Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Consistent Covariance Matrix Estimation With Cross Cultural Dependence And Heteroskedasticity In Cross Sectional Financial Data
Download Consistent Covariance Matrix Estimation With Cross Cultural Dependence And Heteroskedasticity In Cross Sectional Financial Data full books in PDF, epub, and Kindle. Read online Consistent Covariance Matrix Estimation With Cross Cultural Dependence And Heteroskedasticity In Cross Sectional Financial Data ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Consistent Covariance Matrix Estimation with Cross-cultural Dependence and Heteroskedasticity in Cross-sectional Financial Data by : Kenneth Froot
Download or read book Consistent Covariance Matrix Estimation with Cross-cultural Dependence and Heteroskedasticity in Cross-sectional Financial Data written by Kenneth Froot and published by . This book was released on 1987 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data by : Kenneth A. Froot
Download or read book Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data written by Kenneth A. Froot and published by . This book was released on 1990 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a simple method to account for heteroskesdasticity and cross-sectional dependence in samples with large cross sections and relatively few time series observations. The estimators we derive are motivated by cross-sectional regression studies in finance and accounting. Simulation evidence suggests that the estimators are dependable in small samples and may be useful when generalized least squares is infeasible, unreliable, or computationally too burdensome. The approach allows a relatively small number of time series observations to yield a rich characterization of cross-sectional correlations. We also consider efficiency issues and show that in principle asymptotic efficiency can be improved using a technique due to Cragg (1983).
Book Synopsis Consistent Covariance Matrix Estimation with Cross-sectional Dependence and Heteroskedasticity in Cross-sectional Financial Data by :
Download or read book Consistent Covariance Matrix Estimation with Cross-sectional Dependence and Heteroskedasticity in Cross-sectional Financial Data written by and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator by : Kenneth D. West
Download or read book Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator written by Kenneth D. West and published by . This book was released on 1995 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: A þT consistent estimator of a heteroskedasticity and autocorrelation consistent covariance matrix estimator is proposed and evaluated. The relevant applications are ones in which the regression disturbance follows a moving average process of known order. In a system of þ equations, this `MA-þ' estimator entails estimation of the moving average coefficients of an þ-dimensional vector. Simulations indicate that the MA-þ estimator's finite sample performance is better than that of the estimators of Andrews and Monahan (1992) and Newey and West (1994) when cross-products of instruments and disturbances are sharply negatively autocorrelated, comparable or slightly worse otherwise.
Book Synopsis Proceedings of IAC 2018 in Budapest by : group of authors
Download or read book Proceedings of IAC 2018 in Budapest written by group of authors and published by Czech Institute of Academic Education. This book was released on 2018-03-13 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: International Academic Conference on Teaching, Learning and E-learning and International Academic Conference on Management, Economics and Marketing and International Academic Conference on Transport, Logistics, Tourism and Sport Science
Book Synopsis cross-sectional dependence and problems in inference in market based accounting research by : victor l. bernard
Download or read book cross-sectional dependence and problems in inference in market based accounting research written by victor l. bernard and published by . This book was released on 1987 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Heteroskedasticity Consistent Covariance Matrix Estimators for Spatial Autoregressive Models by : Suleyman Taspinar
Download or read book Heteroskedasticity Consistent Covariance Matrix Estimators for Spatial Autoregressive Models written by Suleyman Taspinar and published by . This book was released on 2018 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the presence of heteroskedasticity, conventional test statistics based on the ordinary least square estimator lead to incorrect inference results for the linear regression model. Given that heteroskedasticity is common in cross-sectional data, the test statistics based on various forms of heteroskedasticity consistent covariance matrices (HCCMs) have been developed in the literature. In contrast to the standard linear regression model, heteroskedasticity is a more serious problem for spatial econometric models, generally causing inconsistent extremum estimators of model coefficients. In this paper, we investigate the finite sample properties of the heteroskedasticity-robust generalized method of moments estimator (RGMME) for a spatial econometric model with an unknown form of hetereoskedasticity. In particular, we develop various HCCM-type corrections to improve the finite sample properties of the RGMME and the conventional Wald test. Our Monte Carlo results indicate that the HCCM-type corrections can produce more accurate results for inference on model parameters and the impact effects estimates in small samples.
Book Synopsis Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation by : Masayuki Hirukawa
Download or read book Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation written by Masayuki Hirukawa and published by . This book was released on 2004 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator by :
Download or read book Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator written by and published by . This book was released on 1995 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Note on the Eicker-White Heteroskedasticity-consistent Covariance Matrix Estimator by : Naorayex K. Dastoor
Download or read book A Note on the Eicker-White Heteroskedasticity-consistent Covariance Matrix Estimator written by Naorayex K. Dastoor and published by . This book was released on 1993 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Conditional Heteroskedasticity and Cross-sectional Dependence in Panel Data by : Rodolfo Cermenõ
Download or read book Conditional Heteroskedasticity and Cross-sectional Dependence in Panel Data written by Rodolfo Cermenõ and published by . This book was released on 2002 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Heteroskedasticity-consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity by : Halbert White
Download or read book A Heteroskedasticity-consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity written by Halbert White and published by . This book was released on 1980 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Bias of the Heteroskedasticity Consistent Covariance Matrix Estimator by : Andrew Chesher
Download or read book The Bias of the Heteroskedasticity Consistent Covariance Matrix Estimator written by Andrew Chesher and published by . This book was released on 1986 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Heteroskedasticity-consistent Estimation of the Variance-covariance Matrix for the Almost Ideal Demand System by : Melvyn A. Fuss
Download or read book Heteroskedasticity-consistent Estimation of the Variance-covariance Matrix for the Almost Ideal Demand System written by Melvyn A. Fuss and published by . This book was released on 1989 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Non-parametric Methods Under Cross-sectional Dependence by : Jungyoon Lee
Download or read book Non-parametric Methods Under Cross-sectional Dependence written by Jungyoon Lee and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The possible presence of cross-sectional dependence in economic panel or cross-sectional data needs to be taken into consideration when developing econometric theory for data analysis. This thesis consists of three works that either allow for or estimate cross-sectional dependence in the disturbance terms of a regression model, each addressing different problems, models and methods in the areas of non- and semi-parametric estimation. Chapter 1 provides an overview of the motivations for, and contributions of, the three topics of this thesis. A review of relevant literature is given, followed by a sum- mary of main results obtained in order to help place the present thesis in perspective. Chapter 2 develops asymptotic theory for series estimation under a general setting of spatial dependence in regressors and error term, including cases analogous to those known as long-range dependence in the time series literature. A data-driven studentization, new to non-parametric and cross-sectional contexts, is theoretically justified, then used to develop asymptotically correct inference. Chapter 3 discusses identification and kernel estimation of a non-parametric common regression with additive individual fixed effects in panel data, with weak temporal dependence and arbitrarily strong cross-sectional dependence. An efficiency improvement is obtained by using estimated cross-sectional covariance matrix in a manner similar to generalised least squares, achieving a Gauss-Markov type efficiency bound. Feasible optimal bandwidths and feasible optimal non-parametric regression estimation are established and asymptotically justified. Chapter 4 deals with efficiency improvement in the estimation of pure Spatial Autoregressive model. We construct a two-stage estimator, which adapts to the unknown error distribution of non-parametric form and achieves the Cramer-Rao bound of the correctly specified maximum likelihood estimator. In establishing feasibility of such adaptive estimation, we find that the gain in efficiency from adaptive estimation is typically smaller than in the relevant time series context, but could be also greater under certain asymptotic behaviour of the weight matrix of the model.
Book Synopsis An Improved Heteroskedasticity-consistent Covariance Matrix Estimator by : Francisco Cribari Neto
Download or read book An Improved Heteroskedasticity-consistent Covariance Matrix Estimator written by Francisco Cribari Neto and published by . This book was released on 1999 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bootstrapping Heteroskedasticity Consistent Covariance Matrix Estimator by : Emmanuel Flachaire
Download or read book Bootstrapping Heteroskedasticity Consistent Covariance Matrix Estimator written by Emmanuel Flachaire and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
