Showing 1 - 10 of 33
Given data from a sample of noisy curves in a nonlinear parametric regression model we consider nonparametric estimation of the model function and the parameters under certain structural assumptions. An algorithm for a consistent estimator is proposed and examples given.
Persistent link: https://www.econbiz.de/10005625690
The generalised method of moments (GMM) is combined with the nonparametric estimation of the instrument matrix to obtain an easily computable estimator for the panel probit model. It is based on the specification of the conditional mean of the binary dependent variable in each period, and...
Persistent link: https://www.econbiz.de/10005625691
Empirical demand systems that do not impose unreasonable restrictions on preferences are typically nonlinear. For empirical purposes, exact estimation of nonlinear equation systems for large data sets with more than a small number of equations has typically been limited by nonlinearities in the...
Persistent link: https://www.econbiz.de/10005641160
The proportional hazard model with unobserved heterogeneity gives the hazard function of a random variable conditional on covariates and a second random variable representing unobserved heterogeneity. This paper shows how to estimate the baseline hazard function and the distribution of the...
Persistent link: https://www.econbiz.de/10005560347
This paper combines techniques drawn from the literature on evolutionary optimization algorithms along with bootstrap based statistical tests. Bootstrapping is used as a general framework for estimating objectives out of sample by redrawing subsets from a training sample. Evolution is used to...
Persistent link: https://www.econbiz.de/10005443517
The paper is about the economic modelling of aggregate consumption expenditure with particular emphasis on the distribution effect of income. Under certain assumptions on the evolution over time of the population of households ("structural stability") we shall derive a first order approximation...
Persistent link: https://www.econbiz.de/10005776106
This paper presents recent econometric models of individual mobility on the labor market. The general framework is given by the theory of point processes which are continuous time finite state space processes. The first part of the paper is devoted to specification problems and the inference of...
Persistent link: https://www.econbiz.de/10005625673
As pointed out by Hall (1988), intertemporal substitution by consumers is a central element of many modern macroeconomic and international models. We argue that Hall's estimator or the IES is downward biased because the intra-temporal substitution between nondurable consumption goods and durable...
Persistent link: https://www.econbiz.de/10005504048
The literature of commodity supply functions is characterized by explanatory variables which are either current of lagged prices. This study not only underlines the existence of other equally or more important factors but also emphasize their explicit incorporation in estimation.
Persistent link: https://www.econbiz.de/10005442289
This paper puts forth a concept of Adptivety Rational Equilibrium (A.R.E) where agents base decisions upon predictions of future values of endogenous variables whose actual values are determined by equilibrium equations.
Persistent link: https://www.econbiz.de/10005443472