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Consistency of model averaging estimators
Zhang, Xinyu - In: Economics letters 130 (2015), pp. 120-123
Persistent link: https://www.econbiz.de/10011422458
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Exchange rate volatility in Nigeria : consistency, persistency & severity analyses
Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN journal of applied statistics 2 (2011) 2, pp. 29-49
examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … was used to analyze the long-run consistency of the naira exchange rate while the time series properties of the data was …
Persistent link: https://www.econbiz.de/10011477452
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Consistent pseudo-maximum likelihood estimators and groups of transformations
Gouriéroux, Christian; Monfort, Alain; Zakoïan, … - 2018 - Revised version, June 2018
Persistent link: https://www.econbiz.de/10012201146
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Change point estimation in panel data without boundary issue
Peštová, Barbora; Pešta, Michal - In: Risks : open access journal 5 (2017) 1, pp. 1-22
it results in the last observation in situations with no structural breaks. The consistency of the change point estimator … estimation technique, a theoretical utilization for correlation structure estimation, hypothesis testing and bootstrapping in …
Persistent link: https://www.econbiz.de/10011636497
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Intraday trades profile estimation : an intensity approach
Sancetta, Alessio - In: Journal of financial econometrics 21 (2023) 3, pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
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Penalized model averaging for high dimensional quantile regressions
Bao, Haowen; Cai, Zongwu; Sun, Yuying - 2023
Persistent link: https://www.econbiz.de/10014280711
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Strong consistency and rate of convergence of switched least squares system identification for autonomous Markov jump linear systems
Sayedana, Borna; Afshari, Mohammad; Caines, Peter E.; … - 2023
Persistent link: https://www.econbiz.de/10014226806
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Consistency of the least squares estimator in threshold regression with endogeneity
Yu, Ping - In: Economics letters 131 (2015), pp. 41-46
Persistent link: https://www.econbiz.de/10011422546
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Consistent estimation of structural parameters in regression models with adaptive learning
Christopeit, Norbert; Massmann, Michael - 2010
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 decreasing to zero. Our focus is on the estimation of the parameters in the …
Persistent link: https://www.econbiz.de/10011381034
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Estimating structural parameters in regression models with adaptive learning
Christopeit, Norbert; Massmann, Michael - 2015
This paper examines the ordinary least squares (OLS) estimator of the structural parameters in a class of stylised macroeconomic models in which agents are boundedly rational and use an adaptive learning rule to form expectations of the endogenous variable. The popularity of this type of model...
Persistent link: https://www.econbiz.de/10011333062