Search Results - subject:"inequality constraints"

Bayesian test on equality of score parameters in the order restricted RC association model

Oh, Man-Suk - In: Computational Statistics & Data Analysis 72 (2014) C, pp. 147-157

In the RC association model for a two-way contingency table, it is often natural to impose order constraints on the score parameters of the row and column variables. In this article, a simple and efficient Bayesian model selection procedure is proposed that simultaneously compares all possible...

Persistent link: https://www.econbiz.de/10010730226

Non-negativity conditions for the hyperbolic GARCH model

Conrad, Christian - 2007

p > 2 and emerge as natural extensions of the inequality constraints derived in Nelson and Cao (1992) for the GARCH …

Persistent link: https://www.econbiz.de/10010277770

Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks

Fiorentini, Gabriele; Calzolari, Giorgio; Sentana, Enrique - Rimini Centre for Economic Analysis (RCEA) - 2007

inequality constraints on the auxiliary model parameters. We also propose alternative indirect estimators for large-scale models …

Persistent link: https://www.econbiz.de/10005091109

Non-negativity Conditions for the Hyperbolic GARCH Model

Conrad, Christian - KOF Swiss Economic Institute, Department of Management, … - 2007

> 2 and emerge as natural extensions of the inequality constraints derived in Nelson and Cao (1992) for the GARCH model …

Persistent link: https://www.econbiz.de/10005731526

Inequality Constraints in Recursive Economies

Rendahl, Pontus - Department of Economics, European University Institute - 2006

Dynamic models with inequality constraints pose a challenging problem for two major reasons: Dynamic Programming … inequality constraints may bind. As a corollary, convergence of an iterative procedure on the Euler equation, usually referred to …; dynamic economic problems with inequality constraints can be solved reliably and extremely efficiently by exploiting the …

Persistent link: https://www.econbiz.de/10005816405

Hypothesis testing in a generic nesting framework for general distributions

Martín, N.; Balakrishnan, N. - In: Journal of Multivariate Analysis 118 (2013) C, pp. 1-23

as a special case. The existing literature on hypothesis testing under inequality constraints, based on phi … inequality constraints and general distributions for either single or multiple populations. …

Persistent link: https://www.econbiz.de/10011041941

Maximum likelihood estimation for ordered expectations of correlated binary variables

Gamrot, Wojciech - In: Statistical Papers 54 (2013) 3, pp. 727-739

A multivariate binary distribution that incorporates the correlation between individual variables is considered. The availability of auxiliary information taking the form of simple ordering constraints on their expected values is assumed. The problem of constructing constraint-preserving...

Persistent link: https://www.econbiz.de/10010680671

A Bayesian approach to imposing curvature on distance functions

O'Donnell, Christopher J.; Coelli, Timothy J. - 2005

The estimated parameters of output distance functions frequently violate the monotonicity, quasi-convexity and convexity constraints implied by economic theory, leading to estimated elasticities and shadow prices that are incorrectly signed, and ultimately to perverse conclusions concerning the...

Persistent link: https://www.econbiz.de/10009479528

Velocity Volatility Assessment of Monetary Shocks on Cash-in-Advance Economies

Cao-Alvira, José - In: Computational Economics 40 (2012) 3, pp. 293-311

A projection method employing finite elements and a parameterized expectations algorithm is proposed for the global approximation of the equilibrium of a cash-in-advance model economy. The algorithm is shown to be accurate and efficient approximating highly nonlinear regions of the policy...

Persistent link: https://www.econbiz.de/10010866825

Improved power of one-sided tests

Meyer, Mary C.; Wang, Jianqiang C. - In: Statistics & Probability Letters 82 (2012) 8, pp. 1619-1622

regression function, in the form of a set of linear inequality constraints imposed on the parameters. It is generally understood …

Persistent link: https://www.econbiz.de/10010597167