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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

Minimum MSE estimation of a regression model with fixed effects from a series of cross sections (Revised version)

Nijman, Theo; Verbeek, M.J.C.M. - Tilburg University, Center for Economic Research - 1992

Persistent link: https://www.econbiz.de/10011090363

Generalized least squares estimation of linear models containing rational future expectations

Nijman, Theo; Palm, F.C. - Tilburg University, Center for Economic Research - 1989

Persistent link: https://www.econbiz.de/10011090509

The nonresponse bias in the analysis of the determinants of total annual expenditures of households based on panel data

Nijman, Theo; Verbeek, M.J.C.M. - Tilburg University, Center for Economic Research - 1989

Persistent link: https://www.econbiz.de/10011090534

Empirical tests of a simple pricing model for sugar futures

Nijman, Theo; Beetsma, R.M.W.J. - Tilburg University, Center for Economic Research - 1990

Persistent link: https://www.econbiz.de/10011090868

Estimation of a censored regression panel data model using conditional moment restrictions efficiently

Melenberg, Bertrand; van soest, arthur; Charlier, G.W.P. - Tilburg University, Center for Economic Research - 1995

more than two waves. Estimation is performed in two steps. Using Honore's estimator in a first step, efficient GMM using …

Persistent link: https://www.econbiz.de/10011090920

Testing for selectivity bias in panel data models

Nijman, Theo; Verbeek, M.J.C.M. - Tilburg University, Center for Economic Research - 1990

Persistent link: https://www.econbiz.de/10011090994

Adaptive estimation in time-series models

Drost, Feike C.; Werker, Bas J.M.; Klaassen, C.A.J. - Tilburg University, Center for Economic Research - 1994

Persistent link: https://www.econbiz.de/10011091130

Maximum score estimation in the ordered response model

Kooreman, Peter; Melenberg, Bertrand - Tilburg University, Center for Economic Research - 1989

Persistent link: https://www.econbiz.de/10011091290

A Simple Asymptotic Analysis of Residual-Based Statistics

Werker, Bas J.M.; Andreou, E. - Tilburg University, Center for Economic Research - 2003

What s the asymptotic null distribution of a rank-based serial autocorrelation test applied to residuals of an estimated GARCH model?What s the limiting distribution of estimated ACD parameters applied to the residuals of some first-stage modelling procedure?This paper addresses the often...

Persistent link: https://www.econbiz.de/10011091906