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  • Search: subject:"post-selection estimators"
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Year of publication
Subject
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Focused Information Criterion 3 GMM estimation 3 Model averaging 3 Moment selection 3 Monte Carlo simulations 3 Post-selection estimators 3 WALS 3 adaptive lasso 3 confidence intervals 3 frequentist model averaging 3 post-selection estimators 3 prediction intervals 3 Estimation theory 2 Forecasting model 2 Linear model 2 Monte Carlo simulation 2 Monte-Carlo-Simulation 2 Prognoseverfahren 2 Schätztheorie 2 Bayes-Statistik 1 Bayesian inference 1 Method of moments 1 Modellierung 1 Momentenmethode 1 Scientific modelling 1 Theorie 1 Theory 1
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Online availability
All
Free 3 Undetermined 1
Type of publication
All
Book / Working Paper 5 Article 1
Type of publication (narrower categories)
All
Working Paper 3 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
English 4 Undetermined 2
Author
All
De Luca, Giuseppe 3 DiTraglia, Francis J. 3 Magnus, Jan R. 3 Peracchi, Franco 3
Institution
All
Department of Economics, University of Pennsylvania 2
Published in...
All
PIER Working Paper Archive 2 Discussion paper / Tinbergen Institute 1 EIEF working paper 1 Journal of econometrics 1 Tinbergen Institute Discussion Paper 1
Source
All
ECONIS (ZBW) 3 RePEc 2 EconStor 1
Showing 1 - 6 of 6
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Weighted-average least squares (WALS): Confidence and prediction intervals
De Luca, Giuseppe; Magnus, Jan R.; Peracchi, Franco - 2021
(with all auxiliary regressors) and the restricted least-squares estimator (with no auxiliary regressors), two post-selection … estimators based on alternative model selection criteria (the Akaike and Bayesian information criteria), various versions of …
Persistent link: https://www.econbiz.de/10012606004
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Cover Image
Weighted-average least squares (WALS) : confidence and prediction intervals
De Luca, Giuseppe; Magnus, Jan R.; Peracchi, Franco - 2021
(with all auxiliary regressors) and the restricted least-squares estimator (with no auxiliary regressors), two post-selection … estimators based on alternative model selection criteria (the Akaike and Bayesian information criteria), various versions of …
Persistent link: https://www.econbiz.de/10012510747
Saved in:
Cover Image
Weighted-average least squares (WALS) : confidence and prediction intervals
De Luca, Giuseppe; Magnus, Jan R.; Peracchi, Franco - 2021
Persistent link: https://www.econbiz.de/10013171749
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Cover Image
Using invalid instruments on purpose : focused moment selection and averaging for GMM
DiTraglia, Francis J. - In: Journal of econometrics 195 (2016) 2, pp. 187-208
Persistent link: https://www.econbiz.de/10011705249
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Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version
DiTraglia, Francis J. - Department of Economics, University of Pennsylvania - 2011
how the framework used to derive the FMSC can address the problem of inference post-moment selection. Treating post-selection … estimators as a special case of moment-averaging, in which estimators based on different moment sets are given data …
Persistent link: https://www.econbiz.de/10011096593
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Cover Image
Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM
DiTraglia, Francis J. - Department of Economics, University of Pennsylvania - 2011
how the framework used to derive the FMSC can address the problem of inference post-moment selection. Treating post-selection … estimators as a special case of moment-averaging, in which estimators based on different moment sets are given data …
Persistent link: https://www.econbiz.de/10010970515
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