Download or read book ROBUST ESTIMATION OF MOMENT CONDITION MODELS WITH WEAKLY DEPENDENT DATA written by and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Weak Dependence With Examples and Applications written by Jérome Dedecker and published by Springer Science & Business Media. This book was released on 2007-07-29 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book develops Doukhan/Louhichi's 1999 idea to measure asymptotic independence of a random process. The authors, who helped develop this theory, propose examples of models fitting such conditions: stable Markov chains, dynamical systems or more complicated models, nonlinear, non-Markovian, and heteroskedastic models with infinite memory. Applications are still needed to develop a method of analysis for nonlinear times series, and this book provides a strong basis for additional studies.

Download or read book An Information Theoretic Alternative to Generalized Method of Moments Estimation written by Michael J. Stutzer and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: While optimally weighted GMM estimation has desirable large sample properties, its small sample performance is poor in some applications. We propose a computationally simple alternative, for weakly dependent data generating mechanisms, based on minimization of the Kullback-Leibler Information Criterion (a.k.a. relative entropy). Conditions are derived under which the large sample properties of this estimator are similar to GMM, i.e. the estimator will be consistent and asymptotically normal, with the same asymptotic covariance matrix as GMM. In addition, we propose overidentifying and parametric restrictions tests as alternatives to GMM procedures.

Download or read book Microeconometrics written by Steven Durlauf and published by Springer. This book was released on 2016-06-07 with total page 365 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.

Download or read book Initial Conditions and Moment Restrictions in Dynamic Panel Data Models written by Richard Blundell and published by . This book was released on 1995 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Generalized Method of Moments Estimation written by Laszlo Matyas and published by Cambridge University Press. This book was released on 1999-04-13 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.

Download or read book Time Series and Panel Data Econometrics written by M. Hashem Pesaran and published by Oxford University Press. This book was released on 2015 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual. It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.

Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.

Download or read book Identification and Singularity robust Inference for Moment Condition Models written by Donald W. K. Andrews and published by . This book was released on 2014 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Process Techniques for Dependent Data written by Herold Dehling and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical process techniques for independent data have been used for many years in statistics and probability theory. These techniques have proved very useful for studying asymptotic properties of parametric as well as non-parametric statistical procedures. Recently, the need to model the dependence structure in data sets from many different subject areas such as finance, insurance, and telecommunications has led to new developments concerning the empirical distribution function and the empirical process for dependent, mostly stationary sequences. This work gives an introduction to this new theory of empirical process techniques, which has so far been scattered in the statistical and probabilistic literature, and surveys the most recent developments in various related fields. Key features: A thorough and comprehensive introduction to the existing theory of empirical process techniques for dependent data * Accessible surveys by leading experts of the most recent developments in various related fields * Examines empirical process techniques for dependent data, useful for studying parametric and non-parametric statistical procedures * Comprehensive bibliographies * An overview of applications in various fields related to empirical processes: e.g., spectral analysis of time-series, the bootstrap for stationary sequences, extreme value theory, and the empirical process for mixing dependent observations, including the case of strong dependence. To date this book is the only comprehensive treatment of the topic in book literature. It is an ideal introductory text that will serve as a reference or resource for classroom use in the areas of statistics, time-series analysis, extreme value theory, point process theory, and applied probability theory. Contributors: P. Ango Nze, M.A. Arcones, I. Berkes, R. Dahlhaus, J. Dedecker, H.G. Dehling,

Download or read book Empirical Development Economics written by Måns Söderbom and published by Routledge. This book was released on 2014-10-03 with total page 463 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding why so many people across the world are so poor is one of the central intellectual challenges of our time. This book provides the tools and data that will enable students, researchers and professionals to address that issue. Empirical Development Economics has been designed as a hands-on teaching tool to investigate the causes of poverty. The book begins by introducing the quantitative approach to development economics. Each section uses data to illustrate key policy issues. Part One focuses on the basics of understanding the role of education, technology and institutions in determining why incomes differ so much across individuals and countries. In Part Two, the focus is on techniques to address a number of topics in development, including how firms invest, how households decide how much to spend on their children’s education, whether microcredit helps the poor, whether food aid works, who gets private schooling and whether property rights enhance investment. A distinctive feature of the book is its presentation of a range of approaches to studying development questions. Development economics has undergone a major change in focus over the last decade with the rise of experimental methods to address development issues; this book shows how these methods relate to more traditional ones. Please visit the book's website at www.empiricalde.com for online supplements including Stata files and solutions to the exercises.

Download or read book Three Essays on Generalized Method of Moments written by Artem B. Prokhorov and published by . This book was released on 2006 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Handbook of Research Methods and Applications in Empirical Microeconomics written by Hashimzade, Nigar and published by Edward Elgar Publishing. This book was released on 2021-11-18 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written in a comprehensive yet accessible style, this Handbook introduces readers to a range of modern empirical methods with applications in microeconomics, illustrating how to use two of the most popular software packages, Stata and R, in microeconometric applications.

Download or read book Essays in Honor of M Hashem Pesaran written by Alexander Chudik and published by Emerald Group Publishing. This book was released on 2022-01-18 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: The collection of chapters in Volume 43 Part B of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.

Download or read book The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics written by Jeffrey Racine and published by Oxford University Press. This book was released on 2014-04 with total page 562 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, edited by Jeffrey Racine, Liangjun Su, and Aman Ullah, contains the latest research on nonparametric and semiparametric econometrics and statistics. Chapters by leading international econometricians and statisticians highlight the interface between econometrics and statistical methods for nonparametric and semiparametric procedures.

Download or read book Finite Sample Properties of Some Alternative Gmm Estimators written by Lars Peter Hansen and published by Franklin Classics Trade Press. This book was released on 2018-11-10 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important and is part of the knowledge base of civilization as we know it. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. To ensure a quality reading experience, this work has been proofread and republished using a format that seamlessly blends the original graphical elements with text in an easy-to-read typeface. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.

Download or read book Essays on Weak Identification Model Selection and Hypothesis Testing in Econometrics written by Purevdorj Tuvaandorj and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "This thesis makes contributions to weak identification, modelselection and hypothesis testing in econometrics. It consists of thefollowing essays.In Chapter 1, we study likelihood-basedinference in models with possible identification failure. The results relyheavily on the properties of the mapping from structural parameters togeneralized reduced-form parameters (which are identified by construction).We establish an asymptotic chi-square bound on the likelihood ratio (LR)statistic for testing restrictions on the possibly unidentified structuralparameters with degrees of freedom equal to the dimension of the reducedform parameter vector through which the tested parameters enter thelikelihood function. We also propose pivotal C(alpha)-type statisticsthat are robust to potential identification failure and are flexible inincorporating a wide class of estimators of the (strongly identified)nuisance parameters. Furthermore, we develop a generalized version of theclassical Anderson-Rubin (AR)-type statistic in linear simultaneousequations and an identification-robust pretest-based inference procedure.In Chapter 2, we study the invariance properties of various test criteria which have been proposed for hypothesis testing in the context of incompletely specified models, such asmodels which are formulated in terms of estimating functions (Godambe, 1960, Ann. Math. Stat.) or moment conditions and are estimated bygeneralized method of moments (GMM) procedures (Hansen, 1982, Econometrica), and models estimated by pseudo-likelihood (Gourieroux,Monfort and Trognon, 1984, Econometrica) and M-estimation methods.The invariance properties considered include invariance to (possiblynonlinear) hypothesis reformulations and reparameterizations. The teststatistics examined include Wald-type, LR-type, LM-type, score-type, and C(alpha)-type criteria. In Chapter 3, we propose generalized C(alpha) tests for testing linear and nonlinear parameterrestrictions in models specified by estimating functions. The asymptotic distribution of theproposed statistic is established under weak regularity conditions. We show that earlierC(alpha)-type statistics are included as special cases. The problem of testing hypotheses fixinga subvector of the complete parameter vector of the model is discussed in detail. In Chapter 4, we consider conditional distribution and conditional density functionalsin the space of generalized functions. We obtain the limit of the kernel estimators for weakly dependent data, evenunder non-differentiability of the distribution function; the limit Gaussian process is characterizedas a stochastic random functional (random generalized function) on the suitablefunction space. An alternative simple to compute estimator based on the empirical distribution function is proposed for the generalized random functional. For test statistics based on this estimator, limit properties are established.Chapter 5, considers the issue of selecting the number of regressors and the numberof structural breaks in multivariate regression models in the possible presence of multiplestructural changes. We develop a modified Akaike's information criterion (AIC), amodified Mallows' Cp criterion and a modified Bayesian information criterion (BIC). Thepenalty terms in these criteria are shown to be different from the usual terms." --