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A comparison of bias approximations for the 2SLS estimator
Bun, Maurice J. G.; Windmeijer, Frank - 2011
Persistent link: https://www.econbiz.de/10010190657
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The asymptotic and finite sample distributions of OLS and simple IV in simultaneous equations
Kiviet, J. F.; Niemczyk, Jerzy - 2006
In practice structural equations are often estimated by least-squares, thus neglecting any simultaneity. This paper reveals why this may often be justifiable and when. Assuming data stationarity and existence of the first four moments of the disturbances we find the limiting distribution of the...
Persistent link: https://www.econbiz.de/10011349723
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On the practice of Bayesian inference in basic economic time series models using Gibbs sampling
Pooter, Michiel de; Segers, Rene; Dijk, Herman K. van - 2006
Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling algorithm are presented. Models include the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model, the Instrumental Variables model...
Persistent link: https://www.econbiz.de/10011349180
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Two independent pivotal statistics that test location and misspecification and add up to the Anderson-Rubin statistic
Kleibergen, Frank - 2002
We show that the Anderson-Rubin (AR) statistic is the sum of two independent piv-otal statistics. One statistic is a score statistic that tests location and the other statistictests misspecification. The chi-squared distribution of the location statistic has a degreesof freedom parameter that is...
Persistent link: https://www.econbiz.de/10011326948
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On the ambiguous consequences of omitting variables
De Luca, Giuseppe; Magnus, Jan R.; Peracchi, Franco - 2015
-generation process, the least-squares estimators have smaller bias (in fact zero bias) but larger variances in the long regression than … in the short regression. But if the long regression is also misspecified, the bias may not be smaller. We provide bias …
Persistent link: https://www.econbiz.de/10010532602
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Generalized autoregressive method of moments
Creal, Drew; Koopman, Siem Jan; Lucas, André; … - 2015
We introduce a new estimation framework which extends the Generalized Method of Moments (GMM) to settings where a subset of the parameters vary over time with unknown dynamics. To filter out the dynamic path of the time-varying parameter, we approximate the dynamics by an autoregressive process...
Persistent link: https://www.econbiz.de/10011431471
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Gauss on least-squares and maximum-likelihood estimation
Magnus, Jan R. - 2021
Gauss' 1809 discussion of least squares, which can be viewed as the beginning of mathematical statistics, is reviewed. The general consensus seems to be that Gauss' arguments are at fault, but we show that his reasoning is in fact correct, given his self-imposed restrictions, and persuasive...
Persistent link: https://www.econbiz.de/10012795337
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A quantile-based realized measure of variation : new tests for outlying observations in financial data
Bos, Charles S.; Janus, Paweł - 2013
Persistent link: https://www.econbiz.de/10010191207
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On bias, inconsistency and efficiency of various estimators in dynamic panel data models
Kiviet, Jan F. - 1994 - Rev
Persistent link: https://www.econbiz.de/10000151660
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The bias of the Gini coefficient due to grouping
Van Ourti, Tom; Clarke, Philip M. - 2008
We propose a first order bias correction term for the Gini index to reduce the bias due to grouping. The first order … reveals an intuitive formula for the remaining second order bias which is useful in empirical analyses. We analyze the … it reduces a considerable share of the bias due to grouping. …
Persistent link: https://www.econbiz.de/10011377108