Search Results - subject:"sampling distribution"

Estimation with Inequality Constraints on Parameters and Truncation of the Sampling Distribution.

Barnett, William; Seck, Ousmane - Department of Economics, University of Kansas - 2009

Estimation with Inequality Constraints on Parameters and Truncation of the Sampling Distribution William A …. Keywords and Key Phrases: Asymptotics, truncated sampling distribution, nonidentified sign, inequality constraints, bootstrap … compromised. The sampling distribution of the estimator, with and without inequality constraint, is displayed in figure 1. To …

Persistent link: https://www.econbiz.de/10004961242

The empirical saddlepoint likelihood estimator applied to two-step GMM

Sowell, Fallaw - Volkswirtschaftliche Fakultät, … - 2009

The empirical saddlepoint likelihood (ESPL) estimator is introduced. The ESPL provides improvement over one-step GMM estimators by including additional terms to automatically reduce higher order bias. The first order sampling properties are shown to be equivalent to efficient two-step GMM. New...

Persistent link: https://www.econbiz.de/10005668393

Higher-order improvements of the sieve bootstrap for fractionally integrated processes

Poskitt, Donald Stephen; Grose, Simone D.; Martin, Gael M. - In: Journal of econometrics 188 (2015) 1, pp. 94-110

Persistent link: https://www.econbiz.de/10011500263

Estimation with inequality constraints on the parameters: dealing with truncation of the sampling distribution.

Barnett, William A.; Seck, Ousmane - Volkswirtschaftliche Fakultät, … - 2008

Theoretical constraints on economic-model parameters often are in the form of inequality restrictions. For example, many theoretical results are in the form of monotonicity or nonnegativity restrictions. Inequality constraints can truncate sampling distributions of parameter estimators, so that...

Persistent link: https://www.econbiz.de/10004961522

Pulling econometrics students up by their bootstraps

O'Hara, Michael E. - In: The journal of economic education 45 (2014) 2, pp. 121-130

Persistent link: https://www.econbiz.de/10010490643

The Empirical Saddlepoint Approximation for GMM Estimators

Sowell, Fallaw B - 2007

The empirical saddlepoint distribution provides an approximation to the sampling distributions for the GMM parameter estimates and the statistics that test the overidentifying restrictions. The empirical saddlepoint distribution permits asymmetry, non-normal tails, and multiple modes. If...

Persistent link: https://www.econbiz.de/10009441150

An Evaluation of the World Economic Outlook Forecasts

Timmermann, Allan - International Monetary Fund (IMF) - 2006

The World Economic Outlook (WEO) is a key source of forecasts of global economic conditions. It is therefore important to review the performance of these forecasts against both actual outcomes and alternative forecasts. This paper conducts a series of statistical tests to evaluate the quality of...

Persistent link: https://www.econbiz.de/10005769333

The Empirical Saddlepoint Approximation for GMM Estimators

Sowell, Fallaw - Volkswirtschaftliche Fakultät, … - 2006

Persistent link: https://www.econbiz.de/10005622177

Correlation between variables subject to an order restriction, with application to scientometric indices

García-Pérez, Miguel A.; Núñez-Antón, Vicente - In: Journal of Informetrics 7 (2013) 2, pp. 542-554

Variables subject to an order restriction, for instance Y≤X, have a bivariate distribution over a non-rectangular joint domain that entails a non-null and potentially large structural relation even if the variables show no association (in the sense that particular ranges of values of X do not...

Persistent link: https://www.econbiz.de/10011039489

Growth Empirics Under Model Uncertainty; Is Africa Different?

Tsangarides, Charalambos G. - International Monetary Fund (IMF) - 2005

This paper attempts to identify robust patterns of cross-country growth behavior in the world as a whole and Africa. It employs a novel methodology that incorporates a dynamic panel estimator, and Bayesian Model Averaging to explicitly account for model uncertainty. The findings indicate that:...

Persistent link: https://www.econbiz.de/10005264072