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An Alternative Asymptotic Analysis of Residual-Based Statistics

Werker, Bas J.M.; Andreou, E. - Tilburg University, Center for Economic Research - 2004

considered before all use nonparametric statistics.On the technical side, we provide a novel approach to the pre-estimation … problem using Le Cam s third lemma.The resulting formula for the correction in the limiting variance as a result of pre-estimation …

Persistent link: https://www.econbiz.de/10011092694

A Collective Retirement Model : Identification and Estimation in the Presence of Externalities

Michaud, P.C.; Vermeulen, F.M.P. - Tilburg University, Center for Economic Research - 2004

We study the labor supply dynamics of elderly couples by means of a structural collective model.The model allows for general externalities with respect to spouses leisure.Preferences and the intrahousehold bargaining process are identified by using panel data with couples and individuals who...

Persistent link: https://www.econbiz.de/10011092793

How to Organize Sequential Auctions : Results of a Natural Experiment by Christie's

van Ours, Jan; Ginsburgh, V. - Tilburg University, Center for Economic Research - 2003

In empirical studies of sequential auctions of identical objects prices have been found to decline.We study auctions of ancient Chinese porcelain recovered from shipwrecks.In these auctions there are very long sequences of lots of identical objects.We find that the average price decline is...

Persistent link: https://www.econbiz.de/10011090425

Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems

Chambers, M.J.; McCrorie, J.R. - Tilburg University, Center for Economic Research - 2004

This paper discusses the joint estimation of the long run equilibrium coe cients and the parameters governing the short … acts as the basis for frequency domain Gaussian estimation of the unknown parameters using discrete time data.We formally …

Persistent link: https://www.econbiz.de/10011090524

Econometric Modelling in Blockholder Systems of Corporate Governance

Manjon, M.C. - Tilburg University, Center for Economic Research - 2004

Persistent link: https://www.econbiz.de/10011090535

Estimating Mean and Variance Through Quantiles : An Experimental Comparison of Different Methods

Groenendaal, Willem van; Moors, J.J.A.; Strijbosch, L.W.G. - Tilburg University, Center for Economic Research - 2002

of the estimation of both the quantiles and the parameters are discussed. …

Persistent link: https://www.econbiz.de/10011090599

On the Harm that Pretesting Does

Magnus, Jan R.; Danilov, D.L. - Tilburg University, Center for Economic Research - 2001

unconditional moments of the pretest estimator, taking full account of the fact that model selection and estimation are an …

Persistent link: https://www.econbiz.de/10011090601

Efficient Estimation in Semiparametric GARCH Models

Drost, Feike C.; Klaassen, C.A.J. - Tilburg University, Center for Economic Research - 1996

semiparametric approach is advisable.Several publications observed that adaptive estimation of the Euclidean parameters is not … parameters are orthogonal to the tangent space generated by the nuisance parameter, thus suggesting that adaptive estimation of …

Persistent link: https://www.econbiz.de/10011090911

Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals

Chambers, M.J.; McCrorie, J.R. - Tilburg University, Center for Economic Research - 2004

This paper is concerned with issues of model specification, identification, and estimation in exchange rate models with …

Persistent link: https://www.econbiz.de/10011090961

Projection Estimates of Constrained Functional Parameters

Fils-Villetard, A.; Guillou, A.; Segers, J. - Tilburg University, Center for Economic Research - 2005

AMS classifications: 62G05; 62G07; 62G08; 62G20; 62G32;

Persistent link: https://www.econbiz.de/10011091415