Search Results - subject:"Asymptotic Optimality"

Pure robust versus robust portfolio unbiased—Credibility and asymptotic optimality

Pitselis, Georgios - In: Insurance: Mathematics and Economics 52 (2013) 2, pp. 391-403

Bayes estimation and derive robust asymptotic optimality based on Norberg’s (1980) proposal. Robust portfolio …-unbiased empirical regression credibility is derived and its asymptotic optimality is proved, under not very restrictive assumptions. The … asymptotic optimality of pure robust credibility estimators is also proved. The superiority of the pure robust credibility …

Persistent link: https://www.econbiz.de/10011046674

Model averaging by jackknife criterion in models with dependent data

Zhang, Xinyu; Wan, Alan T.K.; Zou, Guohua - In: Journal of Econometrics 174 (2013) 2, pp. 82-94

The past decade witnessed a literature on model averaging by frequentist methods. For the most part, the asymptotic … optimality of various existing frequentist model averaging estimators has been established under i.i.d. errors. Recently, Hansen …

Persistent link: https://www.econbiz.de/10010664706

Heteroscedasticity-robust C p model averaging

Liu, Qingfeng; Okui, Ryo - In: The econometrics journal 16 (2013) 3, pp. 463-472

Persistent link: https://www.econbiz.de/10010253631

Model averaging with covariates that are missing completely at random

Zhang, Xinyu - In: Economics letters 121 (2013) 3, pp. 360-363

Persistent link: https://www.econbiz.de/10010391216

Local asymptotic mixed normality for discretely observed non-recurrent Ornstein–Uhlenbeck processes

Shimizu, Yasutaka - In: Annals of the Institute of Statistical Mathematics 64 (2012) 1, pp. 193-211

Persistent link: https://www.econbiz.de/10010848670

An optimal modification of the LIML estimation for many instruments and persistent heteroscedasticity

Kunitomo, Naoto - In: Annals of the Institute of Statistical Mathematics 64 (2012) 5, pp. 881-910

-LIML, improves the LIML estimator and other estimation methods. We give a set of sufficient conditions for an asymptotic optimality …

Persistent link: https://www.econbiz.de/10010848676

Hodges–Lehmann optimality for testing moment conditions

Canay, Ivan A.; Otsu, Taisuke - In: Journal of Econometrics 171 (2012) 1, pp. 45-53

This paper studies the Hodges and Lehmann (1956) optimality of tests in a general setup. The tests are compared by the exponential rates of growth to one of the power functions evaluated at a fixed alternative while keeping the asymptotic sizes bounded by some constant. We present two sets of...

Persistent link: https://www.econbiz.de/10010594969