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Entropic latent variable integration via simulation

Schennach, Susanne M. - 2013 - Initial submission: November 6, 2009, This version: June 24, 2013

introducing infinite-dimensional nuisance parameters using a least-favourable entropy-maximising distribution. We demonstrate …, through examples and simulations, that this approach covers a wide class of latent variables models, including some game …

Persistent link: https://www.econbiz.de/10009767942

Generalised method of moments with latent variables

Gallant, A. Ronald; Giacomini, Raffaella; Ragusa, Giuseppe - 2013

The contribution of generalized method of moments (Hansen and Singleton, 1982) was to allow frequentist inference regarding the parameters of a nonlinear structural model without having to solve the model. Provided there were no latent variables. The contribution of this paper is the same. With...

Persistent link: https://www.econbiz.de/10010188137

Model selection tests for conditional moment inequality models

Hsu, Yu-Chin; Shi, Xiaoxia - 2013

Persistent link: https://www.econbiz.de/10009778548

A practical two-step method for testing moment inequalities

Romano, Joseph P.; Shaikh, Azeem M.; Wolf, Michael - 2014 - Revised version, April 2014

This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are "negative." A...

Persistent link: https://www.econbiz.de/10010354626

Computing moment inequality models using constrained optimization

Dong, Baiyu; Hsieh, Yu-Wei; Shum, Matthew - In: The econometrics journal 24 (2021) 3, pp. 399-416

Persistent link: https://www.econbiz.de/10012620709

Further results on Bayesian method of moments analysis of the multiple regression model

Zellner, Arnold; Tobias, Justin L. - In: International economic review 42 (2001) 1, pp. 121-140

Persistent link: https://www.econbiz.de/10001562209

Connections between entropic and linear projections in asset pricing estimation

Kitamura, Yuichi; Stutzer, Michael J. - In: Journal of econometrics 107 (2002) 1/2, pp. 159-174

Persistent link: https://www.econbiz.de/10001651270

Bayesian measurement of productivity and efficiency in the presence of undesirable outputs : crediting electric utilities for reducing air pollution

Atkinson, Scott Estes; Dorfman, Jeffrey H. - In: Journal of econometrics 126 (2005) 2, pp. 445-468

Persistent link: https://www.econbiz.de/10002647878

Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments

Gzyl, Henryk; Novi-Inverardi, Pier-Luigi; Tagliani, Aldo - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 457-463

Persistent link: https://www.econbiz.de/10010195910

Distributions of the product and ratio of Maxwell and Rayleigh random variables

Shakil, M.; Golam Kibria, B. M.; Chang, Kuang-chao - In: Statistical papers 49 (2008) 4, pp. 729-747

Persistent link: https://www.econbiz.de/10003761758