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Brault, Joshua - 2024 - Last updated: May 10, 2024

In this paper, I develop a population-based Markov chain Monte Carlo (MCMC) algorithm known as parallel tempering to estimate dynamic stochastic general equilibrium (DSGE) models. Parallel tempering approximates the posterior distribution of interest using a family of Markov chains with tempered...

Persistent link: https://www.econbiz.de/10014558970

Non-parametric identification and testing of quantal response equilibrium

Hoelzemann, Johannes; Webb, Ryan; Xie, Erhao - 2024 - Last updated: June 17, 2024

We study the falsifiability and identification of Quantal Response Equilibrium (QRE) when each player's utility and error distribution are relaxed to be unknown non-parametric functions. Using variations of players' choices across a series of games, we first show that both the utility function...

Persistent link: https://www.econbiz.de/10014563000

A Note on Nonparametric Estimation With Constructed Variables and Generated Regressors

Sperlich, Stefan - 2018

This article gives the asymptotic properties for nonparametric kernel based density and regression estimators when one of the variables, respectively regressors, had to be pre-estimated. Those variables are known as constructed variables or generatedregressors, and their impact on the -nal...

Persistent link: https://www.econbiz.de/10014224472

Heavy-Tail and Plug-In Robust Consistent Conditional Moment Tests of Functional Form

Hill, Jonathan B. - 2012

test equation that promotes plug-in robustness irrespective of tails. We derive chi-squared weak limits of the statistics … properties of the test statistics …

Persistent link: https://www.econbiz.de/10014178445

Review of Multivariate Statistics With Emphasis on Regression

Stevans, Lonnie K. - 2011

Persistent link: https://www.econbiz.de/10013129234

Introducing Linear Regression : An Example Using Basketball Statistics

Arnold, Tom - 2011

context. This paper uses basketball statistics to demonstrate the purpose of linear regression and to explain how to interpret …

Persistent link: https://www.econbiz.de/10013131742

Least Squares Percentage Regression

Tofallis, Chris - 2009

When using a model for prediction, or for representing the data, the percentage error may be more important than the absolute error. We therefore present the method of least squares regression based on percentage errors. Exact expressions are derived for the coefficients, and we show how models...

Persistent link: https://www.econbiz.de/10014207842

Bootstrap tests for overidentification in linear regression models

Davidson, Russell; MacKinnon, James G. - 2014 - March 2014

limited-information maximum likelihood. We show that all the test statistics, like the ones used for inference on the … related to the well-known test statistic of Anderson and Rubin. The distributions of the overidentification statistics are …

Persistent link: https://www.econbiz.de/10010128349

Two independent pivotal statistics that test location and misspecification and add up to the Anderson-Rubin statistic

Kleibergen, Frank - 2002

We show that the Anderson-Rubin (AR) statistic is the sum of two independent piv-otal statistics. One statistic is a … freedom parameter of the misspecification statistic equals the degree of over-identification. We show that statistics with … good power properties, like the likelihoodratio statistic, are a weighted average of these two statistics. The location …

Persistent link: https://www.econbiz.de/10011326948

Bootstrap tests for overidentification in linear regression models

Davidson, Russell; MacKinnon, James G. - In: Econometrics : open access journal 3 (2015) 4, pp. 825-863

variety of test statistics as functions of eight mutually independent random variables and two nuisance parameters. The … distributions of the statistics are shown to have an ill-defined limit as the parameter that determines the strength of the …

Persistent link: https://www.econbiz.de/10011411381