Search Results - subject:"Adaptive Estimation"

Efficient Estimation of the SemiparametricSpatial Autoregressive Model

Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2007

autoregression; Efficient estimation; Adaptive estimation; Simultaneity bias. © The author …. This strategy is followed virtually uniformly in the adaptive estimation literature. It leads to the need to …�erentiation. The bulk of work on adaptive estimation uses kernel estimates of f and f0. Kernel estimation is 3 very familiar in …

Persistent link: https://www.econbiz.de/10005151138

Efficient estimation of the semiparametric spatial autoregressive model

Robinson, Peter M. - 2006

Efficient semiparametric and parametric estimates are developed for a spatial autoregressive model, containing non stochastic explanatory variables and innovations suspected to be non-normal. The main stress is on the case of distribution of unknown, nonparametric, form, where series non...

Persistent link: https://www.econbiz.de/10010318525

Inhomogeneous dependency modelling with time varying copulae

Giacomini, Enzo; Härdle, Wolfgang Karl; Ignatieva, … - 2006

Measuring dependence in a multivariate time series is tantamount to modelling its dynamic structure in space and time. In the context of a multivariate normally distributed time series, the evolution of the covariance (or correlation) matrix over time describes this dynamic. A wide variety of...

Persistent link: https://www.econbiz.de/10010319194

Variance estimation in a random coefficients model

Schlicht, Ekkehart; Ludsteck, Johannes - 2006

This papers describes an estimator for a standard state-space model with coefficients generated by a random walk that is statistically superior to the Kalman filter as applied to this particular class of models. Two closely related estimators for the variances are introduced: A maximum...

Persistent link: https://www.econbiz.de/10010267676

Macroeconomic Confusion. A Marshallian Perspective

Schlicht, Ekkehart - 2006

This note critically evaluates the New Classical Macroeconomics from a Marshallian perspective. Revisiting the famous Keynes-Tinbergen controversy, it is argued that Keynes' criticism comprises the "Lucas critique," and that it is misleading to label this a critique of Keynesian economics. The...

Persistent link: https://www.econbiz.de/10010427458

Variance Estimation in a Random Coefficients Model

Schlicht, Ekkehart; Ludsteck, Johannes - 2006

Persistent link: https://www.econbiz.de/10010427470

Variance Estimation in a Random Coefficients Model

Schlicht, Ekkehart; Ludsteck, Johannes - Volkswirtschaftliche Fakultät, … - 2006

Persistent link: https://www.econbiz.de/10005518249

Macroeconomic Confusion

Schlicht, Ekkehart - Volkswirtschaftliche Fakultät, … - 2006

Persistent link: https://www.econbiz.de/10005649780

Adaptive Estimation of Autoregressive Models with Time-Varying Variances

Xu, Ke-Li; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2006

Stable autoregressive models of known finite order are considered with martingale differences errors scaled by an unknown nonparametric time-varying function generating heterogeneity. An important special case involves structural change in the error variance, but in most practical cases the...

Persistent link: https://www.econbiz.de/10005593399

Adaptive Estimation of Autoregressive Models with Time-Varying Variances

Xu, Ke-Li; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2006

Persistent link: https://www.econbiz.de/10005593627