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Bayesian regression with heteroscedastic error density and parametric mean function
Pelenis, Justinas - In: Journal of econometrics 178 (2014) 1, pp. 624-638
Persistent link: https://www.econbiz.de/10010257372
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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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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
In this paper we consider regression models with forecast feedback. Agents' expectations are formed via the recursive 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...
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
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Nonlinear regressions with nonstationary time series
Chan, Nigel; Wang, Qiying - In: Journal of econometrics 185 (2015) 1, pp. 182-195
Persistent link: https://www.econbiz.de/10011339876
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Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models
Tinkl, Fabian - 2013
In this article consistency and asymptotic normality of the quasi-maximum likelihood esti- mator (QMLE) in the class of … introduced by (Duan, 1997) which contains many commonly employed GARCH models as special cases. The conditions for consistency … normality ; consistency ; polynomial augmented GARCH models ; quasi-maximum likelihood estimation …
Persistent link: https://www.econbiz.de/10009725214
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Estimation of distortion risk measures
Tsukahara, Hideatsu - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 213-235
Persistent link: https://www.econbiz.de/10010233598
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A predictive functional regression model for asset return
Dai, Xianhua; Li, Hong; Wang, Yiwen - In: Journal of mathematical finance 3 (2013) 2, pp. 307-311
Persistent link: https://www.econbiz.de/10010239559
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The consistency of s2 in the linear regression model when the disturbances are spatially correlated
Gotu, Butte - 1999
Conditions for the consistency of the estimator s2 of the variance of the disturbance a2u under first-order spatial …
Persistent link: https://www.econbiz.de/10009793262