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Asymptotic distribution and finite sample bias correction of QML estimators for spatial error dependence model

Liu, Shew Fan; Yang, Zhenlin - In: Econometrics : open access journal 3 (2015) 2, pp. 376-411

In studying the asymptotic and finite sample properties of quasi-maximum likelihood (QML) estimators for the spatial linear regression models, much attention has been paid to the spatial lag dependence (SLD) model; little has been given to its companion, the spatial error dependence (SED) model....

Persistent link: https://www.econbiz.de/10011297624

A general method for third-order bias and variance corrections on a nonlinear estimator

Yang, Zhenlin - In: Journal of econometrics 186 (2015) 1, pp. 178-200

Persistent link: https://www.econbiz.de/10011349513

Improved inferences for spatial regression models

Liu, Shew Fan; Yang, Zhenlin - In: Regional science & urban economics 55 (2015), pp. 55-67

Persistent link: https://www.econbiz.de/10011479842

Easy bootstrap-like estimation of asymptotic variances

Honoré, Bo E.; Hu, Luojia - 2018

The bootstrap is a convenient tool for calculating standard errors of the parameter estimates of complicated … econometric models. Unfortunately, the bootstrap can be very time-consuming. In a recent paper, Honoré and Hu (2017), we propose a … "Poor (Wo)man's Bootstrap" based on one-dimensional estimators. In this paper, we propose a modified, simpler method and …

Persistent link: https://www.econbiz.de/10011879253

Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007

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...

Persistent link: https://www.econbiz.de/10014024953

A bootstrap test for instrument validity in heterogeneous treatment effect models

Kitagawa, Toru - 2013

bootstrap algorithm to implement the proposed test and show its asymptotic validity. The proposed test procedure can apply to …

Persistent link: https://www.econbiz.de/10010190476

Control Variates for Variance Reduction in Indirect Inference : Interest Rate Models in Continuous Time

Calzolari, Giacomo; Di Iorio, Francesca; Fiorentini, … - 2018

Simulation estimators, such as indirect inference or simulated maximum likelihood, are successfully employed for estimating stochastic differential equations. They adjust for the bias (inconsistency) caused by discretization of the underlying stochastic process, which is in continuous time. The...

Persistent link: https://www.econbiz.de/10014197185

Semiparametric Bootstrap Approach to Hypothesis Tests and Confidence Intervals for the Hurst Coefficient

Hall, Peter; Härdle, Wolfgang; Kleinow, Torsten; … - 2000

In this paper we propose a new bootstrap, or Monte-Carlo, approach to such problems. Traditional bootstrap methods in …

Persistent link: https://www.econbiz.de/10014164282

A Practical, Powerful, Robust and Interpretable Family of Correlation Coefficients

Papadopoulos, Savas - 2022

If we conducted a competition for which statistical quantity would be the most valuable in exploratory data analysis, the winner would most likely be the correlation coefficient with a significant difference from its first competitor. In addition, most data applications contain non-normal data...

Persistent link: https://www.econbiz.de/10014084103

Markov Chain Monte Carlo Models, Gibbs Sampling, & Metropolis Algorithm for High-Dimensionality Complex Stochastic Problems

Malhotra, Yogesh - 2015

Markov chain Monte Carlo (MCMC) methods have an important role in solving high dimensionality stochastic problems characterized by computational complexity. Given their critical importance, there is need for network and security risk management research to relate the MCMC quantitative...

Persistent link: https://www.econbiz.de/10013029835