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  • Search: subject:"nuisance parameters"
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Year of publication
Subject
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nuisance parameters 35 Estimation theory 18 Schätztheorie 18 Nuisance parameters 16 Statistical test 9 Statistischer Test 9 CAPM 8 Monte Carlo test 7 bootstrap 7 exact test 7 multivariate linear regression 7 uniform linear hypothesis 7 Bootstrap 6 GARCH 6 mean-variance efficiency 6 Bootstrap approach 5 Bootstrap-Verfahren 5 Simulation 5 capital asset pricing model 5 non-normality 5 panel data 5 Fieller 4 Monte Carlo simulation 4 Monte-Carlo-Simulation 4 Time series analysis 4 Zeitreihenanalyse 4 diagnostics 4 specification test 4 variance ratio test 4 ARCH model 3 ARCH models 3 ARCH-Modell 3 Black 3 Estimation 3 Forecasting model 3 Portfolio selection 3 Portfolio-Management 3 Prognoseverfahren 3 Regression analysis 3 Regressionsanalyse 3
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Online availability
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Free 38 Undetermined 16
Type of publication
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Book / Working Paper 40 Article 19
Type of publication (narrower categories)
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Working Paper 16 Arbeitspapier 13 Graue Literatur 13 Non-commercial literature 13 Article in journal 7 Aufsatz in Zeitschrift 7 Thesis 1
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Language
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English 33 Undetermined 23 French 2 Italian 1
Author
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Beaulieu, Marie-Claude 6 Dufour, Jean-Marie 6 Khalaf, Lynda 5 Sriananthakumar, Sivagowry 5 Greb, Friederike 3 King, Maxwell L. 3 Krivobokova, Tatyana 3 Munk, Axel 3 Weimann, Boris 3 BEAULIEU, Marie-Claude 2 Barendse, Sander 2 Brien, Samuel 2 Cavaliere, Giuseppe 2 Cramon-Taubadel, Stephan von 2 DUFOUR, Jean-Marie 2 Guntermann, Karl L. 2 Jansson, Michael 2 KHALAF, Lynda 2 Moon, Hyungsik Roger 2 Nielsen, Morten Ørregaard 2 Nowak, Adam 2 Otranto, Edoardo 2 Pakel, Cavit 2 Patton, Andrew J. 2 Phillips, Peter C.B. 2 Rahbek, Anders 2 Shephard, Neil 2 Sheppard, Kevin 2 Alon, Alicia Pérez 1 Becker, Ralf 1 Belloni, Alexandre 1 Bhowmik, Jahar L. 1 Bohn Nielsen, Heino 1 Cao, Jiguo 1 Chaudhuri, Saraswata 1 Chernozhukov, Victor 1 Clarke, B. 1 Demos, Guilherme 1 Dijk, D.J.C. van 1 Díaz-Francés, Eloísa 1
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Institution
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 3 Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) 2 Cowles Foundation for Research in Economics, Yale University 2 Department of Econometrics and Business Statistics, Monash Business School 2 Courant Research Centre PEG 1 Department of Economics and Business, Universitat Pompeu Fabra 1 Department of Economics, College of Business and Economics 1 Dipartimento del Tesoro, Ministero dell'Economia e delle Finanze 1 Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze 1 Economics Group, Nuffield College, University of Oxford 1 Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Finance Discipline Group, Business School 1 Finance Research Centre, Oxford University 1 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 Instituto Valenciano de Investigaciones Económicas (IVIE) 1 Society for Computational Economics - SCE 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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Annals of the Institute of Statistical Mathematics 3 CIRANO Working Papers 3 Statistical Papers / Springer 3 Cahiers de recherche 2 Computational Statistics & Data Analysis 2 Cowles Foundation Discussion Papers 2 Economic modelling 2 Monash Econometrics and Business Statistics Working Papers 2 The review of economic studies 2 Cahier 1 Cahier scientifique 1 Computational Statistics 1 Computing in Economics and Finance 2002 1 Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 1 Department of Economics discussion paper series / University of Oxford 1 Discussion Papers 1 Discussion papers / Courant Research Centre "Poverty, Equity and Growth in Developing and Transition Countries: Statistical Methods and Empirical Analysis" 1 Discussion papers / Department of Economics, University of Copenhagen 1 Econometric Institute Report 1 Econometric Institute Research Papers 1 Econometrics Journal 1 Econometrics Working Papers Archive 1 Economic Modelling 1 Economics Papers / Economics Group, Nuffield College, University of Oxford 1 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of econometrics 1 Journal of economic dynamics & control 1 MPRA Paper 1 OFRC Working Papers Series 1 Queen's Economics Department working paper 1 Queen’s Economics Department Working Paper 1 Research Paper Series / Finance Discipline Group, Business School 1 Research paper series / Swiss Finance Institute 1 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 1 Technical Report 1 Technical Reports / Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 1 Warwick economic research papers 1 Working Papers / Department of Economics, College of Business and Economics 1
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Source
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RePEc 35 ECONIS (ZBW) 20 EconStor 3 BASE 1
Showing 21 - 30 of 59
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Identification-robust estimation and testing of the zero-beta CAPM
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2011
We propose exact simulation-based procedures for: (i) testing mean-variance efficiency when the zero-beta rate is unknown, and (ii) building confidence intervals for the zero-beta rate. On observing that this parameter may be weakly identified, we propose LR-type statistics as well as...
Persistent link: https://www.econbiz.de/10008835415
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Modified profile likelihood inference and interval forecast of the burst of financial bubbles
Filimonov, Vladimir; Demos, Guilherme; Heinimann, Hans … - 2016
impact of the other nonlinear (so-called "nuisance") parameters for the correct adjustment of the uncertainty on t …. As a bonus, the interval estimations can also be obtained for the nuisance parameters (m,w, damping), which can be used …
Persistent link: https://www.econbiz.de/10011514498
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Nuisance parameters, composite likelihoods and a panel of GARCH models
Pakel, Cavit; Shephard, Neil; Sheppard, Kevin - Economics Group, Nuffield College, University of Oxford - 2009
of a GARCH panel with time series length T is that, while nuisance parameters are allowed to vary across N_T series …
Persistent link: https://www.econbiz.de/10008469672
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Approximate Non-Similar critical values based tests vs Maximized Monte Carlo tests
Sriananthakumar, Sivagowry - In: Economic modelling 49 (2015), pp. 387-394
Persistent link: https://www.econbiz.de/10011439597
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Fixed versus Mixed Parameterization in Logistic Regression Models: Application to Meta-Analysis
Weng, Chin-Fang - 2008
Three methods: fixed intercept generalized model (GLM), random intercept generalized mixed model (GLMM), and conditional logistic regression (clogit) are compared in a meta-analysis of 43 studies assessing the effect of diet on cancer incidence in rats. We also perform simulation studies to...
Persistent link: https://www.econbiz.de/10009450896
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Simultaneous confidence intervals for ratios of means of several lognormal distributions: A parametric bootstrap approach
Sadooghi-Alvandi, S.M.; Malekzadeh, A. - In: Computational Statistics & Data Analysis 69 (2014) C, pp. 133-140
For constructing simultaneous confidence intervals for the ratios of means of several lognormal distributions, we propose a new parametric bootstrap method, which is different from an inaccurate parametric bootstrap method previously considered in the literature. Our proposed method is...
Persistent link: https://www.econbiz.de/10010709957
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Inference on treatment effects after selection among high-dimensional controls
Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - In: The review of economic studies 81 (2014) 2, pp. 608-650
Persistent link: https://www.econbiz.de/10010485099
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Testing linear regression model with AR(1) errors against a first-order dynamic linear regression model with white noise errors: A point optimal testing approach
Sriananthakumar, Sivagowry - In: Economic Modelling 33 (2013) C, pp. 126-136
presence of unavoidable nuisance parameters. Because marginal likelihood based tests are said to perform well in the presence … of unavoidable nuisance parameters, this paper compares the performance of marginal likelihood based APO tests and …
Persistent link: https://www.econbiz.de/10010737998
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A numerical investigation of the accuracy of parametric bootstrap for discrete data
Lloyd, Chris J. - In: Computational Statistics & Data Analysis 61 (2013) C, pp. 1-6
bootstrap tests use an exact calculation of the P-value, assuming nuisance parameters equal their null maximum likelihood …
Persistent link: https://www.econbiz.de/10011056497
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Testing linear regression model with AR(1) errors against a first-order dynamic linear regression model with white noise errors : a point optimal testing approach
Sriananthakumar, Sivagowry - In: Economic modelling 33 (2013), pp. 126-136
Persistent link: https://www.econbiz.de/10010192022
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