Search Results - subject:"Finite sample inference"

Finite sample inference for the maximum score estimand

Rosen, Adam M.; Ura, Takuya - 2020

We provide a finite sample inference method for the structural parameters of a semiparametric binary response model …

Persistent link: https://www.econbiz.de/10012621099

Finite sample inference for the maximum score estimand

Rosen, Adam M.; Ura, Takuya - 2020

We provide a ﬁnite sample inference method for the structural parameters of a semiparametric binary response model …

Persistent link: https://www.econbiz.de/10012216962

Causes and effects of negative definite covariance matrices in swamy type random coefficient models

Nocera, Andrea - 2017

Persistent link: https://www.econbiz.de/10011705615

Improving Likelihood-Ratio-Based Confidence Intervals for Threshold Parameters in Finite Samples

Donayre, Luiggi; Eo, Yunjong; Morley, James - School of Economics, Faculty of Arts and Social Sciences - 2014

We propose an improved method for constructing likelihood-ratio-based confidence intervals for threshold parameters in threshold regressions. Related methods have been extensively developed in the literature and are asymptotically valid. However, their performance in finite samples is not...

Persistent link: https://www.econbiz.de/10010755881

Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples

Donayre, Luiggi; Eo, Yunjong; Morley, James C. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10011886522

Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models

Audrino, Francesco; Camponovo, Lorenzo - School of Economics and Political Science, Universität … - 2013

valid finite sample inference in one step. Moreover, we analytically derive a bias correction factor that is able to … (adaptive lasso) for time series regression models. In particular we investigate the question of how to conduct finite sample … inference on the parameters given an adaptive lasso model for some fixed value of the shrinkage parameter. Central in this study …

Persistent link: https://www.econbiz.de/10010700341

Oracle properties and finite sample inference of the adaptive lasso for time series regression models

Audrino, Francesco; Camponovo, Lorenzo - 2013

Persistent link: https://www.econbiz.de/10010245672

Finite sample inference for GMM estimators in linear panel data models

Bond, Stephen R.; Windmeijer, Frank - 2002

, and a simple criterion-difference test can provide more reliable finite sample inference in some cases. …

Persistent link: https://www.econbiz.de/10010318546

Effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors

Kurita, Takamitsu - In: Mathematics and Computers in Simulation (MATCOM) 80 (2010) 10, pp. 2033-2039

This paper investigates effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors. The …

Persistent link: https://www.econbiz.de/10010870202

Auctions with discrete increments: a structural econometric approach based on dominated strategies.

JOUNEAU-SION, Frédéric; TORRES, Olivier - Center for Operations Research and Econometrics (CORE), … - 2000

We propose a structural econometric evaluation for auctions with discrete increments. Although very common in practice, this kind of mechanism raises many theoretical difficulties. First, there are no closed form equilibrium strategies. Thus the econometrician cannot rely on a single formula to...

Persistent link: https://www.econbiz.de/10005008371