Showing 1 - 10 of 18
Data in econometrics are, as a rule, non-experimental and hence we have to use the same data set to select the model and also to estimate the parameters in the selected model.In standard applied econometrics practice, however, one reports zero bias and some variance of the (pretest) estimators...
Persistent link: https://www.econbiz.de/10011090601
AMS classifications: 62G10; 62G20; 62G30;
Persistent link: https://www.econbiz.de/10011091709
This paper offers an alternative technique to derive the limiting distribution of residual-based statistics or, more general, the limiting distribution of statistics with estimated nuisance parameters.This technique allows us to unify many known results on two-stage estimators and tests and we...
Persistent link: https://www.econbiz.de/10011092694
fractional parameter. In hypothesis testing, bias correction of the estimates is readily carried out. We evaluate the biases …
Persistent link: https://www.econbiz.de/10011126139
Moment restriction-based econometric modelling is a broad class which includes the parametric, semiparametric and nonparametric approaches. Moments and conditional moments themselves are nonparametric quantities. If a model is specified in part up to some finite dimensional parameters, this will...
Persistent link: https://www.econbiz.de/10010731794
hypothesis testing and interval estimation are discussed, with central limit theorems for feasibly bias-corrected estimates …
Persistent link: https://www.econbiz.de/10011171755
). We introduce a framework for testing asymmetries in the conditional mean and the conditional variance, separately or …
Persistent link: https://www.econbiz.de/10005771222
and implications openly discussed. Whether the statistical analysis involves testing or estimation, the analysis …
Persistent link: https://www.econbiz.de/10005711656
Persistent link: https://www.econbiz.de/10005136844
Moment restriction-based econometric modelling is a broad class which includes the parametric, semiparametric and nonparametric approaches. Moments and conditional moments themselves are nonparametric quantities. If a model is specified in part up to some finite dimensional parameters, this will...
Persistent link: https://www.econbiz.de/10008680772