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Model averaging estimation of generalized linear models with imputed covariates
Dardanoni, Valentino; De Luca, Giuseppe; Modica, Salvatore - In: Journal of Econometrics 184 (2015) 2, pp. 452-463
We address the problem of estimating generalized linear models when some covariate values are missing but imputations are available to fill-in the missing values. This situation generates a bias-precision trade-off in the estimation of the model parameters. Extending the generalized...
Persistent link: https://www.econbiz.de/10011117415
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A Comparison of Two Averaging Techniques with an Application to Growth Empirics
Magnus, Jan R.; Prufer, Patricia; Powell, O.R. - Tilburg University, Center for Economic Research - 2008
-average least squares (WALS), a method that has not previously been applied in this context. …
Persistent link: https://www.econbiz.de/10011091371
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WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia
Poghosyan, Karen; Magnus, Jan R. - In: International Econometric Review (IER) 4 (2012) 1, pp. 40-58
-known Bayesian model averaging (BMA) and the recently developed weighted average least squares (WALS). Both methods propose to …
Persistent link: https://www.econbiz.de/10010684138
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WALS estimation and forecasting in factor-based dynamic models with an application to Armenia
Magnus, Jan R.; Poghosyan, K. - Tilburg University, Center for Economic Research - 2011
-known BMA and the recently developed WALS. Both methods propose to combine frequentist estimators using Bayesian weights. We …
Persistent link: https://www.econbiz.de/10011090802
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Semiparametric Bayesian Estimation of Random Coefficients Discrete Choice Models
Tchumtchoua, Sylvie; Dey, Dipak K. - Department of Agricultural and Resource Economics, … - 2007
Heterogeneity in choice models is typically assumed to have a normal distribution in both Bayesian and classical setups. In this paper, we propose a semiparametric Bayesian framework for the analysis of random coefficients discrete choice models that can be applied to both individual as well as...
Persistent link: https://www.econbiz.de/10010816357
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On the Choice of Prior in Bayesian Model Averaging
Einmahl, John; Magnus, Jan R.; Kumar, K. - Tilburg University, Center for Economic Research - 2011
Bayesian model averaging attempts to combine parameter estimation and model uncertainty in one coherent framework. The choice of prior is then critical. Within an explicit framework of ignorance we define a ‘suitable’ prior as one which leads to a continuous and suitable analog to the...
Persistent link: https://www.econbiz.de/10011090439
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Bayesian Model Averaging and Weighted Average Least Squares : Equivariance, Stability, and Numerical Issues
Magnus, Jan R.; De Luca, G. - Tilburg University, Center for Economic Research - 2011
explanatory variables. We introduce the Stata commands bma and wals which implement, respectively, the exact Bayesian Model … Averaging (BMA) estimator and the Weighted Average Least Squares (WALS) estimator developed by Magnus et al. (2010). Unlike …, computing speed and out-of-memory problems. Performances of our bma and wals commands are illustrated using simulated data and …
Persistent link: https://www.econbiz.de/10011090696
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Estimation in integer - valued moving average models
Brännäs, Kurt; Hall, Andreia - Institutionen för Nationalekonomi, Umeå Universitet - 1998
The paper presents new characterizations of the integer-valued moving average model. For four model variants we give moments and probability generating functions. Yule-Walker and conditional least squares estimators are obtained and studied by Monte Carlo simulation. A new generalized method of...
Persistent link: https://www.econbiz.de/10005652035
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New Wine in Old Bottles: A Sequential Estimation Technique for the LPM
Horrace, William C.; Oaxaca, Ronald L. - EconWPA - 2002
The conditions under which ordinary least squares (OLS) is an unbiased and consistent estimator of the linear probability model (LPM) are unlikely to hold in many instances. Yet the LPM still may be the correct model or, perhaps, justified for practical reasons. A sequential least squares (SLS)...
Persistent link: https://www.econbiz.de/10005119162
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The Theoretical Regularity Properties of the Normalized Quadratic Consumer Demand Model
Barnett, William A.; Usui, Ikuyasu - Volkswirtschaftliche Fakultät, … - 2006
We conduct a Monte Carlo study of the global regularity properties of the Normalized Quadratic model. We particularly investigate monotonicity violations, as well as the performance of methods of locally and globally imposing curvature. We find that monotonicity violations are especially likely...
Persistent link: https://www.econbiz.de/10005617076