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Estimating a linear exponential density when the weighting matrix and mean parameter vector are functionally related
Sin, Chor-yiu - In: Maximum likelihood estimation of misspecified models : …, (pp. 177-197). 2003
Persistent link: https://www.econbiz.de/10001916329
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Prediction errors in nonstationary autoregressions of infinite order
Ing, Ching-kang; Sin, Chor-yiu; Yu, Shu-hui - In: Econometric theory 26 (2010) 3, pp. 774-803
Persistent link: https://www.econbiz.de/10003992431
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On asymptotic risk of selecting models for possibly nonstationary time-series
Yu, Shu-Hui; Sin, Chor-yiu - In: Econometric reviews 40 (2021) 4, pp. 387-414
Persistent link: https://www.econbiz.de/10012515606
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Various asymptotic distributions of the error-components test for cross-sectional correlation
Sin, Chor-yiu - In: Essays in honor of M. Hashem Pesaran : panel modeling, …, (pp. 145-175). 2022
Persistent link: https://www.econbiz.de/10013193945
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ESTIMATING A LINEAR EXPONENTIAL DENSITY WHEN THE WEIGHTING MATRIX AND MEAN PARAMETER VECTOR ARE FUNCTIONALLY RELATED
Sin, Chor-yiu - In: Maximum likelihood estimation of misspecified models : …, (pp. 177-197). 2003
Most economic models in essence specify the mean of some explained variables, conditional on a number of explanatory variables. Since the publication of White’s (1982) Econometrica paper, a vast literature has been devoted to the quasi- or pseudo-maximum likelihood estimator (QMLE or PMLE)....
Persistent link: https://www.econbiz.de/10015388940