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In this paper we use the covariate quantile autoregression approach to test whether consumption is a constant unit root process, as predicted by the permanent income hypothesis (PIH). We find evidence that at low quantiles of the conditional quantile function of consumption the persistence of...
Persistent link: https://www.econbiz.de/10013136961
I papiret undersøges anvendeligheden af en ikke-parametrisk metode, en såkaldt regression spline, til estimation af …
Persistent link: https://www.econbiz.de/10011696531
This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic … chapter is motivated by the principle that, whenever possible, estimation methods should rely on routines available in … sampling inherent in survey longitudinal data, (3) incorporation of predetermined variables in estimation, and (4 …
Persistent link: https://www.econbiz.de/10014024953
This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH … attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements … the Bayesian paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal …
Persistent link: https://www.econbiz.de/10013156202
duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi …
Persistent link: https://www.econbiz.de/10012855793
structural models used in macroeconomics. The routine involves the estimation of dynamic moments over subgroups of the cross …-sectional dimension of agents. Micro moments differ from each other in the informative content that they carry for point estimation of the … relevant information for the correct estimation of the subjective discount rate. However, data from the cross section are not …
Persistent link: https://www.econbiz.de/10013214497
are estimated, GMM estimators are almost always used. We examine the validity of using likelihood based estimation in this …
Persistent link: https://www.econbiz.de/10013055722
accumulation in a structural life-cycle model. We use two complementary estimation strategies: first, we estimate the Euler equation … substantially higher than without temptation. Finally, our Method of Simulated Moments estimation is able to match well the life … the importance of temptation are robust to the different estimation strategies. …
Persistent link: https://www.econbiz.de/10012253295
incorporation of structural breaks while estimating volatility in the Nigerian stock market. This will help to avoid over-estimation …
Persistent link: https://www.econbiz.de/10011922754
This paper describes a moments estimator for a standard state-space model with coefficients generated by a random walk. This estimator does not require that disturbances are normally distributed, but if they are, the proposed estimator is asymptotically equivalent to the maximum likelihood...
Persistent link: https://www.econbiz.de/10011990906