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Effects of Incorrect Specification on the Finite Sample Properties of Full and Limited Information Estimators in DSGE Models
Giesen, Sebastian; Scheufele, Rolf - 2013
characteristics are omitted, the performance of FIML is highly unreliable, whereas GMM estimates remain approximately unbiased and … mit begrenzter Information (hier GMM) unverzerrt bleiben und auch Signifikanztests zuverlässiger sind. …
Persistent link: https://www.econbiz.de/10010314773
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Effects of Incorrect Specification on the Finite Sample Properties of Full and Limited Information Estimators in DSGE Models
Giesen, Sebastian; Scheufele, R. - Institut für Wirtschaftsforschung Halle (IWH) - 2013
characteristics are omitted, the performance of FIML is highly unreliable, whereas GMM estimates remain approximately unbiased and …
Persistent link: https://www.econbiz.de/10010857352
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Identification, instruments, omitted variables, and rudimentary models: Fallacies in the "experimental approach" to econometrics
Biørn, Erik - 2017
Since identification, instrumental variables and variables exclusion, core concepts in econometrics, are entwined …, several questions arise: How is identification related to the existence of IVs? How are identification criteria related to …
Persistent link: https://www.econbiz.de/10012058691
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Identification, instruments, omitted variables, and rudimentary models : fallacies in the "experimental approach" to econometrics
Biørn, Erik - 2017
Since identification, instrumental variables and variables exclusion, core concepts in econometrics, are entwined …, several questions arise: How is identification related to the existence of IVs? How are identification criteria related to …
Persistent link: https://www.econbiz.de/10011779245
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Efficient estimation with time-varying information and the New Keynesian Phillips Curve
Antoine, Bertille; Boldea, Otilia - In: Journal of econometrics 204 (2018) 2, pp. 268-300
Persistent link: https://www.econbiz.de/10011974733
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Optimal bandwidth selection for robust generalized method of moments estimation
Wilhelm, Daniel - 2014
A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...
Persistent link: https://www.econbiz.de/10010368186
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Optimal bandwidth selection for robust generalized method of moments estimation
Wilhelm, Daniel - 2014
A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...
Persistent link: https://www.econbiz.de/10010336485
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Minimum distance estimation of possibly non-invertible moving average models
Gospodinov, Nikolay; Ng, Serena - 2013
-order cumulants allows identification of the parameters without imposing invertibility. By allowing for an unbounded parameter space … features that distinguish them from the existing work in the literature. First, identification now requires information from …
Persistent link: https://www.econbiz.de/10010397701
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Minimum distance estimation of possibly non-invertible moving average models
Gospodinov, Nikolaj; Ng, Serena - 2013
-order cumulants allows identification of the parameters without imposing invertibility. By allowing for an unbounded parameter space … features that distinguish them from the existing work in the literature. First, identification now requires information from …
Persistent link: https://www.econbiz.de/10010201380
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Minimum distance estimation of possibly non-invertible moving average models
Gospodinov, Nikolay; Ng, Serena - Federal Reserve Bank of Atlanta - 2013
-order cumulants allows identification of the parameters without imposing invertibility. By allowing for an unbounded parameter space … features that distinguish them from the existing work in the literature. First, identification now requires information from …
Persistent link: https://www.econbiz.de/10010732472