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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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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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Estimation of heterogeneous agent models: A likelihood approach
Parra-Alvarez, Juan Carlos; Posch, Olaf; Wang, Mu-Chun - 2020
We study the statistical properties of heterogeneous agent models. Using aBewley-Hugget-Aiyagari model we compute the density function of wealth and in-come and use it for likelihood inference. We study the finite sample properties of themaximum likelihood estimator (MLE) using Monte Carlo...
Persistent link: https://www.econbiz.de/10012254876
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Identification and Estimation of Heterogeneous Agent Models: A Likelihood Approach
Parra-Alvarez, Juan Carlos; Posch, Olaf; Wang, Mu-Chun - 2017
In this paper, we study the statistical properties of heterogeneous agent models with incomplete markets. Using a Bewley-Hugget-Aiyagari model we compute the equilibrium density function of wealth and show how it can be used for likelihood inference. We investigate the identifiability of the...
Persistent link: https://www.econbiz.de/10011777582
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Estimation of heterogeneous agent models : a likelihood approach
Parra-Alvarez, Juan Carlos; Posch, Olaf; Wang, Mu-Chun - 2020
We study the statistical properties of heterogeneous agent models. Using aBewley-Hugget-Aiyagari model we compute the density function of wealth and in-come and use it for likelihood inference. We study the finite sample properties of themaximum likelihood estimator (MLE) using Monte Carlo...
Persistent link: https://www.econbiz.de/10012256501
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Identification and estimation of heterogeneous agent models : a likelihood approach
Parra-Alvarez, Juan Carlos; Posch, Olaf; Wang, Mu-Chun - 2017
In this paper, we study the statistical properties of heterogeneous agent models with incomplete markets. Using a Bewley-Hugget-Aiyagari model we compute the equilibrium density function of wealth and show how it can be used for likelihood inference. We investigate the identifiability of the...
Persistent link: https://www.econbiz.de/10011745280
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Maximum Likelihood Estimation of the Multivariate Normal Mixture Model
Boldea, Otilia; Magnus, Jan R. - Volkswirtschaftliche Fakultät, … - 2009
with two examples and some simulation experiments. The newly proposed estimators appear to be superior to the existing ones. …
Persistent link: https://www.econbiz.de/10008568339
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FIML vs. Method of Movements Estimation of the Binary Regression Model with an Endogenous Treatment Effect.
Terza, J.V.; Tsai, W.D. - Department of Economics, Pennsylvania State University - 1995
Persistent link: https://www.econbiz.de/10005631555
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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