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

An alternative two-step generalized method of moments estimator based on a reduced form model

Kim, Doosoo - In: Economics letters 192 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012508715

Asymptotic F tests under possibly weak identification

Martínez-Iriarte, Julián; Sun, Yixiao; Wang, Xuexin - In: Journal of econometrics 218 (2020) 1, pp. 140-177

Persistent link: https://www.econbiz.de/10012482936

Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework

Zhang, Xianyang - In: Journal of econometrics 193 (2016) 1, pp. 123-146

Persistent link: https://www.econbiz.de/10011704780

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