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Econometric analysis of games with multiple equilibria
Paula, Aureo de - Centre for Microdata Methods and Practice (CEMMAP) - 2012
. Multiplicity does not necessarily preclude the estimation of a particular model (and in certain cases even improves its … identification), but ignoring it can lead to misspecifications. The survey starts with a general characterisation of structural … models that highlights how multiplicity affects the classical paradigm. Because the information structure is an important …
Persistent link: https://www.econbiz.de/10010578434
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Simulation-based estimation of peer effects
Krauth, Brian - EconWPA - 2004
The influence of peer behavior on an individual's choices has received renewed interest in recent years. However, accurate measures of this influence are difficult to obtain. Standard reduced-form methods lead to upwardly biased estimates due to simultaneity, common shocks, and nonrandom peer...
Persistent link: https://www.econbiz.de/10005407925
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EXPECTATIONS AND ADJUSTMENTS IN THE MONETARY SECTOR
Feige, Edgar L. - EconWPA - 2005
This paper examines the problem of appropriately specifying and estimating the money demand function in the presence of adaptive expectations and partial adjustment mechanisms. The paper demonstrates the difficulty of interpreting distributed lag reduced form representations of the monetary...
Persistent link: https://www.econbiz.de/10005076678
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Long-Run Structural Modelling
Pesaran, M; Shin, Yongcheol - School of Economics, University of Edinburgh - 2004
The paper develops a general framework for identification, estimation, and hypothesis testing in cointegrated systems …
Persistent link: https://www.econbiz.de/10005086777
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Identification, Weak Instruments and Statistical Inference in Econometrics
DUFOUR, Jean-Marie - Centre Interuniversitaire de Recherche en Économie … - 2003
We discuss statistical inference problems associated with identification and testability in econometrics, and we …
Persistent link: https://www.econbiz.de/10005133053
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Identification, Weak Instruments and Statistical Inference in Econometrics
DUFOUR, Jean-Marie - Département de Sciences Économiques, Université de … - 2003
We discuss statistical inference problems associated with identification and testability in econometrics, and we …
Persistent link: https://www.econbiz.de/10005133161
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LONG-RUN STRUCTURAL MODELLING
Pesaran, M. Hashem; Shin, Yongcheol - In: Econometric Reviews 21 (2002) 1, pp. 49-87
The paper develops a general framework for identification, estimation, and hypothesis testing in cointegrated systems …
Persistent link: https://www.econbiz.de/10005644493
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Structural Equation Models in Human Behavior Genetics
Goldberger, Arthur S. - EconWPA - 2003
Persistent link: https://www.econbiz.de/10005556258
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Two Sample Tests for High Dimensional Covariance Matrices
Chen, Songxi - Volkswirtschaftliche Fakultät, … - 2012
We propose two tests for the equality of covariance matrices between two high-dimensional populations. One test is on the whole variance-covariance matrices, and the other is on offdiagonal sub-matrices which define the covariance between two non-overlapping segments of the high-dimensional...
Persistent link: https://www.econbiz.de/10011259210
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Test for Bandedness of High Dimensional Covariance Matrices with Bandwidth Estimation
Qiu, Yumou; Chen, Songxi - Volkswirtschaftliche Fakultät, … - 2012
Motivated by the latest effort to employ banded matrices to estimate a high-dimensional covariance Σ , we propose a test for Σ being banded with possible diverging bandwidth. The test is adaptive to the “large p , small n ” situations without assuming a specific parametric distribution for...
Persistent link: https://www.econbiz.de/10011259723