Showing 1 - 10 of 51
One of the most common practical problems in statistics and econometrics is the estimation of linear regression models with heteroscedastic errors. This article reports the results of a Monte Carlo comparison of various parametric and semiparametric estimated generalized least squares (EGLS)...
Persistent link: https://www.econbiz.de/10005532513
This paper considers nonparametric kernel estimation of models with generated regressors and derives the asymptotic distribution of the resulting estimators. It is also shown how generated regressors may be used to reduce the dimensionality of certain nonparametric models. A labor supply...
Persistent link: https://www.econbiz.de/10005400555
Persistent link: https://www.econbiz.de/10005411932
A simple saddlepoint (SP) approximation for the distribution of generalized empirical likelihood (GEL) estimators is derived. Simulations compare the performance of the SP and other methods such as the Edgeworth and the bootstrap for special cases of GEL: continuous updating, empirical...
Persistent link: https://www.econbiz.de/10011241332
Incorrect specification of the hazard rate in duration analysis can produce inconsistent estimators of the parameters of the model. We propose a new estimator for discrete duration models in which the hazard rate is comprised of an inner index function of the covariates and time variable and an...
Persistent link: https://www.econbiz.de/10011040004
Persistent link: https://www.econbiz.de/10006749142
Persistent link: https://www.econbiz.de/10006786625
Persistent link: https://www.econbiz.de/10006789280
Persistent link: https://www.econbiz.de/10006796236
Persistent link: https://www.econbiz.de/10006805305