Models for Item Response Variables: The Finite-Generic-Item-Pool Case written by Douglas H. Jones and published by . This book was released on 1985 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: The progress of modern mental test theory depends very much on the techniques of maximum likelihood estimation, and many popular applications make use of likelihoods induced by logistic item response models. While, in reality, item responses are nonreplicate within a single examinee and the logistic models are only ideal, practitioners make inferences using the asymptotic distribution of the maximum likelihood estimator derived as if item responses were replicated and satisfied their ideal model. This article proposes a sample space acknowledging these two realities and derives the asymptotic distribution of the induced maximum likelihood estimator. This article assumes that items, while sampled from an infinite set of items, have but a finite domain of alternate response functions: this situation is the case of the finite-generic-item-pool. Using the proposed sample space, the article applies the statistical functional approach of von Mises to derive the influence curve of the maximum likelihood estimator; to discuss related robustness properties; and to derive new classes of resistent estimators. The aim is revealing the value of these methods for uncovering the relative merits of different item response functions. Proofs and mathematical derivations are minimized to increase the accessability of this complex subject. (Author).
Book Synopsis On Some Asymptotic Properties of Maximum Likelihood Estimates and Related Bayes' Estimates by : Lucien Marie Le Cam
Download or read book On Some Asymptotic Properties of Maximum Likelihood Estimates and Related Bayes' Estimates written by Lucien Marie Le Cam and published by . This book was released on 1953 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
