Search Results - subject:"Local-to-zero"

Inference in conditional vector error correction models with a small signal-to-noise ratio

Gospodinov, Nikolaj; Maynard, Alex; Pesavento, Elena - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 295-318). 2023

Persistent link: https://www.econbiz.de/10014313744

A refined asymptotic framework for dividend yield in predictive regressions

Deng, Kaihua - In: Economics letters 138 (2016), pp. 60-63

Persistent link: https://www.econbiz.de/10011615492

Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions

Kruiniger, Hugo - 2006

In this paper we show that the Quasi ML estimation method yields consistent Random and Fixed Effects estimators for the autoregression parameter ÃÂ in the panel AR(1) model with arbitrary initial conditions even when the errors are drawn from heterogenous distributions. We compare both...

Persistent link: https://www.econbiz.de/10010284089

Quasi ML estimation of the panel AR(1) model with arbitrary initial conditions

Kruiniger, Hugo - In: Journal of Econometrics 173 (2013) 2, pp. 175-188

In this paper we show that the Quasi ML estimation method yields consistent Random and Fixed Effects estimators for the autoregression parameter ρ in the panel AR(1) model with arbitrary initial conditions and possibly time-series heteroskedasticity even when the error components are drawn from...

Persistent link: https://www.econbiz.de/10011052276

Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification with an Application to Bias Correction

Chao, John C.; Swanson, Norman Rasmus - School of Management, Yale University - 2004

We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and obtain approximations thereof based on an asymptotic scheme which essentially requires the expectation of the first stage F-statistic to converge to a finite (possibly small)...

Persistent link: https://www.econbiz.de/10005587117

Consistent Estimation with a Large Number of Weak Instruments

Chao, John C.; Swanson, Norman Rasmus - School of Management, Yale University - 2004

instrumental variables regression when the available instruments are weak in the local-to-zero sense. More precisely, the approach … adopted in this paper combines key features of the local-to-zero framework of Staiger and Stock (1997) and the many … consider a general local-to-zero framework which allows for an arbitrary degree of instrument weakness by modeling the first …

Persistent link: https://www.econbiz.de/10005587193

Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments

Swanson, Norman R.; Chao, John C. - 2003

This paper analyzes conditions under which various single-equation estimators are asymptotically normal in a simultaneous equations framework with many weak instruments. In particular, our paper adds to the many instruments asymptotic normality literature, including papers by Morimune (1983),...

Persistent link: https://www.econbiz.de/10010263213

Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification With an Application to Bias Correction

Chao, John C.; Swanson, Norman R. - 2003

Persistent link: https://www.econbiz.de/10010271942

Alternative Approximations of the Bias and MSE of the IV Estimator under Weak Identification with an Application to Bias Correction

Chao, John; Swanson, Norman R. - Cowles Foundation for Research in Economics, Yale University - 2003

Persistent link: https://www.econbiz.de/10005762492

Consistent Estimation with a Large Number of Weak Instruments

Chao, John Chao; Swanson, Norman R. - Cowles Foundation for Research in Economics, Yale University - 2003

Persistent link: https://www.econbiz.de/10005762818