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The Least Weighted Squares Ii. Consistency And Asymptotic Normality

Víšek, Jan - In: Bulletin of the Czech Econometric Society 9 (2002)

The consistency and the asymptotic normality of the least weighted squares is proved and its asymptotic representation …

Persistent link: https://www.econbiz.de/10008528864

The Least Weighted Squares I. The Asymptotic Linearity Of Normal Equations

Víšek, Jan - In: Bulletin of the Czech Econometric Society 9 (2002)

The consistency and the asymptotic normality of the least weighted squares is proved and its asymptotic representation …

Persistent link: https://www.econbiz.de/10008528880

Estimation of Partial Linear Error-in-Variables Models with Validation Data

Wang, Qihua - In: Journal of Multivariate Analysis 69 (1999) 1, pp. 30-64

[beta]are derived, respectively. The rate of the weak consistency of the estimator ofg(Â·) is also obtained. …

Persistent link: https://www.econbiz.de/10005093833

A Time-Varying Parameter Model for Local Explosions

Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc - 2018

the data generated by our model. Furthermore, we obtain the consistency and asymptotic normality of the maximum likelihood …

Persistent link: https://www.econbiz.de/10011932359

Optimal choice of k n -records in the extreme value index estimation

El Arrouchi, Mohamed; Imlahi, Abdelouahid - In: Statistics & Decisions 23 (2005) 2, pp. 101-115

its consistency and asymptotic normality. The problem of specifying the optimal value of k = k n involved in our …

Persistent link: https://www.econbiz.de/10014621301

Asymptotic Theory of General Multivariate GARCH Models

Jiang, Weibin - 2011

application of theorems by Meyn and Tweedie [2009]. Under those conditions, the consistency and asymptotic normality of the QMLE …

Persistent link: https://www.econbiz.de/10009447285

Asymptotic properties of the weighted average least squares (WALS) estimator

De Luca, Giuseppe; Magnus, Jan; Peracchi, Franco - 2022

We investigate the asymptotic behavior of the WALS estimator, a model-averaging estimator with attractive finite-sample and computational properties. WALS is closely related to the normal location model, and hence much of the paper concerns the asymptotic behavior of the estimator of the unknown...

Persistent link: https://www.econbiz.de/10013356478

Asymptotic and finite sample properties for multivariate rotated GARCH models

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics 9 (2021) 2, pp. 1-21

(2sQML) estimator, this paper shows consistency and asymptotic normality under weak conditions. While second …-order moments are needed for the consistency of the estimated unconditional covariance matrix, the existence of the finite sixth …

Persistent link: https://www.econbiz.de/10012696326

Maximum likelihood estimation for non-stationary location models with mixture of normal distributions

Blasques, Francisco; van Brummelen, Janneke; Gorgi, Paolo; … - 2022

robust filtering and forecasting. We provide sufficient conditions for the strong consistency and asymptotic normality of the …

Persistent link: https://www.econbiz.de/10012797266

Maximum Likelihood Estimation for Generalized Autoregressive Score Models

Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - 2014

We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series … processes. We formulate primitive conditions for global identification, invertibility, strong consistency, asymptotic normality …

Persistent link: https://www.econbiz.de/10010377233