Narrow search
Showing 1 - 10 of 90
Cover Image
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
Cover Image
A note on estimating censored quantile regressions
Fitzenberger, Bernd - 1994
This note is concerned with estimating censored quantile regressions (CQR). As its major contribution, a' new algorithm, called BRCENS, is developed as an adaption of the Barrodale-Roberts algorithm for the standard quantile regression problem. In a subsequent simulation study, BRCENS performs...
Persistent link: https://www.econbiz.de/10010332101
Cover Image
New Wine in Old Bottles: A Sequential Estimation Technique for the LPM
Horrace, William C.; Oaxaca, Ronald L. - 2003
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 a good approximation to the probability generating process. A sequential...
Persistent link: https://www.econbiz.de/10010262097
Cover Image
Using shares vs. Log of shares in fixed-effect estimations
Gerdes, Christer - 2010
This paper looks at potential implications emerging from including shares as a control variable in fixed effect estimations. By shares I refer to the ratio of a sum of units over another, such as the share of immigrants in a city or school. As will be shown in this paper, a logarithmic...
Persistent link: https://www.econbiz.de/10010274619
Cover Image
Consistency of model averaging estimators
Zhang, Xinyu - In: Economics letters 130 (2015), pp. 120-123
Persistent link: https://www.econbiz.de/10011422458
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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