Download or read book Asymptotic Properties of the Weighted average Least Squares WALS Estimator written by Giuseppe De Luca and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the asymptotic behavior of the WALS estimator, a model-averaging estimator with attractive finite-sample and computational properties. WALS is closely related to the normal location model, and hence much of the paper concerns the asymptotic behavior of the estimator of the unknown mean in the normal local model. Since we adopt a frequentist-Bayesian approach, this specializes to the asymptotic behavior of the posterior mean as a frequentist estimator of the normal location parameter. We emphasize two challenging issues. First, our definition of ignorance in the Bayesian step involves a prior on the t-ratio rather than on the parameter itself. Second, instead of assuming a local misspecification framework, we consider a standard asymptotic setup with fixed parameters. We show that, under suitable conditions on the prior, the WALS estimator is √n-consistent and its asymptotic distribution essentially coincides with that of the unrestricted least-squares estimator. Monte Carlo simulations confirm our theoretical results.
Download or read book Weighted Average Least Squares Estimation of Generalized Linear Models written by Giuseppe De Luca and published by . This book was released on 2017 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The weighted-average least squares (WALS) approach, introduced by Magnus et al. (2010) in the context of Gaussian linear models, has been shown to enjoy important advantages over other strictly Bayesian and strictly frequentist model averaging estimators when accounting for problems of uncertainty in the choice of the regressors. In this paper we extend the WALS approach to deal with uncertainty about the specification of the linear predictor in the wider class of generalized linear models (GLMs). We study the large-sample properties of the WALS estimator for GLMs under a local misspecification framework that allows the development of asymptotic model averaging theory. We also investigate the finite sample properties of this estimator by a Monte Carlo experiment whose design is based on the real empirical analysis of attrition in the first two waves of the Survey of Health, Ageing and Retirement in Europe (SHARE).
Download or read book Asymptotic Properties of Some Estimators in Moving Average Models written by Stanford University. Department of Statistics and published by . This book was released on 1975 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: The author considers estimation procedures for the moving average model of order q. Walker's method uses k sample autocovariances (k> or = q). Assume that k depends on T in such a way that k nears infinity as T nears infinity. The estimates are consistent, asymptotically normal and asymptotically efficient if k = k (T) dominates log T and is dominated by (T sub 1/2). The approach in proving these theorems involves obtaining an explicit form for the components of the inverse of a symmetric matrix with equal elements along its five central diagonals, and zeroes elsewhere. The asymptotic normality follows from a central limit theorem for normalized sums of random variables that are dependent of order k, where k tends to infinity with T. An alternative form of the estimator facilitates the calculations and the analysis of the role of k, without changing the asymptotic properties.
Download or read book Asymptotic Properties of the Ordinary Least Squares Estimator in Simultaneous Equations Models written by Virendra K. Srivastava and published by . This book was released on 1989 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Asymptotic Theory for Weighted Least Squares with Weights Estimated by Replication written by Raymond J. Carroll and published by . This book was released on 1988 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This document considers a heteroscedastic linear regression model with replication. To estimate the variances, one can use the sample variances or the sample average squared errors from a regression fit. The authors study the large sample properties of these weighted least squares estimates with estimated weights when the number of replicates is small. The estimates are generally inconsistent for asymmetrically distributed data. If sample variances are used based on m replicates, the weighted least squares estimates are inconsistent for m=2 replicates even when the data are normally distributed. With between 3 and 5 replicates, the rates of convergence are slower than the usual square root of N. With m> or = 6 replicates, the effect of estimating the weights is to increase variances by (m-5)/(m-3), relative to weighted least squares estimates with known weights. (KR).
Download or read book Asymptomatic Properties of the Maximum Likelihood and Non linear Least Squares Estimators for Noninvertible Moving Average Models written by Katsuto Tanaka and published by . This book was released on 1987 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asymptotic Properties of an Iterate of Two Stage Least Squares Estimator written by Phoebus J. Dhrymes and published by . This book was released on 1970 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Weighted Average Least Squares WALS written by J.R Magnus and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Model averaging has become a popular method of estimation, following increasing evidence that model selection and estimation should be treated as one joint procedure. Weighted-average least squares (WALS) is a recent model-average approach, which takes an intermediate position between frequentist and Bayesian methods, allows a credible treatment of ignorance, and is extremely fast to compute. We review the theory of WALS and discuss extensions and applications.
Download or read book Asymptotic Properties of a Least squares Estimator Using Incomplete Data written by Anders Klevmarken and published by . This book was released on 1983 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asymptotic properties of least squares estimators in regression models with forecast feedback written by Michael Mohr and published by . This book was released on 1989 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asymptotic Properties of Simultaneous Least Squares Estimators written by Phoebus J. Dhrymes and published by . This book was released on 1971 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asymptotic Properties of Nonlinear Least Squares Estimators in a Replicated Time Series Model written by Jeremy Sin-hing Wu and published by . This book was released on 1982 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asymptotic properties of least squares estimators in semimartingale regression models written by Norbert Christopeit and published by . This book was released on 1985 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asymptotic Distribution of the Weighted Least Squares Estimator written by J. Shao and published by . This book was released on 1988 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book History First Baptist Church St Albans W Va written by and published by . This book was released on 1936* with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asymptotic Properties of Nonlinear Least Squares Estimates in Stochastic Regression Models written by Stanford University. Department of Statistics and published by . This book was released on 1990 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asymptotic Properties of Econometric Estimators written by Jeffrey M. Wooldridge and published by . This book was released on 1986 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt:
