Similar Search Results

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

Model Selection for Solving Kinematics Problems

Goh, Choon P. - 1990

There has been much interest in the area of model-based reasoning within the Artificial Intelligence community, particularly in its application to diagnosis and troubleshooting. The core issue in this thesis, simply put, is, model-based reasoning is fine, but whence the model? Where do the...

Persistent link: https://www.econbiz.de/10009432937

Improving the performance of model-order selection criteria by partial-model selection search

Alkhaldi, Weaam; Iskander, D. Robert; Zoubir, Abdelhak M. - 2010

The traditional searching method for model-order selection in linear regression is a nested full-parameters-set searching procedure over the desired orders, which we call full-model order selection. On the other hand, a method for model-selection searches for the best sub-model within each...

Persistent link: https://www.econbiz.de/10009438286

The applicability of biased estimation in model and model order selection

Alkhaldi, Weaam; Iskander, Robert; Zoubir, Abdelhak M. - 2009

Biased estimation has the advantage of reducing the mean squared error (MSE) of an estimator. The question of interest is how biased estimation affects model selection. In this paper, we introduce biased estimation to a range of model selection criteria. Specifically, we analyze the performance...

Persistent link: https://www.econbiz.de/10009438332

Model selection and error estimation

Bartlett, P. L.; Boucheron, S.; Lugosi, G. - 2002

We study model selection strategies based on penalized empirical loss minimization. We point out a tight relationship between error estimation and data-based complexity penalization: any good error estimate may be converted into a data-based penalty function and the performance of the estimate...

Persistent link: https://www.econbiz.de/10009438376