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Heteroscedastic Analysis in Nonlinear Modeling

Louangrath, Paul - 2013

In order to discuss nonlinear, it is necessary to know linear regressive as a priori. Without simple regression as the starting point, it would be difficult to understand nonlinear regression. In words, in order to understand the curve and the behavior of a curve, it is necessary to known a...

Persistent link: https://www.econbiz.de/10013076070

Effects of Multicollinearity on the Estimation of Macroeconomic Variables by Using Data from Sudan

Mohamed, Issam A.W - 2011

The problem of multicollinearity in the assessments of coefficients is well established. However, it is rarely researched in the estimations of macroeconomic variables and economic performance of developing countries. Predicatively, it has impacts on the estimations of coefficients that should...

Persistent link: https://www.econbiz.de/10014179444

A Classical Problem in Linear Regression or How to Estimate the Mean of a Univariate Normal Distribution with Known Variance

Magnus, J.R; Durbin, J. - 1998

The problem considered is the estimation of "k" coefficients of interest in a linear regression model when the (k+1)st coefficient is of no interest. It is shown that this problem is equivalent to the problem of estimating the unknown mean of a univariate normal distribution with variance one...

Persistent link: https://www.econbiz.de/10014075871

Generalizations of James-Stein Estimators Under Spherical Symmetry

Brandwein, Ann Cohen; Strawderman, William - 2013

This paper is primarily concerned with extending the results of Stein to spherically symmetric distributions. Specifically, when X ∼f(||X - θ||2), we investigate conditions under which estimators of the form X ag(X) dominate X for loss functions ||δ- θ||2 and loss functions which are...

Persistent link: https://www.econbiz.de/10014056222

Indirect inference estimation of spatial autoregressions

Bao, Yong; Liu, Xiaotian; Yang, Lihong - In: Econometrics : open access journal 8 (2020) 3/34, pp. 1-26

The ordinary least squares (OLS) estimator for spatial autoregressions may be consistent as pointed out by Lee (2002), provided that each spatial unit is influenced aggregately by a significant portion of the total units. This paper presents a unified asymptotic distribution result of the...

Persistent link: https://www.econbiz.de/10012295878

Using large samples in econometrics

MacKinnon, James G. - 2021

As I document using evidence from a journal data repository that I manage, the datasets used in empirical work are getting larger. When we use very large datasets, it can be dangerous to rely on standard methods for statistical inference. In addition, we need to worry about computational issues....

Persistent link: https://www.econbiz.de/10012815681

The algebra of econometrics

Pollock, David Stephen G.; Pollock, David Stephen G. - 1979

Persistent link: https://www.econbiz.de/10000048312

Chapter 1 Linear algebra and matrix methods in econometrics

Theil, Henri - In: Handbook of econometrics : volume 1, (pp. 3-65). 1983

tools for the statistical component of econometrics; another reason is the increased use of matrix algebra in the economic … methods is that many topics in econometrics have a multivariate character. The chapter illustrates the convenience of matrices … linear systems only. Vectors and matrices are important in the statistical component of econometrics. A general method of …

Persistent link: https://www.econbiz.de/10014024913

Handbook of financial econometrics, mathematics, statistics, and machine learning

Lee, Cheng F. (ed.); Lee, John C. (ed.) - 2021

vol. i. Introduction to financial econometrics, mathematics, statistics, and machine learning / C F Lee. Do managers …"This four-volume handbook covers important concepts and tools used in the fields of financial econometrics …, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance …

Persistent link: https://www.econbiz.de/10012643541

Handbook of financial econometrics, mathematics, statistics, and machine learning

Lee, Cheng F. (ed.); Lee, John C. (ed.) - 2021

"This four-volume handbook covers important concepts and tools used in the fields of financial econometrics …, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance …

Persistent link: https://www.econbiz.de/10012061412