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Modification of Hansen-Hurwitz's estimators for negatively correlated variates

Ikughur, Jonathan A. - In: CBN journal of applied statistics 5 (2014) 1, pp. 1-14

Most estimators in probability proportional to size (PPS) with replacement (WR) sampling design are defined for …

Persistent link: https://www.econbiz.de/10011489339

Finite sample correction factors for panel cointegration tests

Hlouskova, Jaroslava; Wagner, Martin - 2009

In this paper we present finite T mean and variance correction factors and corresponding response surface regressions for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and Breitung (2005). For the single equation tests we consider up...

Persistent link: https://www.econbiz.de/10010294038

A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables

Keane, Michael P.; Sauer, Robert M. - 2009

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …

Persistent link: https://www.econbiz.de/10010271244

Simulation and Estimation of Hedonic Models

Heckman, James Joseph; Matzkin, Rosa Liliana; Nesheim, Lars - 2003

Making use of restrictions imposed by equilibrium, theoretical progress has been made on the nonparametric and semiparametric estimation and identification of scalar additive hedonic models (Ekeland, Heckman, and Nesheim, 2002) and scalar nonadditive hedonic models (Heckman, Matzkin, and...

Persistent link: https://www.econbiz.de/10010275775

Risk estimation via regression

Broadie, Mark; Du, Yiping; Moallemi, Ciamac C. - In: Operations research 63 (2015) 5, pp. 1077-1097

Persistent link: https://www.econbiz.de/10011397803

Decomposing portfolio value-at-risk : a general analysis

Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

Persistent link: https://www.econbiz.de/10011301159

The finite sample performance of semi- and nonparametric estimators for treatment effects and policy evaluation

Frölich, Markus; Huber, Martin; Wiesenfarth, Manuel - 2015

Persistent link: https://www.econbiz.de/10011302461

Regression and kriging metamodels with their experimental designs in simulation : review

Kleijnen, Jack P. C. - 2015

Persistent link: https://www.econbiz.de/10011349935

Calculating confidence intervals for continuous and discontinuous functions of parameters

Woutersen, Tiemen; Ham, John C. - 2013

Applied researchers often need to estimate confidence intervals for functions of parameters, such as the effects of counterfactual policy changes. If the function is continuously differentiable and has non-zero and bounded derivatives, then they can use the delta method. However, if the function...

Persistent link: https://www.econbiz.de/10009747952

Zero-variance importance sampling estimators for Markov process expectations

Awad, Hernan P.; Glynn, Peter W.; Rubinstein, Reuven Y. - In: Mathematics of operations research 38 (2013) 2, pp. 358-388

Persistent link: https://www.econbiz.de/10009751518

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