Estimation of polynomial regression equations in one error-ridden variable and a number of error-free regressors, as well as an instrument set for the former is considered. Procedures for identification, operating on moments up to a certain order, are elaborated for single- and multi-equation...

We introduce an estimation method that applies to a class of multivariate regression problems. The method can estimate parameters that are subject to multiple reduced-rank conditions and other parameter restrictions and the method allows for a general specifications of the covariance matrix. We...

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...

There is strong empirical evidence that the GARCH estimates obtained from panels of financial time series cluster. In order to capture this empirical regularity, this paper introduces the Hierarchical GARCH (HG) model. The HG is a nonlinear panel specification in which the coefficients of each...

Analizie poddano modele ekonometryczne z parametrami generowanymi przez niestacjonarny proces stochastyczny. Przedstawiono i omówiono trzy konstrukcje (model Cooleya-Prescotta model ze zbieżnymi parametrami Rosenberga, oraz model z filtrami Kalmana). Podano obszerną listę...

In a recent paper, Hausman et al. (2012) propose a new estimator, HFUL (Heteroscedasticity robust Fuller), for the linear model with endogeneity. This estimator is consistent and asymptotically normally distributed in the many instruments and many weak instruments asymptotics. Moreover, this...

This paper shows how a weighted average of a forward and reverse Jackknife IV estimator (JIVE) yields estimators that are robust against heteroscedasticity and many instruments. These estimators, called HFUL (Heteroscedasticity robust Fuller) and HLIM (Heteroskedasticity robust limited...

This paper considers the finite sample distribution of the 2SLS estimator and derives bounds on its exact bias in the presence of weak and/or many instruments. We then contrast the behavior of the exact bias expressions and the asymptotic expansions currently popular in the literature, including...

In econometrics some nonparametric instrumental regression models and nonparametric demand models with endogeneity lead to nonlinear integral equations with unknown integral kernels. We prove convergence rates of the risk for the iteratively regularized Newton method applied to these problems....