Showing 1 - 10 of 25
The method of simulated scores (MSS) is presented for estimating LDV models with flexible correlation structure in the unobservables. We propose simulators that are continuous in the unknown parameter vectors, and hence standard optimization methods can be used to compute the MSS estimators that...
Persistent link: https://www.econbiz.de/10005087402
An extensive literature in econometrics and in numerical analysis has considered the problem of evaluating the multiple integral P({bold B};mu,Omega) = integral_{a}^{b} n(v - mu, Omega)dv = E_{V}{bold 1}(V in {bold B}), where V is a m-dimensional normal vector with mean mu, covariance matrix ,...
Persistent link: https://www.econbiz.de/10005634724
Persistent link: https://www.econbiz.de/10005762857
This paper is concerned with quantitative methods for the analysis of travel behaviour of individuals. It reviews some of the recent developments in model specification, estimation, model evaluation and testing, and aggregation and forecasting. Topics in model specification include the...
Persistent link: https://www.econbiz.de/10005249176
The nonparametric censored regression model is y = max[c, m(x) + e], where both the regression function m(x) and the distribution of the error e are unknown, but the fixed censoring point c is known. This paper provides a simple consistent estimator of the derivative of m(x) with respect to each...
Persistent link: https://www.econbiz.de/10005593534
We propose a nonparametric empirical distribution function based test of an hypothesis of conditional independence between variables of interest. This hypothesis is of interest both for model specification purposes, parametric and semiparametric, and for non-model based testing of economic...
Persistent link: https://www.econbiz.de/10005464056
This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and Anderson, Ge, and Leo (2006) based on kernel estimation techniques. We give the asymptotic distribution theory of our estimator, which in some cases is nonstandard due to a boundary...
Persistent link: https://www.econbiz.de/10005011841
We propose a new method of testing stochastic dominance that improves on existing tests based on the standard bootstrap or subsampling. The method admits prospects involving infinite as well as finite dimensional unknown parameters, so that the variables are allowed to be residuals from...
Persistent link: https://www.econbiz.de/10005011842
Existing specification tests for conditional heteroskedasticity are derived under the assumption that the density of the innovation, or standardized error, is Gaussian, despite the fact that many recent empirical studies provide evidence that this density is not Gaussian. We obtain specification...
Persistent link: https://www.econbiz.de/10005087404
We provide an asymptotic distribution theory for a class of Generalized Method of Moments estimators that arise in the study of differentiated product markets when the number of observations is associated with the number of products within a given market. We allow for three sources of error: the...
Persistent link: https://www.econbiz.de/10005593173