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Testing linear regression model with AR(1) errors against a first-order dynamic linear regression model with white noise errors : a point optimal testing approach

Sriananthakumar, Sivagowry - In: Economic modelling 33 (2013), pp. 126-136

Persistent link: https://www.econbiz.de/10010192022

Nearly exact option price simulation using characteristic functions

Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-29

Persistent link: https://www.econbiz.de/10009685897

A Monte Carlo study of a factor analytical method for fixed-effects dynamic panel models

Norkute, Milda - In: Economics letters 123 (2014) 3, pp. 348-351

Persistent link: https://www.econbiz.de/10010401270

Computational issues in the estimation of the spatial probit model : a comparison of various estimators

Billé, Anna Gloria - In: The review of regional studies : a joint publ. of the … 43 (2013) 2/3, pp. 131-154

Persistent link: https://www.econbiz.de/10010382825

On ridge estimators for the negative binomial regression model

Månsson, Kristofer - In: Economic modelling 29 (2012) 2, pp. 178-184

Persistent link: https://www.econbiz.de/10009536040

Developing interaction shrinkage parameters for the liu estimator : with an application to the electricity retail market

Shukur, Ghazi; Månsson, Kristofer; Sjölander, Pär - In: Computational economics 46 (2015) 4, pp. 539-550

Persistent link: https://www.econbiz.de/10011478513

Estimating the effect of monopsony power on elasticity estimates

Yamaura, Koichi; Featherstone, Allen M. - In: Applied economics 48 (2016) 1/3, pp. 178-189

Persistent link: https://www.econbiz.de/10011412639

Spatial dynamic panel model and system GMM : a Monte Carlo investigation

Kukenova, Madina; Monteiro, José-Antonio - 2009 - Draft: February 2009

This paper investigates the finite sample properties of estimators for spatial dynamic panel models in the presence of several endogenous variables. So far, none of the available estimators in spatial econometrics allows considering spatial dynamic models with one or more endogenous variables....

Persistent link: https://www.econbiz.de/10011976850

GMM estimation of fiscal rules : Monte Carlo experiments and empirical tests

Mammi, Irene - 2015

This paper focuses on the estimation of fiscal response functions for advanced economies and on the performance of alternative specifications of the Generalized Method of Moments (GMM) estimator for the rule's parameters. We first estimate the parameters on simulated data through Monte Carlo...

Persistent link: https://www.econbiz.de/10011714222

On the consistency of the two-step estimates of the MS-DFM : a Monte Carlo study

Doz, Catherine; Petronevich, Anna - 2017

Persistent link: https://www.econbiz.de/10011751519