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Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model

Todd, Prono - Volkswirtschaftliche Fakultät, … - 2010

Efficient GMM estimation of the semi-strong GARCH(1,1) model requires simultaneous estimation of the conditional third … and fourth moments. This paper proposes a simple alternative to efficient GMM based upon the unconditional skewness of … instruments. Sequential estimation involves TSLS in a first step followed by linear GMM. Simultaneous estimation involves either …

Persistent link: https://www.econbiz.de/10008543477

Enhanced routines for instrumental variables/generalized method of moments estimation and testing

Baum, Christopher; Schaffer, Mark; Stillman, Steven - In: Stata Journal 7 (2007) 4, pp. 465-506

We extend our 2003 paper on instrumental variables and generalized method of moments estimation, and we test and describe enhanced routines that address heteroskedasticity- and autocorrelation-consistent standard errors, weak instruments, limited-information maximum likelihood and k-class...

Persistent link: https://www.econbiz.de/10005568801

Heuristic Optimization Methods for Dynamic Panel Data Model Selection. Application on the Russian Innovative Performance

Savin, Ivan; Winker, Peter - 2010

Innovations, be they radical new products or technology improvements are widely recognized as a key factor of economic growth. To identify the factors triggering innovative activities is a main concern for economic theory and empirical analysis. As the number of hypotheses is large, the process...

Persistent link: https://www.econbiz.de/10010270208

Heuristic Optimization Methods for Dynamic Panel Data Model Selection. Application on the Russian Innovative Performance

Savin, Ivan; Winker, Peter - COMISEF - 2010

Persistent link: https://www.econbiz.de/10008629502

Sensitivity analysis using approximate moment condition models

Armstrong, Timothy B.; Kolesár, Michal - 2018

Persistent link: https://www.econbiz.de/10011948942

Accrual Noise Ratio as a Measure of Accrual Reliability

Njoroge, Kenneth - 2009

I develop an empirical model that estimates a firm-specific accrual noise ratio (ANR), an operational and statistically grounded measure of accrual reliability, and test the measure's construct validity. The model allows accrual reliability to vary across firms, which is particularly important...

Persistent link: https://www.econbiz.de/10009475468

Semiparametric regression analysis of zero-inflated data

Liu, Hai - 2009

Zero-inflated data abound in ecological studies as well as in other scientific and quantitative fields. Nonparametric regression with zero-inflated response may be studied via the zero-inflated generalized additive model (ZIGAM). ZIGAM assumes that the conditional distribution of the response...

Persistent link: https://www.econbiz.de/10009466022

Model selection criteria in the presence of missing data based on the Kullback-Leibler discrepancy

Sparks, JonDavid - 2009

An important challenge in statistical modeling involves determining an appropriate structural form for a model to be used in making inferences and predictions. Missing data is a very common occurrence in most research settings and can easily complicate the model selection problem. Many useful...

Persistent link: https://www.econbiz.de/10009466074

Essays on Model Selection

Choi, Hwan-sik - 2007

Model selection and nonnested hypothesis testing procedures are considered in three papers. The papers generalize the existing testing procedures and propose methods to improve approximations to the sampling distribution of the test statistics. The first paper proposes robust tests which...

Persistent link: https://www.econbiz.de/10009466257

Essays on economic and econometric applications of Bayesian estimation and model comparison

Li, Guangjie - 2009

This thesis consists of three chapters on economic and econometric applications of Bayesian parameter estimation and model comparison. The first two chapters study the incidental parameter problem mainly under a linear autoregressive (AR) panel data model with fixed effect. The first chapter...

Persistent link: https://www.econbiz.de/10009474900