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  • Search: subject:"k-step bootstrap"
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Year of publication
Subject
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k-step bootstrap 8 Edgeworth expansion 6 Newton-Raphson method 5 maximum pseudo-likelihood estimators 5 nested fixed point algorithm 5 policy iteration 5 Asymptotics 3 Gauss-Newton 3 Newton-Raphson 3 maximum likelihood estimator 3 parametric bootstrap 3 t statistic 3 block bootstrap 2 extremum estimator 2 generalized method of moments estimator 2 Bias Correction 1 Fixed effects Estimator 1 Incidental Parameters Problem 1 Nonlinear Panel Data Models 1 Physical Sciences and Mathematics 1 Social and Behavioral Sciences 1 higher-order efficiency 1 k-step Bootstrap 1 test of over-identifying 1 test of over-identifying restrictions 1
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Online availability
All
Free 8
Type of publication
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Book / Working Paper 8 Other 1
Type of publication (narrower categories)
All
Working Paper 2
Language
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English 6 Undetermined 3
Author
All
Shimotsu, Katsumi 5 Kasahara, Hiroyuki 4 Andrews, Donald W.K. 3 Kasahara, Hiroyuko 1 Kim, Min Seong 1 Sun, Yixiao 1
Institution
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Cowles Foundation for Research in Economics, Yale University 3 Department of Economics, University of California-San Diego (UCSD) 1 Economics Department, Queen's University 1 University of Western Ontario, Department of Economics 1
Published in...
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Cowles Foundation Discussion Papers 3 Queen's Economics Department Working Paper 1 Research Report 1 UWO Department of Economics Working Papers 1 University of California at San Diego, Economics Working Paper Series 1 Working Papers / Economics Department, Queen's University 1
Source
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RePEc 6 EconStor 2 BASE 1
Showing 1 - 9 of 9
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k-step Bootstrap Bias Correction for Fixed Effects Estimators in Nonlinear Panel Models
Sun, Yixiao; Kim, Min Seong - Department of Economics, University of California-San … - 2009
computational cost of implementing the standard bootstrap. We also apply the standard and k-step bootstrap bias correction to … simulations show that the k-step bootstrap bias corrected estimator reduces the bias remarkably well in finite samples. …
Persistent link: https://www.econbiz.de/10010817506
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Nested pseudo-likelihood estimation and bootstrap-based inference for structural discrete Markov decision models
Kasahara, Hiroyuki; Shimotsu, Katsumi - 2006
This paper analyzes the higher-order properties of nested pseudo-likelihood (NPL) estimators and their practical implementation for parametric discrete Markov decision models in which the probability distribution is defined as a fixed point. We propose a new NPL estimator that can achieve...
Persistent link: https://www.econbiz.de/10010292031
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Nested Pseudo-likelihood Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models
Kasahara, Hiroyuki; Shimotsu, Katsumi - 2006
This paper analyzes the higher-order properties of nested pseudo-likelihood (NPL) estimators and their practical implementation for parametric discrete Markov decision models in which the probability distribution is defined as a fixed point. We propose a new NPL estimator that can achieve...
Persistent link: https://www.econbiz.de/10011940681
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Nested Pseudo-likelihood Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models
Kasahara, Hiroyuki; Shimotsu, Katsumi - University of Western Ontario, Department of Economics - 2006
This paper analyzes the higher-order properties of nested pseudo-likelihood (NPL) estimators and their practical implementation for parametric discrete Markov decision models in which the probability distribution is defined as a fixed point. We propose a new NPL estimator that can achieve...
Persistent link: https://www.econbiz.de/10005515517
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Nested Pseudo-likelihood Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models
Kasahara, Hiroyuki; Shimotsu, Katsumi - Economics Department, Queen's University - 2006
This paper analyzes the higher-order properties of nested pseudo-likelihood (NPL) estimators and their practical implementation for parametric discrete Markov decision models in which the probability distribution is defined as a fixed point. We propose a new NPL estimator that can achieve...
Persistent link: https://www.econbiz.de/10005688568
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Higher-order Improvements of the Parametric Bootstrap for Markov Processes
Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 2001
Markov processes. The k-step bootstrap confidence intervals are computationally attractive. They circumvent the need to …
Persistent link: https://www.econbiz.de/10005093948
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Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators
Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1999
This paper establishes the higher-order equivalence of the k-step bootstrap, introduced recently by Davidson and … MacKinnon (1999a), and the standard bootstrap. The k-step bootstrap is a very attractive alternative computationally to the …-order improvements of the standard bootstrap and the k-step bootstrap for extremum estimators (compared to procedures based on first …
Persistent link: https://www.econbiz.de/10005593243
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Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators
Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1999
This paper establishes the higher-order equivalence of the k-step bootstrap, introduced recently by Davidson and … MacKinnon (1999a), and the standard bootstrap. The k-step bootstrap is a very attractive alternative computationally to the …-order improvements of the standard bootstrap and the k-step bootstrap for extremum estimators (compared to procedures based on first …
Persistent link: https://www.econbiz.de/10005593591
Saved in:
Cover Image
Nested Pseudo-likelihood Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models
Kasahara, Hiroyuko; Shimotsu, Katsumi - 2006
This paper analyzes the higher-order properties of nested pseudo-likelihood (NPL) estimators and their practical implementation for parametric discrete Markov decision models in which the probability distribution is defined as a fixed point. We propose a new NPL estimator that can achieve...
Persistent link: https://www.econbiz.de/10009447208
Saved in:
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