Search Results - subject:"efficient estimation"

Weighted least squares estimators in possibly misspecified nonlinear regression

Müller, Ursula - In: Metrika 66 (2007) 1, pp. 39-59

Persistent link: https://www.econbiz.de/10005602809

Stochastic Panel Frontiers : A Semiparametric Approach

PARK, Byeong U.; SICKLES, Robin C.; SIMAR, Léopold - Center for Operations Research and Econometrics (CORE), … - 1996

generalizes Park and Simar (1994) by examining the semiparametric efficient estimation of panel models in which the random effects … address this dependency structure are inconsistent. We examine semiparametric efficient estimation for three different models …

Persistent link: https://www.econbiz.de/10005043052

Targeted Maximum Likelihood Learning

Laan, Mark van der; Rubin, Daniel - In: International Journal of Biostatistics 2 (2006) 1, pp. 1043-1043

Suppose one observes a sample of independent and identically distributed observations from a particular data generating distribution. Suppose that one is concerned with estimation of a particular pathwise differentiable Euclidean parameter. A substitution estimator evaluating the parameter of a...

Persistent link: https://www.econbiz.de/10005585154

Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity

Moon, Hyungsik Roger; Perron, Benoit - In: Econometric Reviews 23 (2005) 4, pp. 293-323

This paper studies the efficient estimation of seemingly unrelated linear models with integrated regressors and …

Persistent link: https://www.econbiz.de/10009279884

Stochastic Frontiers : A Semiparametric Approach

PARK, Byeong; SICKLES, Robin; SIMAR, Léopold - Center for Operations Research and Econometrics (CORE), … - 1993

This paper generalizes the results of Hausman and Taylor (1981), Schmidt and Sickles (1984), Cornwell, Schmidt and Sickles (1990) and Park and Simar (1992) to the efficient IV estimation of panel models in which the random effects are correlated with a subset of the regressors. The model in...

Persistent link: https://www.econbiz.de/10005042835

Efficient semiparametric estimation in stochastic frontier model

PARK, Byeong; SIMAR, Léopold - Center for Operations Research and Econometrics (CORE), … - 1992

This paper considers the semiparametric stochastic frontier model with panel data which arises in the problem of measuring technical inefficiency in production processes. We assume a parametric form for the frontier function, which is linear in production inputs. The density of the individual...

Persistent link: https://www.econbiz.de/10005008376

On efficiency of estimation and testing with data quantized to fixed number of cells

Mayoral, A.; Morales, D.; Morales, J.; Vajda, I. - In: Metrika 57 (2003) 1, pp. 1-27

In continuous parametrized models with i.i.d. observations we consider finite quantizations. We study asymptotic properties of the estimators minimizing disparity between the observed and expected frequencies in the quantization cells, and asymptotic properties of the goodness of fit tests...

Persistent link: https://www.econbiz.de/10010995082

Estimating Joint Distributions of Markov Chains

Schick, Anton; Wefelmeyer, Wolfgang - In: Statistical Inference for Stochastic Processes 5 (2002) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10005616048

Adaptive Estimation of the Dynamic Linear Model with Fixed Effects

Woutersen, Tiemen; Voia, Marcel - University of Western Ontario, Department of Economics - 2002

This paper shows how the dynamic linear model with fixed regressors can be efficiently estimated. This dynamic model can be used to distinguish spurious correlation from state dependence and we show that the integrated likelihood estimator is adaptive for any asymptotics with T increasing where...

Persistent link: https://www.econbiz.de/10005212385

Efficient Inference in Multivariate Fractionally Integrated Time Series Models

Nielsen, Morten Oerregaard - School of Economics and Management, University of Aarhus

power for samples as small as n = 100. JEL Classification:C32 Keywords:AsymptoticLocalPower;Eﬃcient Estimation; Eﬃcient Test … likelihood procedure for multivariate fractionally integrated time series models is introduced. This allows, e.g., eﬃcient … estimation of the memory parameters of fractional models or eﬃcient testing of the hypothesis that two or more series are …

Persistent link: https://www.econbiz.de/10005787495