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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

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

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

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

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

Structural Equation Models in Human Behavior Genetics

Goldberger, Arthur S. - EconWPA - 2003

Persistent link: https://www.econbiz.de/10005556258

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

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

On the Approximate Maximum Likelihood Estimation for Diffusion Processes

Chang, Jinyuan; Chen, Songxi - Volkswirtschaftliche Fakultät, … - 2011

The transition density of a diffusion process does not admit an explicit expression in general, which prevents the full maximum likelihood estimation (MLE) based on discretely observed sample paths. Aït-Sahalia [J. Finance 54 (1999) 1361–1395; Econometrica 70 (2002) 223–262] proposed asymptotic...

Persistent link: https://www.econbiz.de/10011108755

Estimation in semiparametric models with missing data

Chen, Songxi - Volkswirtschaftliche Fakultät, … - 2012

This paper considers the problem of parameter estimation in a general class of semiparametric models when observations are subject to missingness at random. The semiparametric models allow for estimating functions that are non-smooth with respect to the parameter. We propose a nonparametric...

Persistent link: https://www.econbiz.de/10011109911