Search Results - subject:"Asymptotic covariance matrix"

Bayesian analysis in the case of an estimated parameter following a stochastic process

Slutskin, Lev - In: Applied Econometrics 20 (2010) 4, pp. 119-131

We perform Bayesian analysis of the sequence of unknown means mi given observations Xi under the assumption that, for any k 0, the first k members X1, X2, …, Xk are normally distributed with the mean (m1,…, mk ) and a known covariance matrix. It is assumed that the parameters m1,…, mk,…...

Persistent link: https://www.econbiz.de/10009131084

Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression

White, Halbert; Kim, Tae-Hwan - Department of Economics, University of California-San … - 2002

asymptotic normality of the quantile estimator when the model is misspecified. In this case, the asymptotic covariance matrix has … a novel form, not seen in earlier work, and we provide a consistent estimator of the asymptotic covariance matrix. We …

Persistent link: https://www.econbiz.de/10010536433