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Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term
Doğan, Osman - In: Econometrics 3 (2015) 1, pp. 101-127
In this study, I investigate the necessary condition for the consistency of the maximum likelihood estimator (MLE) of … spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive … estimation. I also show that the MLE of parameters of exogenous variables is inconsistent and determine its asymptotic bias. I …
Persistent link: https://www.econbiz.de/10011755273
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Theory and methodology for dynamic panel data: tested by simulations based on financial data
Papadopoulos, Savas - In: International Journal of Computational Economics and … 1 (2010) 3/4, pp. 239-253
A new method is introduced for panel-data models. Asymptotic robustness is used for a multivariate model with latent variables for a family of estimators. It is shown numerically that in comparison to standard methods we obtain: 1) better predictions in out-of-sample occasions; 2) smaller...
Persistent link: https://www.econbiz.de/10010669417
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Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with a Moving Average Disturbance Term
Doğan, Osman - In: Econometrics 3 (2015) 1, pp. 101-127
In this study, I investigate the necessary condition for the consistency of the maximum likelihood estimator (MLE) of … spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive … estimation. I also show that the MLE of parameters of exogenous variables is inconsistent and determine its asymptotic bias. I …
Persistent link: https://www.econbiz.de/10011186339
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Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with Moving Average Disturbance Term
Dogan, Osman - Department of Economics, Graduate Center - 2013
In this study, I investigate the necessary condition for consistency of the maximum likelihood estimator (MLE) of … spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive … estimation. I also show that the MLE of parameters of exogenous variables is inconsistent and determine its asymptotic bias. I …
Persistent link: https://www.econbiz.de/10011115555
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Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term
Doğan, Osman - In: Econometrics : open access journal 3 (2015) 1, pp. 101-127
In this study, I investigate the necessary condition for the consistency of the maximum likelihood estimator (MLE) of … spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive … estimation. I also show that the MLE of parameters of exogenous variables is inconsistent and determine its asymptotic bias. I …
Persistent link: https://www.econbiz.de/10011290741
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Estimating the change point of binary porfiles in phase II
Sharafi, Alireza; Aminnayeri, Majid; Amiri, Amirhossein - In: International journal of productivity and quality … 14 (2014) 3, pp. 336-351
Persistent link: https://www.econbiz.de/10010488442