Search Results - subject:"Least squares estimators"

Sensitivity analysis of SAR estimators: A numerical approximation

Liu, Shuangzhe; Polasek, Wolfgang; Sellner, Richard - 2011

Estimators of spatial autoregressive (SAR) models depend in a highly non-linear way on the spatial correlation parameter and least squares (LS) estimators cannot be computed in closed form. We first compare two simple LS estimators by distance and covariance properties and then we study the...

Persistent link: https://www.econbiz.de/10010291000

Sensitivity Analysis of SAR Estimators

Liu, Shuangzhe; Polasek, Wolfgang; Sellner, Richard - Department of Economics and Finance Research and … - 2011

Persistent link: https://www.econbiz.de/10008805631

Sensitivity Analysis of SAR Estimators: A Simulation Study

Liu, Shuangzhe; Polasek, Wolfgang; Sellner, Richard - Rimini Centre for Economic Analysis (RCEA) - 2010

of the covariance structure of the least squares estimators and we make efficiency comparisons using Kantorovich …

Persistent link: https://www.econbiz.de/10008483766

A Study of Bootstrap and Likelihood Based Methods in Non-Standard Problems.

Sen, Bodhisattva - 2008

In this dissertation we investigate bootstrap and likelihood based methods for constructing confidence intervals in some non-standard problems. The non-standard problems studied include problems with non root-n convergence (e.g., cube-root convergence), estimation problems where the parameter is...

Persistent link: https://www.econbiz.de/10009477097

Spatial system estimators for panel models: A sensitivity and simulation study

Liu, Shuangzhe; Ma, Tiefeng; Polasek, Wolfgang - In: Mathematics and Computers in Simulation (MATCOM) 101 (2014) C, pp. 78-102

a first-order Taylor approximation based on the non-spatial ordinary or generalized least-squares estimators can be used … to approximate the least-squares estimators in spatial SUR models. In a simulation study we examine the approximation … regression (SUR) systems. We apply a local sensitivity approach to study the behavior of spatial ordinary or generalized least-squares …

Persistent link: https://www.econbiz.de/10010776886

Additive outliers in INAR(1) models

Barczy, Mátyás; Ispány, Márton; Pap, Gyula; Scotto, … - In: Statistical Papers 53 (2012) 4, pp. 935-949

In this paper the integer-valued autoregressive model of order one, contaminated with additive outliers is studied in some detail. Moreover, parameter estimation is also addressed. Supposing that the timepoints of the outliers are known but their sizes are unknown, we prove that the conditional...

Persistent link: https://www.econbiz.de/10010998591

Efficient algorithm for estimating the parameters of a chirp signal

Lahiri, Ananya; Kundu, Debasis; Mitra, Amit - In: Journal of Multivariate Analysis 108 (2012) C, pp. 15-27

the asymptotic properties of the least squares estimators of the unknown parameters of the chirp signals model in the … obtain the proper initial guesses. The proposed estimators are consistent and asymptotically equivalent to least squares … estimators of the corresponding parameters. We perform some simulation experiments to see the effectiveness of the proposed …

Persistent link: https://www.econbiz.de/10010572286

Asymptotic Prediction Mean Squared Error for Strongly Dependent Processes with Estimated Parameters

Katayama, Naoya - Institute of Economic Research, Hitotsubashi University - 2004

relating to convergence of moments of the nonlinear least squares estimators, we evaluate the asymptotic prediction mean …

Persistent link: https://www.econbiz.de/10005650682

Importance of non-parametric density estimation in econometrics with illustrations

Kumar, T. Krishna; Markmann, Joseph M. - In: Journal of quantitative economics : official journal of … 9 (2011) 1, pp. 18-40

Persistent link: https://www.econbiz.de/10010337923

- UN ESTUDIO COMPARATIVO DEL ESTIMADOR DE MÍNIMOS CUADRADOS GENERALIZADOS PARA MODELOS DE PANEL

Casquel, Elena; Jiménez, Ezequiel Uriel - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2000

In this paper we make a comparative study of Generalized Least Squares Estimators used by the programs LIMDEP, RATS and …

Persistent link: https://www.econbiz.de/10005731101