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Consecutive k-within-m-out-of-n:F system with exchangeable components
Eryilmaz, Serkan; Kan, Cihangir; Akici, Fatih - 2009
As a generalization of k-out-of-n:F and consecutive k-out-of-n:F systems, the consecutive k-within-m-out-of-n:F system consists of n linearly ordered components such that the system fails iff there are m consecutive components which include among them at least k failed components. In this...
Persistent link: https://www.econbiz.de/10015224340
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Non-Parametric Maximum Likelihood Density Estimation and Simulation-Based Minimum Distance Estimators
Gach, Florian; Pötscher, Benedikt M. - 2010
Indirect inference estimators (i.e., simulation-based minimum distance estimators) in a parametric model that are based on auxiliary non-parametric maximum likelihood density estimators are shown to be asymptotically normal. If the parametric model is correctly specified, it is furthermore shown...
Persistent link: https://www.econbiz.de/10015224761
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On the finite-sample properties of conditional empirical likelihood estimators
Crudu, Federico; Sándor, Zsolt - 2011
We provide Monte Carlo evidence on the finite sample behavior of the conditional empirical likelihood (CEL) estimator of Kitamura, Tripathi, and Ahn (2004) and the conditional Euclidean empirical likelihood (CEEL) estimator of Antoine, Bonnal, and Renault (2007) in the context of a...
Persistent link: https://www.econbiz.de/10015228948
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Partial identification of the distribution of treatment effects and its confidence sets
Fan, Yanqin; Park, Sang Soo - 2009
In this paper, we study partial identification of the distribution of treatment effects of a binary treatment for ideal randomized experiments, ideal randomized experiments with a known value of a dependence measure, and for data satisfying the selection-on-observables assumption respectively....
Persistent link: https://www.econbiz.de/10015230920
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Confidence sets for some partially identified parameters
Fan, Yanqin; Park, Sang Soo - 2010
In this paper, we first re-visit the inference problem for interval identified parameters originally studied in Imbens and Manski (2004) and later extended in Stoye (2008). We take the general criterion function approach and establish a new confidence interval that is asymptotically valid under...
Persistent link: https://www.econbiz.de/10015230921
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A new method of robust linear regression analysis: some monte carlo experiments
Mishra, SK - 2008
This paper elaborates on the deleterious effects of outliers and corruption of dataset on estimation of linear … regression coefficients by the Ordinary Least Squares method. Motivated to ameliorate the estimation procedure, we have … introduced the robust regression estimators based on Campbell’s robust covariance estimation method. We have investigated into …
Persistent link: https://www.econbiz.de/10015264280
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Robust Two-Stage Least Squares: some Monte Carlo experiments
Mishra, SK - 2008
The Two-Stage Least Squares (2-SLS) is a well known econometric technique used to estimate the parameters of a multi-equation (or simultaneous equations) econometric model when errors across the equations are not correlated and the equation(s) concerned is (are) over-identified or exactly...
Persistent link: https://www.econbiz.de/10015265932
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Iterative Least Squares Estimator of Binary Choice Models: a Semi-Parametric Approach
Wang, Weiren; Zhou, Mai - 1995
Most existing semi-parametric estimation procedures for binary choice models are based on the maximum score, maximum … method offer good potential for practical applications of semi-parametric estimation of binary choice models. …
Persistent link: https://www.econbiz.de/10015237019
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The predictability of asset returns in the BRICS countries: a nonparametric approach
Muteba Mwamba, John Weirstrass; Webb, Daniel - 2014
One of the earliest and most enduring questions of financial econometrics is the predictability of financial asset prices. In this article, stock market data from Brazil, Russia, India, China and South Africa are used to assess the out-of-sample performance of the ARMA(1,1)-GARCH(1,1) and...
Persistent link: https://www.econbiz.de/10015252789
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The predictability of asset returns in the BRICS countries: a nonparametric approach
Muteba Mwamba, John Weirstrass; Webb, Daniel - 2014
One of the earliest and most enduring questions of financial econometrics is the predictability of financial asset prices. In this article, stock market data from Brazil, Russia, India, China and South Africa are used to assess the out-of-sample performance of the ARMA(1,1)-GARCH(1,1) and...
Persistent link: https://www.econbiz.de/10015252824