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Bayes Estimate and Inference for Entropy and Information Index of Fit

Mazzuchi, Thomas; Soofi, Ehsan; Soyer, Refik - In: Econometric Reviews 27 (2008) 4-6, pp. 428-456

This article defines a quantized entropy and develops Bayes estimates and inference for the entropy and a Kullback-Leibler information index of the model fit. We use a Dirichlet process prior for the unknown data-generating distribution with a maximum entropy candidate model as the expected...

Persistent link: https://www.econbiz.de/10005476131

Comment

Geweke, John - In: Econometric Reviews 26 (2007) 2-4, pp. 193-200

The article provides detailed and accurate illustrations of Bayesian analysis of DSGE models that are likely to be used increasingly in support of central bank policy making. These comments identify a dozen aspects of these methods, discussing how their application and improvement can contribute...

Persistent link: https://www.econbiz.de/10005476132

Determining the Number of Factors and Lag Order in Dynamic Factor Models: A Minimum Entropy Approach

Jacobs, Jan; Otter, Pieter - In: Econometric Reviews 27 (2008) 4-6, pp. 385-397

This article proposes a solution to one of the issues in the rapidly growing literature on dynamic factor models, i.e., how to determine the optimal number of factors. Our formal test, based upon the canonical correlation procedure related to concepts from information theory, produces estimates...

Persistent link: https://www.econbiz.de/10005476145

Bias-Corrected Moment-Based Estimators for Parametric Models Under Endogenous Stratified Sampling

Ramalho, Esmeralda; Ramalho, Joaquim - In: Econometric Reviews 25 (2006) 4, pp. 475-496

This paper provides an integrated approach for estimating parametric models from endogenous stratified samples. We discuss several alternative ways of removing the bias of the moment indicators usually employed under random sampling for estimating the parameters of the structural model and the...

Persistent link: https://www.econbiz.de/10009228485

ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS

Gospodinov, Nikolay - In: Econometric Reviews 24 (2005) 1, pp. 59-81

This paper proposes a GMM-based method for asymptotic confidence interval construction in stationary autoregressive … obtained by inverting the asymptotic acceptance region of the distance metric test for the continuously updated GMM (CU-GMM … intervals is data-driven owing an estimated sequence of nonuniform weights. It appears that the flexibility of the CU-GMM …

Persistent link: https://www.econbiz.de/10009228556

Empirical Characteristic Function Estimation and Its Applications

Yu, Jun - In: Econometric Reviews 23 (2004) 2, pp. 93-123

sample performance of the proposed procedure offers an improvement over a GMM procedure. An application using over 72 years …

Persistent link: https://www.econbiz.de/10009279873

GMM Estimation with persistent panel data: an application to production functions

Blundell, Richard; Bond, Stephen - In: Econometric Reviews 19 (2000) 3, pp. 321-340

companies observed for a small number of time periods. GMM estimatorshave been found to produce large finite-sample biases when … find that the additional instruments used in our extended GMM estimator yield much more reasonable parameter estimates. …

Persistent link: https://www.econbiz.de/10005292350

The Sample Selection Model from a Method of Moments Perspective

Meijer, Erik; Wansbeek, Tom - In: Econometric Reviews 26 (2007) 1, pp. 25-51

estimator. Standard GMM theory can be brought to bear on this model, greatly simplifying the derivation of the asymptotic …

Persistent link: https://www.econbiz.de/10005644457