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Scaled and Adjusted Restricted Tests in Multi Sample Analysis of Moment Structures

Satorra, Albert - 2001

We extend to score, Wald and difference test statistics the scaled and adjusted corrections to goodness-of-fit test statistics developed in Satorra and Bentler (1988a,b). The theory is framed in the general context of multisample analysis of moment structures, under general conditions on the...

Persistent link: https://www.econbiz.de/10014179647

Numerical Tools for the Bayesian Analysis of Stochastic Frontier Models

Osiewalski, Jacek; Steel, Mark F. J. - 1997

practical applications. We survey these two methods in some detail and argue that Gibbs sampling methods can greatly reduce the …

Persistent link: https://www.econbiz.de/10014051870

On the Computational Complexity of MCMC-Based Estimators in Large Samples

Belloni, Alexandre; Chernozhukov, Victor - 2007

This paper studies the computational complexity of Bayesian and quasi-Bayesian estimation in large samples carried out using a basic Metropolis random walk. The framework covers cases where the underlying likelihood or extremum criterion function is possibly non-concave, discontinuous, and of...

Persistent link: https://www.econbiz.de/10014052489

The Gibbs Sampler with Particle Efficient Importance Sampling for State-Space Models

Grothe, Oliver - 2017

Monte Carlo (MC) approximation of the standard Gibbs procedure which uses sequential MC (SMC) importance sampling inside the … generic and easily implementable SMC approach known as Particle Efficient Importance Sampling (PEIS). By using SMC importance … sampling densities which are approximately fully globally adapted to the targeted density of the states, PEIS can substantially …

Persistent link: https://www.econbiz.de/10012970355

Markov Chain Monte Carlo Models, Gibbs Sampling, & Metropolis Algorithm for High-Dimensionality Complex Stochastic Problems

Malhotra, Yogesh - 2015

Algorithms, Gibbs Sampling and Metropolis-Hastings Algorithm. Network and security risk management application focus is on how …

Persistent link: https://www.econbiz.de/10013029835

Finite Sample Performance of Semiparametric Binary Choice Estimators

Grover, Sean - 2021

Strong assumptions needed to correctly specify parametric binary choice probability models make them particularly vulnerable to misspeciﬁcation. Semiparametric models provide a less restrictive approach with estimators that exhibit desirable asymptotic properties. This paper discusses the...

Persistent link: https://www.econbiz.de/10013242873

Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007

sampling inherent in survey longitudinal data, (3) incorporation of predetermined variables in estimation, and (4 …

Persistent link: https://www.econbiz.de/10014024953

Improving the Normalized Importance Sampling Estimator

Ghamami, Samim - 2013

The normalized importance sampling estimator allows the target density f to be known only up to a multiplicative … importance sampling estimator in terms of mean square error …

Persistent link: https://www.econbiz.de/10013073823

Sequential Monte Carlo Sampling for DSGE Models

Herbst, Edward P. - 2013

We develop a sequential Monte Carlo (SMC) algorithm for estimating Bayesian dynamic stochastic general equilibrium (DSGE) models, wherein a particle approximation to the posterior is built iteratively through tempering the likelihood. Using three examples -- an artificial state-space model, the...

Persistent link: https://www.econbiz.de/10013074664

Bootstrap confidence sets under model misspecification

Spokojnyj, Vladimir G.; Zhilova, Mayya - 2014

A multiplier bootstrap procedure for construction of likelihood-based confidence sets is considered for finite samples and a possible model misspecification. Theoretical results justify the bootstrap consistency for a small or moderate sample size and allow to control the impact of the parameter...

Persistent link: https://www.econbiz.de/10010436527