Showing 1 - 10 of 88
-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 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
This paper discusses a number of issues that will become increasingly important nowthat the concept of marginal external cost pricing becomes more likely to be implementedas a policy strategy in transport in reality. The first part of the paper deals with thelong-run efficiency of marginal...
Persistent link: https://www.econbiz.de/10010324401
We prove that the probability distribution of Hill's estimator can be betterapproximated by a series of appropriate gamma distributions than by the limitingnormal distribution.
Persistent link: https://www.econbiz.de/10010324434
Large data sets in finance with millions of observations have becomewidely available. Such data sets enable the construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi-parametric statisticalextreme value analysis, and...
Persistent link: https://www.econbiz.de/10010324456
Estimation using simulation techniques may be very time consuming. Specification tests for structuralstability often require more than one of such computationally demanding estimators. Typically one for thesample, one for the post-sample and one for the combination of sample and post-sample is...
Persistent link: https://www.econbiz.de/10010324461