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Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification with an Application to Bias Correction
Chao, John C.; Swanson, Norman R. - 2003
We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and obtain approximations thereof based on an asymptotic scheme which essentially requires the expectation of the first stage F-statistic to converge to a finite (possibly small)...
Persistent link: https://www.econbiz.de/10014030882
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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
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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
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Consistent Estimation with a Large Number of Weak Instruments
Chao, John C.; Swanson, Norman R. - 2007
This paper conducts a general analysis of the conditions under which consistent estimation can be achieved in instrumental variables regression when the available instruments are weak in the local-to-zero sense. More precisely, the approach adopted in this paper combines key features of the...
Persistent link: https://www.econbiz.de/10014030883
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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
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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
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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
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Periodic heteroskedastic RegARFIMA models for daily electricity spot prices
Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - 2003
of conditional heteroskedasticity is found in the mean corrected Nord Pool series. For daily prices at three emerging …
Persistent link: https://www.econbiz.de/10011334362
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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
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Parameter Estimation in Nonlinear AR-GARCH Models
Meitz, Mika - 2008
as a general nonlinear first order generalized autoregressive conditional heteroskedasticity (GARCH(1,1)) model. Strong …
Persistent link: https://www.econbiz.de/10012723988