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-systematic impact of omitted variable bias in primary studies. Our results show that the mixed effects estimator is to be preferred to … non-systematic impact of omitted variable bias, using the mixed effects estimator may be suboptimal. We also address the …
Persistent link: https://www.econbiz.de/10010325529
We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the samplefraction, in the sense of minimal mean squared error, which is needed for tail index estimation. Unlike previous methodsour procedure is fully self contained. In particular, the...
Persistent link: https://www.econbiz.de/10010324719
This paper compares the behaviour of a bias-corrected estimator assuming strongly exogenous regressors to the behaviour … of a bias-corrected estimator assuming weakly exogenous regressors, when in fact the marginal model contains a feedback … mechanism. To this end, the effects of a feedback mechanism on the first-order least-squares coefficient estimation bias is …
Persistent link: https://www.econbiz.de/10010324780
of bias of (generalized) MMestimators tends to increase with the number of moment conditions exploited. Forvarious … feedbacks none of the techniques examined dominates. However, asimple bias corrected LS estimator which presupposes strict …
Persistent link: https://www.econbiz.de/10010325057
, but then a bias term with unknown sign has to be estimated. We provide an estimator for this sign and the full programme …. Simulation results are also presented.It is weIl known that extreme value parameter estimators which balance the asymptotic bias …
Persistent link: https://www.econbiz.de/10010325182
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/10010325812
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/10012722922
the measurement error. The standard attenuation bias suggests that using these corrected data would lead to a higher …
Persistent link: https://www.econbiz.de/10010325186
We study the optimal choice of quasi-likelihoods for nearly integrated,possibly non-normal, autoregressive models. It turns out that the two mostnatural candidate criteria, minimum Mean Squared Error (MSE) and maximumpower against the unit root null, give rise to different...
Persistent link: https://www.econbiz.de/10010324379
variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared …
Persistent link: https://www.econbiz.de/10010324389