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Inference in partially identified heteroskedastic simultaneous equations models
Lütkepohl, Helmut; Milunovich, George; Yang, Minxian - 2016
Identification through heteroskedasticity in heteroskedastic simultaneous equations models (HSEMs) is considered. The … possibility that heteroskedasticity identifies the structural parameters only partially is explicitly allowed for. The … asymptoticproperties of the identified parameters are derived. Moreover, tests for identification through heteroskedasticity are developed …
Persistent link: https://www.econbiz.de/10011587226
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Inference in partially identified heteroskedastic simultaneous equations models
Lütkepohl, Helmut; Milunovich, George; Yang, Minxian - 2016
Persistent link: https://www.econbiz.de/10011783186
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Inference in partially identified heteroskedastic simultaneous equations models
Lütkepohl, Helmut; Milunovich, George; Yang, Minxian - In: Journal of econometrics 218 (2020) 2, pp. 317-345
Persistent link: https://www.econbiz.de/10012483004
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CONRAD – A Maximum Likelihood Program for Estimation of Simultaneous Equations Models that are Non-Linear in the Parameters
Jansson, Leif; Mellander, Erik - 1984
Persistent link: https://www.econbiz.de/10010334676
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Weighted Minimum Mean-Square Distance from Independence Estimation
Brown, Donald J.; Wegkamp, Marten H. - Cowles Foundation for Research in Economics, Yale University - 2001
In this paper we introduce a family of semi-parametric estimators, suggested by Manski's minimum mean-square distance from independence estimator. We establish the strong consistency, asymptotic normality and consistency of bootstrap estimates of the sampling distribution and the asymptotic...
Persistent link: https://www.econbiz.de/10005762699
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Conjugate Gradient methods for solving sparse Simultaneous Equations Models.
Foschi, P.; Kontoghiorghes, E.J. - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005132822
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CONRAD – A Maximum Likelihood Program for Estimation of Simultaneous Equations Models that are Non-Linear in the Parameters
Jansson, Leif; Mellander, Erik - Institutet för Näringslivsforskning (IFN) - 1984
No abstract.
Persistent link: https://www.econbiz.de/10010684500
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A Simultaneous Equation Model for Estimating Corruption in Higher Education
Andrei, Tudorel; Bourbonnais, Régis; Teodorescu, Daniel - Université Paris-Dauphine (Paris IX) - 2009
The aim of this study is to highlight the characteristics of corruption and non-academic behaviour in higher education. Using data series recorded at a representative student sample we emphasise causal relationships between certain components of corruption and aspects of academic behaviour in...
Persistent link: https://www.econbiz.de/10010707627
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Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A.M. Robert - School of Economics and Management, University of Aarhus - 2012
bootstrap variants under conditional heteroskedasticity but only for the latter under unconditional heteroskedasticity. Monte …
Persistent link: https://www.econbiz.de/10010851226
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Contagion, spillover and interdependence
Rigobon, Roberto - 2016
omitted variables. These econometric problems in combination with the heteroskedasticity that plagues the data produces time …
Persistent link: https://www.econbiz.de/10011606020