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EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments

Sluis, Pieter J. van der - 1998

Econometric estimation using simulation techniques, such as the efficient method of moments, may betime consuming. The use of ordinary matrix programming languages such as Gauss, Matlab, Ox or S-plus will very often cause extra delay. For the Efficient Method of Moments implemented to...

Persistent link: https://www.econbiz.de/10010533201

A martingale representation for matching estimators

Abadie, Alberto; Imbens, Guido - 2009

Matching estimators are widely used in statistical data analysis. However, the distribution of matching estimators has … matching estimators. This representation allows the use of martingale limit theorems to derive the asymptotic distribution of … matching estimators. As an illustration of the applicability of the theory, we derive the asymptotic distribution of a matching …

Persistent link: https://www.econbiz.de/10003826104

Programme evaluation with multiple treatments

Frölich, Markus - 2002

nonparametric matching and weighting estimators of the average treatment effects and their properties are examined. …

Persistent link: https://www.econbiz.de/10011412411

A Note on the Relation of Weighting and Matching Estimators

Lechner, Michael - 2007

This paper compares the inverse-probability-of-selection-weighting estimation principle with the matching principle and … derives conditions for weighting and matching to identify the same and the true distribution, respectively. This comparison …

Persistent link: https://www.econbiz.de/10012728898

A Martingale Representation for Matching Estimators

Abadie, Alberto - 2009

Persistent link: https://www.econbiz.de/10012764230

Splines for Financial Volatility

Audrino, Francesco; Buhlmann, Peter - 2007

We propose a flexible GARCH-type model for the prediction of volatility in financial time series. The approach relies on the idea of using multivariate B-splines of lagged observations and volatilities. Estimation of such a B-spline basis expansion is constructed within the likelihood framework...

Persistent link: https://www.econbiz.de/10014051065

Robust Two-Stage Least Squares : Some Monte Carlo Experiments

Mishra, Sudhanshu K. - 2008

The Two-Stage Least Squares (2-SLS) is a well known econometric technique used to estimate the parameters of a multi-equation (or simultaneous equations) econometric model when errors across the equations are not correlated and the equation(s) concerned is (are) over-identified or exactly...

Persistent link: https://www.econbiz.de/10014216212

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

Sequential estimation of structural models with a fixed point constraint

Kasahara, Hiroyuki; Shimotsu, Katsumi - 2008

This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL)...

Persistent link: https://www.econbiz.de/10003805996

Sequential estimation of structural models with a fixed point constraint

Kasahara, Hiroyuki (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003782944