This paper studies the application of the simulated method of moments (SMM) to the estimation of nonlinear dynamic stochastic general equilibrium (DSGE) models. Monte-Carlo analysis is employed to examine the small-sample properties of SMM in specifications with different curvatures and...

This paper deals with a nonlinear errors-in-variables model where the distributions of the unobserved predictor variables and of the measurement errors are nonparametric. Using the instrumental variable approach, we propose method of moments estimators for the unknown parameters and...

In this paper, a class of distributions called the two-parameter weighted exponential distributions is introduced (TWE). This new class of distributions generalizes the ones–weighted exponential distributions (WE)–proposed by Gupta and Kundu (2009). The main properties of this new class of...

This note deals with the asymptotic behavior of a weak solution of the multidimensional stochastic heat equation with a multiplicative fractional Brownian sheet. We study the solution given by the Feynman–Kac formula by the method of moments.

The Topp-Leone distribution is attractive for reliability studies as it has finite support and a bathtub-shaped hazard function. We compare some properties of the method of moments, maximum likelihood, and bias-adjusted maximum likelihood estimators of its shape parameter. The last of these...

The issue of consumer heterogeneity in discrete choice analysis has been attracting much attention recently. Research has suggested that heterogeneity can result in biased parameter estimates which, in turn, can lead to incorrect conclusions. Among the many methods proposed in the literature to...

This paper develops an instrumental variable (IV) estimator for consistent estimation of dynamic panel data models with error cross-sectional dependence when both N and T, the cross-section and time series dimensions respectively, are large. Our approach asymptotically projects out the common...

We propose a simple and flexible framework for forecasting the joint density of asset returns. The multinormal distribution is augmented with a polynomial in (time-varying) non-central co-moments of assets. We estimate the coefficients of the polynomial via the Method of Moments for a carefully...

In this paper we estimated the traditional cross-country growth model and corrected for model endogeneity bias and country-specific hetereogeneity effects. Using the System-IV Generalized Method of Moments (GMM) approach, we identified the key factors that determine GDP per capita growth rate in...

This paper considers panel data regression models with weakly exogenous or endogenous regressors and residuals generated by a multi-factor error structure. In this case, the standard dynamic panel estimators fail to provide consistent estimates of the parameters. We propose a new estimation...