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Estimating Structural Parameters in Regression Models with Adaptive Learning

Christopeit, Norbert; Massmann, Michael - 2015

This paper examines the ordinary least squares (OLS) estimator of the structural parameters in a class of stylised macroeconomic models in which agents are boundedly rational and use an adaptive learning rule to form expectations of the endogenous variable. The popularity of this type of model...

Persistent link: https://www.econbiz.de/10011403567

Qualitative stability of stochastic programs with applications in asymptotic statistics

Vogel, Silvia - In: Statistics & Decisions 23 (2005) 3, pp. 219-248

results, it is often possible to extend existing consistency statements and assertions on the asymptotic distribution … statistics. Furthermore, it is shown, how ε n -optimal solutions can be dealt with. Emphasis is on strong and weak consistency …

Persistent link: https://www.econbiz.de/10014621309

Estimating structural parameters in regression models with adaptive learning

Christopeit, Norbert; Massmann, Michael - 2015

Persistent link: https://www.econbiz.de/10011333062

A least squares estimator for discretely observed Ornstein–Uhlenbeck processes driven by symmetric α-stable motions

Zhang, Shibin; Zhang, Xinsheng - In: Annals of the Institute of Statistical Mathematics 65 (2013) 1, pp. 89-103

We study the problem of parameter estimation for Ornstein–Uhlenbeck processes driven by symmetric α-stable motions, based on discrete observations. A least squares estimator is obtained by minimizing a contrast function based on the integral form of the process. Let h be the length of time...

Persistent link: https://www.econbiz.de/10011000092

Long-Run Structural Modelling

Pesaran, M; Shin, Yongcheol - School of Economics, University of Edinburgh - 2004

economic theory or other relevant a priori information. It provides a proof of the consistency of the maximum likelihood (ML …

Persistent link: https://www.econbiz.de/10005086777

Intraday trades profile estimation : an intensity approach

Sancetta, Alessio - In: Journal of financial econometrics 21 (2023) 3, pp. 651-677

Persistent link: https://www.econbiz.de/10014314773

Asymptotic properties of stationary solutions of coupled nonconvex nonsmooth empirical risk minimization

Qi, Zhengling; Cui, Ying; Liu, Yufeng; Pang, Jong-shi - In: Mathematics of operations research 47 (2022) 3, pp. 2034-2064

Persistent link: https://www.econbiz.de/10013374983

Asymptotic behavior for S-estimators in random design linear model with long-range-dependent errors

Zhengyan, Lin; Degui, Li; Jia, Chen - In: Metrika 66 (2007) 3, pp. 289-303

Persistent link: https://www.econbiz.de/10005756330

Price asymptotics

Prasad, Kislaya - In: Review of Economic Design 12 (2008) 1, pp. 21-32

Persistent link: https://www.econbiz.de/10005753095

Asymptotic distribution of the weighted least squares estimator

Shao, Jun - In: Annals of the Institute of Statistical Mathematics 41 (1989) 2, pp. 365-382

Persistent link: https://www.econbiz.de/10005616213

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