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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.; de Groot, … - 2007
In this paper we use Monte Carlo simulation to investigate the impact of effect size heterogeneity on the results of a …
Persistent link: https://www.econbiz.de/10010325529
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The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models
Bun, Maurice J. G.; Windmeijer, Frank - 2009
The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced model in terms of bias and root mean squared error....
Persistent link: https://www.econbiz.de/10014202992
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Identification and Inference in a Simultaneous Equation under Alternative Information Sets and Sampling Schemes
Kiviet, Jan F. - 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/10010326338
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Identification and Inference in a Simultaneous Equation Under Alternative Information Sets and Sampling Schemes
Kiviet, Jan F. - 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/10013097341
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Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning
Christopeit, Norbert - 2010
In this paper we consider regression models with forecast feedback. Agents' expectations are formed via the recursive estimation of the parameters in an auxiliary model. The learning scheme employed by the agents belongs to the class of stochastic approximation algorithms whose gain sequence is...
Persistent link: https://www.econbiz.de/10013139606
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Decomposing Portfolio Value-at-Risk: A General Analysis
Hallerbach, Winfried G. - 1999
the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …
Persistent link: https://www.econbiz.de/10010324653
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Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach
Haldrup, Niels; Jansson, Michael - 1999
This paper introduces a representation of an integrated vectortime series in which the coefficient of multiple correlation computed fromthe long-run covariance matrix of the innovation sequences is a primitiveparameter of the model. Based on this representation, a notion of nearcointegration is...
Persistent link: https://www.econbiz.de/10010324535
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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/10010324890
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The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models
Bun, Maurice J.G.; Windmeijer, Frank - 2009
The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced model in terms of bias and root mean squared error....
Persistent link: https://www.econbiz.de/10010325667
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Detecting Serial Dependence in Tail Events
Diks, Cees - 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/10010324850