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A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables

Keane, Michael P.; Sauer, Robert M. - 2009

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …

Persistent link: https://www.econbiz.de/10010271244

Bierens' and Johansen's method: Complements or substitutes?

Wagner, Martin - 1999

The paper compares the cointegration methods of Johansen and Bierens by means of simulations and a real world example. Drawing on the fact developed in a companion paper that the Johansen procedure has robustness properties against ARMA systems and the Bierens procedure is designed for ARMA...

Persistent link: https://www.econbiz.de/10010291926

Consistent estimation, model selection and averaging of dynamic panel data models with fixed effect

Li, Guangjie - 2009

In the context of an autoregressive panel data model with fixed effect, we examine the relationship between consistent parameter estimation and consistent model selection. Consistency in parameter estimation is achieved by using the tansformation of the fixed effect proposed by Lancaster (2002)....

Persistent link: https://www.econbiz.de/10010288764

Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - 1999

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

Persistent link: https://www.econbiz.de/10010324653

Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall

Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - 2012

beta errors. Furthermore, some new market risk validation models are introduced. In the end, a simulation with various …

Persistent link: https://www.econbiz.de/10010309829

VAR cointegration in VARMA models

Wagner, Martin - 1999

derive their implications for the structure theory of cointegration. Specifically we show that the cointegrating space is … examined through a small simulation study. …

Persistent link: https://www.econbiz.de/10010333070

Two-Stage Sampling from a Prediction Point of View

Bjørnstad, Jan F.; Ytterstad, Elinor - 2004

simulation study. Roughly, the simulation study indicates that for large sample sizes the coverage measures achieve approximately …

Persistent link: https://www.econbiz.de/10011968153

Bootstrap methods for inference in the Parks model

Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - 2019

This paper shows how to bootstrap hypothesis tests in the context of the Parks (Efficient estimation of a system of regression equations when disturbances are both serially and contemporaneously correlated 1967) estimator. It then demonstrates that the bootstrap outperforms Parks's top...

Persistent link: https://www.econbiz.de/10012020272

Bootstrap methods for inference in the Parks model

Moundigbaye, Mantobaye; Messemer, Clarisse; Parks, … - In: Economics: The Open-Access, Open-Assessment E-Journal 14 (2020) 2020-4, pp. 1-18

This paper shows how to bootstrap hypothesis tests in the context of the Parks's (1967) Feasible Generalized Least Squares estimator. It then demonstrates that the bootstrap outperforms FGLS(Parks)'s top competitor. The FGLS(Parks) estimator has been a workhorse for the analysis of panel data...

Persistent link: https://www.econbiz.de/10012160886

Solving, estimating and selecting nonlinear dynamic models without the curse of dimensionality

Winschel, Viktor; Krätzig, Markus - 2008

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...

Persistent link: https://www.econbiz.de/10010263720