Search Results - subject:"continuous updating"

Differential games of Cournot oligopoly with consideration of pollution, network structure, and continuous updating

Ougolnitsky, Guennady; Korolev, Alexey - In: Games 16 (2025) 1, pp. 1-22

consideration of pollution, network structure, and continuous updating. Up to this time, games with network structure and continuous … updating were considered separately. We analyzed time consistency for a cooperative solution of the game. For a specific …

Persistent link: https://www.econbiz.de/10015271676

Subset-continuous-updating GMM estimators for dynamic panel data models

Ashley, Richard A.; Sun, Xiaojin - In: Econometrics 4 (2016) 4, pp. 1-13

continuous-updating GMM estimator proposed by Hansen, Heaton, and Yaron (1996) is in principle able to reduce the small … computationally feasible variation on these standard two-step GMM estimators by applying the idea of continuous-updating to the … necessary requirement for the data-generating process to be stationary. We show that our subset-continuous-updating method does …

Persistent link: https://www.econbiz.de/10011755350

Subset-continuous-updating GMM estimators for dynamic panel data models

Ashley, Richard A.; Sun, Xiaojin - In: Econometrics : open access journal 4 (2016) 4, pp. 1-13

Persistent link: https://www.econbiz.de/10011650481

Measuring the Intertemporal Elasticity of Substitution for Consumption: Some Evidence from Japan

Noda, Akihiko; Sugiyama, Shunsuke - In: Economics Bulletin 30 (2010) 1, pp. 524-533

.2 to 0.5 when we use quarterly consumption data and the Continuous Updating Estimator (CUE). We find that the IES is weakly …

Persistent link: https://www.econbiz.de/10010835723

Measuring the Intertemporal Elasticity of Substitution for Consumption: Some Evidence from Japan

Noda, Akihiko; Sugiyama, Shunsuke - In: Economics Bulletin 30 (2010) 1, pp. 524-533

.2 to 0.5 when we use quarterly consumption data and the Continuous Updating Estimator (CUE). We find that the IES is weakly …

Persistent link: https://www.econbiz.de/10008563119

Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model

Todd, Prono - Volkswirtschaftliche Fakultät, … - 2009

IV estimators with an instrument vector composed only of past squared residuals, while applicable to the semi-strong ARCH(1) model, do not extend to the semi-strong GARCH(1,1) case because of underidentification. Augmenting the instrument vector with past residuals, however, renders traditional...

Persistent link: https://www.econbiz.de/10009147566

GMM with Many Weak Moment Conditions

Newey, Whitney K.; Windmeijer, Frank - 2008

Using many moment conditions can improve efficiency but makes the usual generalized method of moments (GMM) inferences inaccurate. Two-step GMM is biased. Generalized empirical likelihood (GEL) has smaller bias, but the usual standard errors are too small in instrumental variable settings. In...

Persistent link: https://www.econbiz.de/10009479997

GMM with many weak moment conditions

Newey, Whitney K.; Windmeijer, Frank - 2005

Using many moment conditions can improve efficiency but makes the usual GMM inferences inaccurate. Two step GMM is biased. Generalized empirical likelihood (GEL) has smaller bias but the usual standard errors are too small. In this paper we use alternative asymptotics, based on many weak moment...

Persistent link: https://www.econbiz.de/10010318519

GMM with many weak moment conditions

Newey, Whitney; Windmeijer, Frank - Centre for Microdata Methods and Practice (CEMMAP) - 2005

asymptotically more eﬃcient under many weak moments. JEL Classification: C12, C13, C23 Keywords: GMM, Continuous Updating, Many … conditions for consistency and a limiting distribution when a general weight matrix is used for the continuous updating estimator …) limiting distribution of the continuous updating estimator (CUE). This derivation corresponds to sequential asymptotics, where …

Persistent link: https://www.econbiz.de/10005727673

Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures and Instrumental Variables

Ramalho, Joaquim - Departamento de Economia, Universidade de Évora - 2003

estimator, namely the continuous-updating, exponential tilting, and empirical likelihood estimators. Analytical and bootstrap …

Persistent link: https://www.econbiz.de/10005398690