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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...

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

The analysis of the cross-section of security returns

Jagannathan, Ravi; Skoulakis, Georgios; Wang, Zhenyu - 2010

Persistent link: https://www.econbiz.de/10003900742

Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors

Egger, Peter; Larch, Mario; Pfaffermayr, Michael; … - In: Regional science & urban economics 39 (2009) 6, pp. 670-678

Persistent link: https://www.econbiz.de/10003920809

Testing for nonnested conditional moment restrictions via conditional empirical likelihood

Otsu, Taisuke; Whang, Yoon-jae - In: Econometric theory 27 (2011) 1, pp. 114-153

Persistent link: https://www.econbiz.de/10009127140

The new Keynesian Phillips curve : does it fit Norwegian data?

Boug, Pål; Cappelen, Ådne; Swensen, Anders Rygh - 2011

Persistent link: https://www.econbiz.de/10008989952

Cost-effective estimation of the population mean using prediction estimators

Fujii, Tomoki; Weide, Roy van der - 2013

Persistent link: https://www.econbiz.de/10009777944

Structural estimation of the New-Keynesian model : a formal test of backward- and forward-looking behavior

Jang, Tae-Seok - In: DSGE models in macroeconomics : estimation, evaluation, …, (pp. 421-467). 2012

Persistent link: https://www.econbiz.de/10009682773

Comparison of SML and GMM estimators for the random coefficient logit model using aggregate data

Park, Sungho; Gupta, Sachin - In: Empirical economics : a journal of the Institute for … 43 (2012) 3, pp. 1353-1372

Persistent link: https://www.econbiz.de/10009682791

Estimation of dynamic discrete choice models by maximum likelihood and the simulated method of moments

Eisenhauer, Philipp; Heckman, James J.; Mosso, Stefano - 2014

We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in...

Persistent link: https://www.econbiz.de/10010418037

Estimation of dynamic discrete choice models by maximum likelihood and the simulated method of moments

Eisenhauer, Philipp; Heckman, James J. - 2014

Persistent link: https://www.econbiz.de/10010424834