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Year of publication
Subject
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Least squares estimation 26 least squares estimation 22 Schätztheorie 19 Estimation theory 18 Kleinste-Quadrate-Methode 10 Least squares method 10 Regional economics 5 Regionalökonomik 5 Regression analysis 5 Regressionsanalyse 5 Autocorrelation 4 Autokorrelation 4 Time series analysis 4 Zeitreihenanalyse 4 asymptotic normality 4 consistency 4 1) 3 ARCH model 3 ARCH-Modell 3 Asymptotic distribution 3 Factor analysis 3 Faktorenanalyse 3 GARCH (1 3 Least-squares estimation 3 Nonstationary processes 3 Panel 3 Panel study 3 Räumliche Interaktion 3 Spatial autoregression 3 Spatial interaction 3 law of the iterated logarithm 3 long-range dependence 3 narrow-band estimation 3 Asymptotic normality 2 Block-wise random weighting method 2 Consistency 2 Constrained factor models 2 Diagnostic checking 2 Edgeworth expansion 2 Endogeneity 2
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Online availability
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Undetermined 29 Free 19
Type of publication
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Article 32 Book / Working Paper 21
Type of publication (narrower categories)
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Article in journal 13 Aufsatz in Zeitschrift 13 Working Paper 6 Arbeitspapier 5 Graue Literatur 5 Non-commercial literature 5 research-article 1
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Language
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Undetermined 31 English 22
Author
All
Preminger, Arie 4 Storti, Giuseppe 4 Robinson, Peter M. 3 Bloxom, Bruce 2 Brännäs, Kurt 2 Chen, Heng 2 Hidalgo, Javier 2 Marinucci, D 2 Rossi, Francesca 2 Sun, Qi 2 Xiang, Jingjie 2 Xiao, Weilin 2 Xu, Weijun 2 Yao, Qiwei 2 Zhu, Ke 2 Abdurishit 1 Berbeglia, Gerardo 1 Carceles-Poveda, Eva 1 Cui, Guowei 1 Dou, Baojun 1 Dunham, Bruce 1 Díaz, Emilio 1 Ekinci, Yeliz 1 Feng, Xinlong 1 Fryzlewicz, Piotr 1 Gao, Jiti 1 Gao, Zhaoxing 1 Garassino, Agustín 1 Ghosh, Subir 1 Giannitsarou, Chryssi 1 Gong, Zhenhao 1 Gray, Alison 1 Greenhalgh, David 1 Guo, Gangzheng 1 Gégout-Petit, Anne 1 Haggard, Mark 1 Hall, Deborah 1 Hansen, Peter Reinhard 1 He, Guoliang 1 Heuchenne, Cédric 1
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Institution
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London School of Economics (LSE) 4 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 Institutionen för Nationalekonomi, Umeå Universitet 2 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 2 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Department of Econometrics and Business Statistics, Monash Business School 1 Economics Department, Ben Gurion University of the Negev 1 Society for Computational Economics - SCE 1
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Published in...
All
Journal of econometrics 5 LSE Research Online Documents on Economics 4 Annals of the Institute of Statistical Mathematics 3 Economics letters 3 MPRA Paper 3 Psychometrika 3 Computational Statistics & Data Analysis 2 Econometric reviews 2 STICERD - Econometrics Paper Series 2 Umeå Economic Studies 2 CORE Discussion Papers 1 CORE discussion papers : DP 1 Computing in Economics and Finance 2004 1 Cowles Foundation discussion paper 1 Data science and service research discussion paper 1 Economic Modelling 1 Economic modelling 1 Economics Letters 1 European Journal of Marketing 1 Journal of Applied Statistics 1 Journal of Econometrics 1 Journal of Multivariate Analysis 1 Journal of Post Keynesian Economics 1 Management science : journal of the Institute for Operations Research and the Management Sciences 1 Mathematics and Computers in Simulation (MATCOM) 1 Metrika 1 Monash Econometrics and Business Statistics Working Papers 1 Statistical Inference for Stochastic Processes 1 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 1 The econometrics journal 1 Working Paper 1 Working Papers / Economics Department, Ben Gurion University of the Negev 1 Working paper series 1 Working papers / University of Connecticut, Department of Economics 1
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Source
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RePEc 33 ECONIS (ZBW) 18 EconStor 1 Other ZBW resources 1
Showing 1 - 50 of 53
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Policy analysis using multilevel regression models with group interactive fixed effects
Gong, Zhenhao; Kim, Min Seong - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014514120
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Convolutional regression for big spatial data
Matsuda, Yasumasa; Yuan, Xin - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013445687
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Higher-order least squares inference for spatial autoregressions
Rossi, Francesca; Robinson, Peter M. - In: Journal of econometrics 232 (2023) 1, pp. 244-269
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Determining the number of factors in constrained factor models via Bayesian information criterion
Xiang, Jingjie; Guo, Gangzheng; Li, Jiaolong - In: Econometric reviews 42 (2023) 1, pp. 98-122
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014305478
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Higher-order least squares inference for spatial autoregressions
Rossi, Francesca; Robinson, Peter M. - 2020
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012307275
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Nonlinear cointegrating power function regression with endogeneity
Hu, Zhishui; Phillips, Peter C. B.; Wang, Qiying - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012132062
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A comparative empirical study of discrete choice models in retail operations
Berbeglia, Gerardo; Garassino, Agustín; Vulcano, Gustavo - In: Management science : journal of the Institute for … 68 (2022) 6, pp. 4005-4023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013369012
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Least squares estimation for Garch (1,1) model with heavy tailed errors
Preminger, Arie; Storti, Giuseppe - 2017
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011990826
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Robust inference in conditionally heteroskedastic autoregressions
Pedersen, Rasmus Søndergaard - In: Econometric reviews 39 (2020) 3, pp. 244-259
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012181447
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Banded spatio-temporal autoregressions
Gao, Zhaoxing; Ma, Yingying; Wang, Hansheng; Yao, Qiwei - In: Journal of econometrics 208 (2019) 1, pp. 211-230
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012139832
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Least squares estimation for GARCH (1,1) model with heavy tailed errors
Preminger, Arie; Storti, Giuseppe - Volkswirtschaftliche Fakultät, … - 2014
GARCH (1,1) models are widely used for modelling processes with time varying volatility. These include financial time series, which can be particularly heavy tailed. In this paper, we propose a log-transform-based least squares estimator (LSE) for the GARCH (1,1) model. The asymptotic properties...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011111078
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A bootstrapped spectral test for adequacy in weak ARMA models
Zhu, Ke; Li, Wai-Keung - Volkswirtschaftliche Fakultät, … - 2013
This paper proposes a Cramer-von Mises (CM) test statistic to check the adequacy of weak ARMA models. Without posing a martingale difference assumption on the error terms, the asymptotic null distribution of the CM test is obtained by using the Hillbert space approach. Moreover, this CM test is...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011111242
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A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models
Xiang, Jingjie; Li, Kunpeng; Cui, Guowei - In: Economics letters 171 (2018), pp. 144-148
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Nonlinear Regression with Harris Recurrent Markov Chains
Li, Degui; Tjøstheim, Dag; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2012
In this paper, we study parametric nonlinear regression under the Harris recurrent Markov chain framework. We first consider the nonlinear least squares estimators of the parameters in the homoskedastic case, and establish asymptotic theory for the proposed estimators. Our results show that the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010860422
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The Asymmetric Count Data Moving Average Model
Brännäs, Kurt - Institutionen för Nationalekonomi, Umeå Universitet - 2012
This note defines the asymmetric count data, first order moving average model and gives some of its basic properties. A brief account of conditional least squares estimation of unknown parameters is also given.
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010611656
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Least-squares estimation of GARCH(1,1) models with heavy-tailed errors
Preminger, Arie; Storti, Giuseppe - In: The econometrics journal 20 (2017) 2, pp. 221-258
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Least squares estimation of large dimensional threshold factor models
Massacci, Daniele - In: Journal of econometrics 197 (2017) 1, pp. 101-129
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011818348
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Estimation of a system of national accounts: implementation with mathematica
Temel, Tugrul - Volkswirtschaftliche Fakultät, … - 2011
This study implements Mathematica to estimate a system of national accounts. The estimation methods applied are portrayed in Danilov and Magnus (2008), including the Bayesian estimation, restricted and unrestricted least-squares estimation and best linear unbiased estimation. Operationalizing...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009644914
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Generalized Yule-Walker estimation for spatio-temporal models with unknown diagonal coefficients
Dou, Baojun; Parrella, Maria Lucia; Yao, Qiwei - In: Journal of econometrics 194 (2016) 2, pp. 369-382
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011705211
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Consistency of the least squares estimator in threshold regression with endogeneity
Yu, Ping - In: Economics letters 131 (2015), pp. 41-46
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011422546
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A bootstrapped spectral test for adequacy in weak ARMA models
Zhu, Ke; Li, Wai Keung - In: Journal of econometrics 187 (2015) 1, pp. 113-130
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Normalized least-squares estimation in time-varying ARCH models
Fryzlewicz, Piotr; Sapatinas, Theofanis; Subba Rao, Suhasini - London School of Economics (LSE) - 2008
We investigate the time-varying ARCH (tvARCH) process. It is shown that it can be used to describe the slow decay of the sample autocorrelations of the squared returns often observed in financial time series, which warrants the further study of parameter estimation methods for the model. Since...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011071356
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A customer lifetime value model for the banking industry: a guide to marketing actions
Ekinci, Yeliz; Uray, Nimet; Ülengin, Füsun - In: European Journal of Marketing 48 (2014) 3/4, pp. 761-784
Purpose – The aim of this study is to develop an applicable and detailed model for customer lifetime value (CLV) and to highlight the most important indicators relevant for a specific industry – namely the banking sector. Design/methodology/approach – This study compares the results of the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014724574
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Sheep in Wolf’s clothing: Using the least squares criterion for quantile estimation
Chen, Heng - In: Economics Letters 125 (2014) 3, pp. 426-431
This paper proposes using the Gaussian approximation, also known as quantile coupling, to estimate a quantile model. The quantile coupling allows one to apply the standard Gaussian-based estimation and inference to the transformed data set. The resulting estimator is asymptotically normal with a...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011116222
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Model determination and estimation for the growth curve model via group SCAD penalty
Hu, Jianhua; Xin, Xin; You, Jinhong - In: Journal of Multivariate Analysis 124 (2014) C, pp. 199-213
The growth curve model is a useful tool for studying the growth problems, repeated measurements and longitudinal data. A key point using the growth curve model to fit data is determining the degree of polynomial profile form, choosing suitable explanatory variables, shrinking some regression...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010737762
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Parameter estimation for the stochastic SIS epidemic model
Pan, Jiafeng; Gray, Alison; Greenhalgh, David; Mao, Xuerong - In: Statistical Inference for Stochastic Processes 17 (2014) 1, pp. 75-98
In this paper we estimate the parameters in the stochastic SIS epidemic model by using pseudo-maximum likelihood estimation (pseudo-MLE) and least squares estimation. We obtain the point estimators and <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$100 (1-\alpha )\%$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mrow> <mn>100</mn> <mo stretchy="false">(</mo> <mn>1</mn> <mo>-</mo> <mi mathvariant="italic">α</mi> <mo stretchy="false">)</mo> <mo>%</mo> </mrow> </math> </EquationSource> </InlineEquation> confidence intervals as well as <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$$100...</equationsource></inlineequation></equationsource></equationsource></inlineequation>
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010992902
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Optimal and robust designs for trigonometric regression models
Xu, Xiaojian; Shang, Xiaoli - In: Metrika 77 (2014) 6, pp. 753-769
This article presents discussions on the optimal and robust designs for trigonometric regression models under different optimality criteria. First, we investigate the classical Q-optimal designs for estimating the response function in a full trigonometric regression model with a given order. The...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010937790
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Statistical study of asymmetry in cell lineage data
de Saporta, Benoîte; Gégout-Petit, Anne; Marsalle, … - In: Computational Statistics & Data Analysis 69 (2014) C, pp. 15-39
A rigorous methodology is proposed to study cell division data consisting in several observed genealogical trees of possibly different shapes. The procedure takes into account missing observations, data from different trees, as well as the dependence structure within genealogical trees. Its main...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010709955
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Sheep in wolf's clothing : using the least squares criterion for quantile estimation
Chen, Heng - In: Economics letters 125 (2014) 3, pp. 426-431
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010506524
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A GARCH (1,1) estimator with (almost) no moment conditions on the error term
PREMINGER, Arie; STORTI, Giuseppe - Center for Operations Research and Econometrics (CORE), … - 2006
A least squares estimation approach for the estimation of a GARCH (1,1) modelis developed. The asymptotic properties of the estimator are studied given mild regularity conditions, which require only that the error term has a conditionalmomen t of some order. We establish the consistency,...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005008182
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An empirical estimation for mean-reverting coal prices with long memory
Sun, Qi; Xu, Weijun; Xiao, Weilin - In: Economic Modelling 33 (2013) C, pp. 174-181
In this paper we discuss the calibration issues of power models built on mean-reverting processes combined with long memory. The unknown parameters of fractional mean-reversion processes are estimated by a hybrid estimation method, which is built upon the marriage of the quadratic variation and...
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Parameter estimation for growth interaction processes using spatio-temporal information
Redenbach, Claudia; Särkkä, Aila - In: Computational Statistics & Data Analysis 57 (2013) 1, pp. 672-683
Methods for the parameter estimation for a spatio-temporal marked point process model, the so-called growth-interaction model, are investigated. Least squares estimation methods for this model found in the literature are only concerned with fitting the mark distribution observed in the data....
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011056561
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An empirical estimation for mean-reverting coal prices with long memory
Sun, Qi; Xu, Weijun; Xiao, Weilin - In: Economic modelling 33 (2013), pp. 174-181
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010192000
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On the least squares estimation of multiple-regime threshold autoregressive models
Li, Dong; Ling, Shiqing - In: Journal of Econometrics 167 (2012) 1, pp. 240-253
This paper studies the least squares estimator (LSE) of the multiple-regime threshold autoregressive (TAR) model and establishes its asymptotic theory. It is shown that the LSE is strongly consistent. When the autoregressive function is discontinuous over each threshold, the estimated thresholds...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010577520
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An alternative bootstrap to moving blocks for time series regression models
Hidalgo, Javier - London School of Economics (LSE) - 2003
The purpose of this paper is to introduce and examine two alternative, although similar, approaches to the Moving Blocks and subsampling Bootstraps to bootstrapping the estimator of the parameters for time series regression models. More specifically, the first bootstrap is based on resampling...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010745602
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An Alternative Bootstrap to Moving Blocks for Time Series Regression Models
Hidalgo, Javier - Suntory and Toyota International Centres for Economics … - 2003
The purpose of this paper is to introduce and examine two alternative, although similar, approaches to the Moving Blocks and subsampling Bootstraps to bootstrapping the estimator of the parameters for time series regression models. More specifically, the first bootstrap is based on resampling...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005670808
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On the estimation of reduced rank regressions
Hansen, Peter Reinhard - 2002
It is well-know that estimation by reduced rank regression is given by the solution to a generalized eigenvalue problem. This paper presents a new proof to establish this result and provides additional insight into the structure of the estimation problem. The proof is a direct algebraic proof...
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Narrow-band analysis of nonstationary processes
Marinucci, D.; Robinson, Peter M. - London School of Economics (LSE) - 2001
The behavior of averaged periodograms and cross-periodograms of a broad class of nonstationary processes is studied. The processes include nonstationary ones that are fractional of any order, as well as asymptotically stationary fractional ones. The cross-periodogram can involve two...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010928796
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Narrow-band analysis of nonstationary processes
Marinucci, D; Robinson, Peter - London School of Economics (LSE) - 2001
The behaviour of averaged periodograms and cross-periodograms of a broad class of nonstationary processes is studied. The processes include nonstationary ones that are fractional of any order, as well as asymptotically stationary fractional ones. The cross-periodogram can involve two...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010745768
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Narrow-Band Analysis of Nonstationary Processes
Marinucci, D; Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2001
The behaviour of averaged periodograms and cross-periodograms of a broad class of nonstationary processes is studied. The processes include nonstationary ones that are fractional of any order, as well as asymptotically stationary fractional ones. The cross-periodogram can involve two...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005310362
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Nonlinear voxel-based modelling of the haemodynamic response in fMRI
Kornak, John; Dunham, Bruce; Hall, Deborah; Haggard, Mark - In: Journal of Applied Statistics 36 (2009) 3, pp. 237-253
A common assumption for data analysis in functional magnetic resonance imaging is that the response signal can be modelled as the convolution of a haemodynamic response (HDR) kernel with a stimulus reference function. Early approaches modelled spatially constant HDR kernels, but more recently...
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Understanding spurious correlation: a rejoinder to Kliman
Díaz, Emilio; Osuna, Rubén - In: Journal of Post Keynesian Economics 31 (2008) 2, pp. 357-362
This paper is a rejoinder to Kliman's (2008-9) reply to a paper published in the >i>Journal of Post Keynesian Economics>/i> by Díaz and Osuna (2005-6). We show that Kliman's reasoning about spurious correlation rests on the popular confusion between correlation and causation.
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005543600
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Estimation of parameters of the Makeham distribution using the least squares method
Feng, Xinlong; He, Guoliang; Abdurishit - In: Mathematics and Computers in Simulation (MATCOM) 77 (2008) 1, pp. 34-44
The Makeham distribution has been used to describe human mortality and establish actuarial tables. The hazard function is defined by μ(t)=A+BCt, we use the least squares type estimation to estimate the parameters of Makeham distribution in this paper. Seven cases are considered, when A, B, C...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011050409
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Regularized Partial and/or Constrained Redundancy Analysis
Takane, Yoshio; Jung, Sunho - In: Psychometrika 73 (2008) 4, pp. 671-690
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005603355
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Forecasting the Size Distribution of Financial Plants in Swedish Municipalities
Brännäs, Kurt - Institutionen för Nationalekonomi, Umeå Universitet - 1998
The paper studies the forecasting of a future size distribution of plants. As a model we use an open Markov chain model for macro data. Estimation is by reparametrization instead of by inequality restrictions using single equation least squares. The estimator is studied in a small Monte Carlo...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005652011
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Polynomial Regression with Censored Data based on Preliminary Nonparametric Estimation
Heuchenne, Cédric; Keilegom, Ingrid - In: Annals of the Institute of Statistical Mathematics 59 (2007) 2, pp. 273-297
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005616191
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Comparison of designs in presence of a possible correlation in observations
Ghosh, Subir; Shen, Yun - In: TEST: An Official Journal of the Spanish Society of … 15 (2006) 2, pp. 485-504
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005759550
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A GARCH (1,1) ESTIMATOR WITH (ALMOST) NO MOMENT CONDITIONS ON THE ERROR TERM
Preminger, Arie; Storti, Giuseppe - Economics Department, Ben Gurion University of the Negev - 2006
A least squares estimation approach for the estimation of a GARCH (1,1) model is developed. The asymptotic properties of the estimator are studied given mild regularity conditions, which require only that the error term has a conditional moment of some order. We establish the consistency,...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011272233
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Adaptive Learning in Practice
Giannitsarou, Chryssi; Carceles-Poveda, Eva - Society for Computational Economics - SCE - 2004
While there is an extensive literature on identifying the asymptotic properties of adaptive learning algorithms, little is explicitly mentioned on how to actually implement these algorithms on the computer to analyze the quantitative effects of learning in dynamic macroeconomic models. The aim...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005345321
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Asymptotics of estimates in constrained nonlinear regression with long-range dependent innovations
Wang, Lihong - In: Annals of the Institute of Statistical Mathematics 56 (2004) 2, pp. 251-264
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005184627
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