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Volatility and GMM : Monte Carlo studies and empirical estimations

Nagel, Hartmut; Schöbel, Rainer - In: Statistical papers 40 (1999) 3, pp. 297-321

Persistent link: https://www.econbiz.de/10001401125

Die systematische Stichprobe zur Schätzung zweiter Momente in kontinuierlichen Grundgesamtheiten

Hebbel, Hartmut - 2006

Persistent link: https://www.econbiz.de/10003373757

A spatial Cliff-ord-type model with heteroskedastic innovations : small and large sample results

Arraiz, Irani; Drukker, David M.; Kelejian, Harry H.; … - 2008

In this paper we specify a linear Cliff and Ord-type spatial model. The model allows for spatial lags in the dependent variable, the exogenous variables, and disturbances. The innovations in the disturbance process are assumed to be heteroskedastic with an unknown form. We formulate a multi-step...

Persistent link: https://www.econbiz.de/10003792846

A spatial Cliff-Ord-type model with heteroskedastic innovations : small and large sample results

Arraiz, Irani; Drukker, David M.; Kelejian, Harry H.; … - In: Journal of regional science 50 (2010) 2, pp. 592-614

Persistent link: https://www.econbiz.de/10003974238

Finite sample properties of tests of the Epstein-Zin asset pricing model

Smith, David C. - In: Journal of econometrics 93 (1999) 1, pp. 113-148

Persistent link: https://www.econbiz.de/10001406645

Using weights to adjust for sample selection when auxiliary information is available

Nevo, Aviv - 2001

Persistent link: https://www.econbiz.de/10001628183

Using weights to adjust for sample selection when auxiliary information is available

Nevo, Aviv - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 1, pp. 43-52

Persistent link: https://www.econbiz.de/10001728816

Efficiency Results of Mle and GMM Estimation with Sampling Weights

Butler, J.S - 1998

This paper examines the theory of the estimation of econometric models and Hausman tests with sampling weights. The … Manski-Lerman weighted conditional MLE is emphasized because of its popularity in econometric estimation with sampling … weights. It is an inefficient alternative to full information MLE under choice-based sampling, and weighted conditional MLE …

Persistent link: https://www.econbiz.de/10014220750

Using Weights to Adjust for Sample Selection When Auxiliary Information is Available

Nevo, Aviv - 2001

In this paper I analyze GMM estimation when the sample is not a random draw from the population of interest. I exploit auxiliary information, in the form of moments from the population of interest, in order to compute weights that are proportional to the inverse probability of selection. The...

Persistent link: https://www.econbiz.de/10014122994

Regression models for choice-based samples with misclassification in the response variable

Ramalho, Esmeralda A. - In: Journal of econometrics 106 (2002) 1, pp. 171-201

Persistent link: https://www.econbiz.de/10001633727