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Blasques, Francisco - 2015

estimator that allows researchers to obtain economically meaningful parameter estimates in a frequentist setting.The asymptotic … properties of the estimator are established for both correctly and incorrectly specified models. A Monte Carlo study reveals the … role of the penalty function in shaping the finite sample distribution of the estimator. The advantages of using this …

Persistent link: https://www.econbiz.de/10013030083

Testing and estimating models using indirect inference

Le, Vo Phuong Mai; Meenagh, David - 2013

Persistent link: https://www.econbiz.de/10009748700

Bootstrapping mean squared errors of robust small-area estimators : application to the method-of-payments data

Jiongo, Valéry D.; Nguimkeu, Pierre - 2018

heavily populated provinces. Our bootstrap estimator also provides indicators of quality useful in selecting the best small …

Persistent link: https://www.econbiz.de/10011864612

Using large samples in econometrics

MacKinnon, James G. - 2021

As I document using evidence from a journal data repository that I manage, the datasets used in empirical work are getting larger. When we use very large datasets, it can be dangerous to rely on standard methods for statistical inference. In addition, we need to worry about computational issues....

Persistent link: https://www.econbiz.de/10012815681

Two New Zealand Pioneer Econometricians

Phillips, Peter C. B. - 2010

Two distinguished New Zealanders pioneered some of the foundations of modern econometrics. Alec Aitken, one of the most …

Persistent link: https://www.econbiz.de/10013148981

Mind the gap : accounting for measurement error and misclassification in variables generated via data mining

Yang, Mochen; Adomavicius, Gediminas; Burtch, Gordon; … - In: Information systems research : ISR 29 (2018) 1, pp. 4-24

Persistent link: https://www.econbiz.de/10011866140

Correcting misclassification bias in regression models with variables generated via data mining

Qiao, Mengke; Huang, Ke-Wei - In: Information systems research : ISR 32 (2021) 2, pp. 462-480

Persistent link: https://www.econbiz.de/10012599859

Calculating effective degrees of freedom for forecast combinations and ensemble models

Younker, James - 2022

Forecast combinations, also known as ensemble models, routinely require practitioners to select a model from a massive number of potential candidates. Ten explanatory variables can be grouped into 21078 forecast combinations, and the number of possibilities increases further to 21078+21078 if we...

Persistent link: https://www.econbiz.de/10013402082

An introduction to econometric applications of functional applications of functional limit theory for dependent random variables

Andrews, Donald W. K. - 1992

Persistent link: https://www.econbiz.de/10000839760

Statistics and econometric models

Gouriéroux, Christian; Monfort, Alain - 1995

Persistent link: https://www.econbiz.de/10000912774