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Identification and Inference in a Simultaneous Equation under Alternative Information Sets and Sampling Schemes
Kiviet, Jan F. - Tinbergen Instituut - 2012
In simple static linear simultaneous equation models the empirical distributions of IV and OLS are examined under alternative sampling schemes and compared with their first-order asymptotic approximations. We demonstrate that the limiting distribution of consistent IV is not affected by...
Persistent link: https://www.econbiz.de/10011256767
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Sharp Threshold Detection based on Sup-Norm Error Rates in High-dimensional Models
Callot, Laurent; Caner, Mehmet; Kock, Anders Bredahl; … - Tinbergen Instituut - 2015
We propose a new estimator, the thresholded scaled Lasso, in high dimensional threshold regressions. First, we establish an upper bound on the <I>ℓ</I><SUB>∞</SUB> estimation error of the scaled Lasso estimator of Lee et al. (2012). This is a non-trivial task as the literature on high-dimensional models has...</sub></i>
Persistent link: https://www.econbiz.de/10011256756
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Detecting Serial Dependence in Tail Events
Diks, Cees - Tinbergen Instituut - 2002
A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...
Persistent link: https://www.econbiz.de/10011255612
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The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models
Bun, Maurice J.G.; Windmeijer, Frank - Tinbergen Instituut - 2009
The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel … results are shown to extend to the panel data GMM estimators. This discussion paper resulted in a publication in <A href …
Persistent link: https://www.econbiz.de/10011256005
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Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models
Kiviet, Jan F. - Tinbergen Instituut - 2005
competing estimators for dynamic panel data models. To illustrate particular pitfalls some further Monte Carlo results are … and two step generalized method of moments (GMM) estimators in homoskedastic stable zero-mean panel AR(1) models with …
Persistent link: https://www.econbiz.de/10011256693
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On Distributions of Ratios
Broda, Simon A.; Kan, Raymond - Tinbergen Instituut - 2014
A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...
Persistent link: https://www.econbiz.de/10011255898
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Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo
Zellner, Arnold; Ando, Tomohiro; Basturk, Nalan; … - Tinbergen Instituut - 2012
This discussion paper resulted in a publication in <I>Econometric Reviews</I>. Vol. 33(1-4), 3-35.<P> We discuss Bayesian inferential procedures within the family of instrumental variables regression models and focus on two issues: existence conditions for posterior moments of the parameters of interest...</p></i>
Persistent link: https://www.econbiz.de/10011256253
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Fractional Cointegration Rank Estimation
Lasak, Katarzyna; Velasco, Carlos - Tinbergen Instituut - 2014
Accepted for publication in the <I>Journal of Business & Economic Statistics</I>.<P> We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a new two-step procedure which allows testing for further long-run equilibrium relations with possibly...</p></i>
Persistent link: https://www.econbiz.de/10011255793
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Some Exact Tests for Manifest Properties of Latent Trait Models
Gooijer, Jan G. de; Yuan, Ao - Tinbergen Instituut - 2010
Item response theory is one of the modern test theories with applications in educational and psychological testing …
Persistent link: https://www.econbiz.de/10011256346
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The Impact of Effect Size Heterogeneity on Meta-Analysis: A Monte Carlo Experiment
Koetse, Mark J.; Florax, Raymond J.G.M.; Groot, Henri … - Tinbergen Instituut - 2007
In this paper we use Monte Carlo simulation to investigate the impact of effect size heterogeneity on the results of a meta-analysis. Specifically, we address the small sample behaviour of the OLS, the fixed effects regression and the mixed effects meta-estimators under three alternative...
Persistent link: https://www.econbiz.de/10011256468