Narrow search
Showing 1 - 10 of 2,837
Cover Image
Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model
Todd, Prono - Volkswirtschaftliche Fakultät, … - 2010
Efficient GMM estimation of the semi-strong GARCH(1,1) model requires simultaneous estimation of the conditional third … and fourth moments. This paper proposes a simple alternative to efficient GMM based upon the unconditional skewness of … instruments. Sequential estimation involves TSLS in a first step followed by linear GMM. Simultaneous estimation involves either …
Persistent link: https://www.econbiz.de/10008543477
Cover Image
Enhanced routines for instrumental variables/generalized method of moments estimation and testing
Baum, Christopher; Schaffer, Mark; Stillman, Steven - In: Stata Journal 7 (2007) 4, pp. 465-506
We extend our 2003 paper on instrumental variables and generalized method of moments estimation, and we test and describe enhanced routines that address heteroskedasticity- and autocorrelation-consistent standard errors, weak instruments, limited-information maximum likelihood and k-class...
Persistent link: https://www.econbiz.de/10005568801
Cover Image
Heuristic Optimization Methods for Dynamic Panel Data Model Selection. Application on the Russian Innovative Performance
Savin, Ivan; Winker, Peter - 2010
Innovations, be they radical new products or technology improvements are widely recognized as a key factor of economic growth. To identify the factors triggering innovative activities is a main concern for economic theory and empirical analysis. As the number of hypotheses is large, the process...
Persistent link: https://www.econbiz.de/10010270208
Cover Image
Sensitivity analysis using approximate moment condition models
Armstrong, Timothy B.; Kolesár, Michal - 2018
Persistent link: https://www.econbiz.de/10011948942
Cover Image
Heuristic Optimization Methods for Dynamic Panel Data Model Selection: Application on the Russian Innovative Performance
Savin, Ivan; Winker, Peter - In: Computational Economics 39 (2012) 4, pp. 337-363
Persistent link: https://www.econbiz.de/10010866887
Cover Image
Heuristic Optimization Methods for Dynamic Panel Data Model Selection. Application on the Russian Innovative Performance
Savin, Ivan; Winker, Peter - COMISEF - 2010
Innovations, be they radical new products or technology improvements are widely recognized as a key factor of economic growth. To identify the factors triggering innovative activities is a main concern for economic theory and empirical analysis. As the number of hypotheses is large, the process...
Persistent link: https://www.econbiz.de/10008629502
Cover Image
Accrual Noise Ratio as a Measure of Accrual Reliability
Njoroge, Kenneth - 2009
I develop an empirical model that estimates a firm-specific accrual noise ratio (ANR), an operational and statistically grounded measure of accrual reliability, and test the measure's construct validity. The model allows accrual reliability to vary across firms, which is particularly important...
Persistent link: https://www.econbiz.de/10009475468
Cover Image
Cox-type tests for competing spatial autoregressive models with spatial autoregressive disturbances
Jin, Fei; Lee, Lung-fei - In: Regional science & urban economics 43 (2013) 4, pp. 590-616
Persistent link: https://www.econbiz.de/10009783751
Cover Image
Cox-type tests for competing spatial autoregressive models with spatial autoregressive disturbances
Jin, Fei; Lee, Lung-fei - In: Regional Science and Urban Economics 43 (2013) 4, pp. 590-616
In this paper, we consider the Cox-type tests of non-nested hypotheses for spatial autoregressive (SAR) models with SAR disturbances. We formally derive the asymptotic distributions of the test statistics. In contrast to regression models, we show that the Cox-type and J-type tests for...
Persistent link: https://www.econbiz.de/10010666092