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GMM Estimation of Spatial Autoregressive Models with Moving Average Disturbances
Taspinar, Suleyman - 2017
In this paper, we introduce the one-step generalized method of moments (GMM) estimation methods considered in Lee (2007a) and Liu, Lee, and Bollinger (2010) to a spatial autoregressive model that has a spatial moving average process in the disturbance term (for short SARMA (1,1)). First, we...
Persistent link: https://www.econbiz.de/10012974451
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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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GMM Estimation of Spatial Autoregressive Models with Moving Average Disturbances
Dogan, Osman; Taspinar, Suleyman - 2014
In this paper, we introduce the one-step generalized method of moments (GMM) estimation methods considered in Lee (2007a) and Liu, Lee, and Bollinger (2010) to spatial models that impose a spatial moving average process for the disturbance term. First, we determine the set of best linear and...
Persistent link: https://www.econbiz.de/10014145971
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Estimation of a stochastic model of reproduction : an econometric approach
Heckman, James J.; Willis, Robert J. - 1974
Persistent link: https://www.econbiz.de/10002755918
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Estimation of a Stochastic Model of Reproduction : An Econometric Approach
Heckman, James J.; Willis, Robert J. - 2021
decision making to human fertility behavior. Theoretical emphasis has been given to the effects of the costs of parental tine … time, especially the value of the wife's time. One important objection to static theories of fertility is their failure to … theoretical and econometric model of fertility behavior within a sequential stochastic framework. The principal contribution of …
Persistent link: https://www.econbiz.de/10013248571
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Estimation of a Stochastic Model of Reproduction : An Econometric Approach
Heckman, James J. - 1974
decision making to human fertility behavior. Theoretical emphasis has been given to the effects of the costs of parental tine … time, especially the value of the wife's time. One important objection to static theories of fertility is their failure to … theoretical and econometric model of fertility behavior within a sequential stochastic framework. The principal contribution of …
Persistent link: https://www.econbiz.de/10012479092
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Construction of an SDE model from intraday copper futures prices
Mastroeni, Loretta; Vellucci, Pierluigi - In: Risks : open access journal 10 (2022) 11, pp. 1-21
This paper introduces a model for intraday copper futures prices based on a stochastic differential equation (SDE). In particular, we derive an SDE that fits the model to the data and that is based on the whitening filter approach, a method characterizing linear time-variant systems. This method...
Persistent link: https://www.econbiz.de/10014228905
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Testing the null hypothesis of stationarity against the alternative of a unit root : how sure are we that economic time series have a unit root?
Kwiatkowski, Denis E.; Phillips, Peter C. B.; Schmidt, Peter - 1991
Persistent link: https://www.econbiz.de/10000828125
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A note on the normalized residuals from ARCH and stochastic volatility models
Nelson, Daniel B. - 1990 - Rev
Persistent link: https://www.econbiz.de/10000809491
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Estimation of continuous-time models in finance
Melino, Angelo - 1991
Persistent link: https://www.econbiz.de/10000815348