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application to a GARCH-model demonstrates the approach in practice by estimating actual rates of convergence through a large scale …The convergence of estimators, e.g. maximum likelihood estimators, for increasing sample size is well understood in … many cases. However, even when the rate of convergence of the estimator is known, practical application is hampered by the …
Persistent link: https://www.econbiz.de/10010297265
Aggregation may be harmful but cannot always be avoided in the analysis of complex econometric models. It should be carried out intelligently by choosing ein aggregative model optimally for modes of aggregation speeified in advance, i.e. minimizing the bias introduced by aggregation and...
Persistent link: https://www.econbiz.de/10010397976
A widely used method in the analysis of complex econometric models is to replace the "true model" by an aggregative one in which the variables are grouped and replaced by sums or weighted averages of the variables in each group. The analysis of the problem of choosing an aggregative model...
Persistent link: https://www.econbiz.de/10010398200
Aggregation may be harmful but cannot always be avoided in the analysis of complex econometric models. It should be carried out intelligently by choosing ein aggregative model optimally for modes of aggregation speeified in advance, i.e. minimizing the bias introduced by aggregation and...
Persistent link: https://www.econbiz.de/10009774714
A widely used method in the analysis of complex econometric models is to replace the "true model" by an aggregative one in which the variables are grouped and replaced by sums or weighted averages of the variables in each group. The analysis of the problem of choosing an aggregative model...
Persistent link: https://www.econbiz.de/10009774715
Persistent link: https://www.econbiz.de/10012270938
to derive convergence results. It is also helpful for tuning real applications. Based on this framework, empirical … results are presented for the uniform design problem. In particular, for two problem instances, the rate of convergence of the …
Persistent link: https://www.econbiz.de/10010297264
In econometric modelling the choice of relevant variables is of crucial importance for the Interpretation of the results. In many cases it is based on some a priori knowledge from economic theory and a rather heuristic procedure for determining other influential variables sometimes based on an...
Persistent link: https://www.econbiz.de/10010397888
Efficient routines for multidimensional numerical integration are provided by quasi-Monte Carlo methods. These methods are based on evaluating the integrand at a set of representative points of the integration area. A set may be called representative if it shows a low discrepancy. However, in...
Persistent link: https://www.econbiz.de/10010398207
Efficient routines for multidimensional numerical integration are provided by quasi-Monte Carlo methods. These methods are based on evaluating the integrand at a set of representative points of the integration area. A set may be called representative if it shows a low discrepancy. However, in...
Persistent link: https://www.econbiz.de/10009774691