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Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with Moving Average Disturbance Term

Dogan, Osman - 2014

and spatial moving average parameters is generally inconsistent when heteroskedasticity is not considered in the …

Persistent link: https://www.econbiz.de/10014157525

Nonparametric estimation of triangular simultaneous equations models under weak identification

Han, Sukjin - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 161-202

This paper analyzes the problem of weak instruments on identification, estimation, and inference in a simple nonparametric model of a triangular system. The paper derives a necessary and sufficient rank condition for identification, based on which weak identification is established. Then...

Persistent link: https://www.econbiz.de/10012202234

Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...

Persistent link: https://www.econbiz.de/10014024953

Generalised Anderson-Rubin statistic based inference in the presence of a singular moment variance matrix

Grant, Nicky L.; Smith, Richard J. - 2019 - This Draft: January 2019

The particular concern of this paper is the construction of a confidence region with pointwise asymptotically correct size for the true value of a parameter of interest based on the generalized Anderson-Rubin (GAR) statistic when the moment variance matrix is singular. The large sample behaviour...

Persistent link: https://www.econbiz.de/10011962418

On the impact of serial dependence on penalized regression methods

Tonini, Simone; Chiaromonte, Francesca; Giovannelli, … - 2022

This paper characterizes the impact of serial dependence on the non-asymptotic estimation error bound of penalized regressions (PRs). Focusing on the direct relationship between the degree of cross-correlation of covariates and the estimation error bound of PRs, we show that orthogonal or weakly...

Persistent link: https://www.econbiz.de/10013336165

On Robust Inference in Time Series Regression

Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - National Bureau of Economic Research - 2024

Least squares regression with heteroskedasticity consistent standard errors ("OLS-HC regression") has proved very … when transferring the HC technology to time series environments via heteroskedasticity and autocorrelation consistent …

Persistent link: https://www.econbiz.de/10014576582

Assessing Point Forecast Bias Across Multiple Time Series : Measures and Visual Tools

Davydenko, Andrey; Goodwin, Paul - 2021

Measuring bias is important as it helps identify flaws in quantitative forecasting methods or judgmental forecasts. It can, therefore, potentially help improve forecasts. Despite this, bias tends to be under represented in the literature: many studies focus solely on measuring accuracy. Methods...

Persistent link: https://www.econbiz.de/10013314570

Heteroscedasticity and Autocorrelation Efficient (HAE) Estimation and Pivots for Jointly Evolving Series

Vinod, Hrishikesh D. - 2008

A new two-way map between time domain and numerical magnitudes or values domain (v-dom) provides a new solution to heteroscedasticity. Since sorted logs of squared fitted residuals are monotonic in the v-dom, we obtain a parsimonious fit there. Two theorems prove consistency, asymptotic...

Persistent link: https://www.econbiz.de/10014214562

Heteroscedastic Analysis in Nonlinear Modeling

Louangrath, Paul - 2013

In order to discuss nonlinear, it is necessary to know linear regressive as a priori. Without simple regression as the starting point, it would be difficult to understand nonlinear regression. In words, in order to understand the curve and the behavior of a curve, it is necessary to known a...

Persistent link: https://www.econbiz.de/10013076070

Quasi-maximum likelihood estimation of heteroskedastic fractional time series models

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2014

display conditional and unconditional heteroskedasticity of a quite general and unknown form. We establish that the … consistency result presented in Hualde and Robinson (2011) continues to hold under heteroskedasticity as does asymptotic normality … and Robinson, 2011) but additionally from the heteroskedasticity present in the shocks. Asymptotically pivotal inference …

Persistent link: https://www.econbiz.de/10010360982