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Multivariate Regression with Monotone Missing Observation of the Dependent Variables
Raats, V.M.; van der Genugten, B.B.; Moors, J.J.A. - Tilburg University, Center for Economic Research - 2002
Multivariate regression is discussed, where the observations of the dependent variables are (monotone) missing completely at random; the explanatory variables are assumed to be completely observed.We discuss OLS-, GLS- and a certain form of E(stimated) GLS-estimation.It turns out that...
Persistent link: https://www.econbiz.de/10011092506
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Markov Chain Monte Carlo Models, Gibbs Sampling, & Metropolis Algorithm for High-Dimensionality Complex Stochastic Problems
Malhotra, Yogesh - 2015
Algorithms, Gibbs Sampling and Metropolis-Hastings Algorithm. Network and security risk management application focus is on how …
Persistent link: https://www.econbiz.de/10013029835
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A Mixed Model for Double Checking Fallible Auditors
Raats, V.M.; Moors, J.J.A.; van der Genugten, B.B. - Tilburg University, Center for Economic Research - 2004
parameters and derive from them an estimator for the mean size of the errors in the population.A simulation study shows that the …
Persistent link: https://www.econbiz.de/10011092460
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Recovering the most entropic copulas from preliminary knowledge of dependence
Chu, Ba; Satchell, Stephen - In: Econometrics : open access journal 4 (2016) 2, pp. 1-21
probability densities when the marginal probability densities are fixed. Our simulation study shows that the proposed MEC …
Persistent link: https://www.econbiz.de/10011505976
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Stochastic frontier analysis by means of maximum likelihood and the method of moments
Behr, Andreas; Tente, Sebastian - 2008
of the parametric assumptions. But simulation results obtained for the half normal model indicate that a method of … not strongly dominating noise (Coelli, 1995). In this paper we provide detailed simulation results comparing the two … estimation approaches for both the half-normal and the exponential approach to inefficiency. Based on the simulation results we …
Persistent link: https://www.econbiz.de/10010298775
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Trends in the French commercial farm population
Fall, Madior; Piet, Laurent; Roger, Muriel - Laboratoire Études et Recherches Économiques … - 2010
.Knowledge and projection of farm numbers and the structure of their population is an important issue for agricultural economists and policy makers. Although Markov chain models have enjoyed decades of popularity in forecasting total farm numbers, they generally fail to provide a detailed...
Persistent link: https://www.econbiz.de/10008542929
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Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models
Dufour, Jean-Marie; Jouini, Tarek - Centre Interuniversitaire de Recherche en Analyse des … - 2011
estimators considered by Hannan and Kavalieris (1984b) and Reinsel, Basu and Yap (1992). We present simulation evidence which …
Persistent link: https://www.econbiz.de/10008855595
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Likelihood INference for Discretely Observed Non-linear Diffusions
Elerian, O.; Chib, S.; Shephard, N. - Economics Group, Nuffield College, University of Oxford - 1998
This paper is concerned with the Bayesian estimation of non-linear stochastic differential equations when only discrete observations are available. The estimation is carried out using a tuned MCMC method, in particular a blcked Metropolis-Hastings algorithm, by introducing auxiliary points and...
Persistent link: https://www.econbiz.de/10005687550
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Estimation of linear dynamic panel data models with time-invariant regressors
Kripfganz, Sebastian; Schwarz, Claudia - 2013 - This Version: May 6, 2013
further simulation evidence that GMM estimators with a large number of instruments can be severely biased in finite samples …
Persistent link: https://www.econbiz.de/10009775613
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Estimation of linear dynamic panel data models with time-invariant regressors : conference paper
Kripfganz, Sebastian; Schwarz, Claudia - 2013 - This version: May 6, 2013
further simulation evidence that GMM estimators with a large number of instruments can be severely biased in finite samples …
Persistent link: https://www.econbiz.de/10010342822