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Asymptotic Properties of Estimators in Non-linear Regression Models with Autoregressive Disturbance Terms

Asymptotic Properties of Estimators in Non-linear Regression Models with Autoregressive Disturbance Terms PDF Author: Friedrich Schmid
Publisher:
ISBN:
Category :
Languages : en
Pages : 45

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Asymptotic Properties of Estimators in Non-linear Regression Models with Autoregressive Disturbance Terms

Asymptotic Properties of Estimators in Non-linear Regression Models with Autoregressive Disturbance Terms PDF Author: Friedrich Schmid
Publisher:
ISBN:
Category :
Languages : en
Pages : 45

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Book Description

Asymptotic properties of estimators in non-linear regression models with autoregressive disturbance terms

Asymptotic properties of estimators in non-linear regression models with autoregressive disturbance terms PDF Author: Friedrich Schmid
Publisher:
ISBN:
Category :
Languages : de
Pages : 90

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Asymptotic Properties of S Estimators for Nonlinear Regression Models with de

Asymptotic Properties of S Estimators for Nonlinear Regression Models with de PDF Author: Shinichi Sakata
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Asymptotic Properties of S-estimators for Nonlinear Regression Models with Dependent, Heterogeneous Processes

Asymptotic Properties of S-estimators for Nonlinear Regression Models with Dependent, Heterogeneous Processes PDF Author: Shinichi Sakata
Publisher:
ISBN:
Category : Estimation theory
Languages : en
Pages : 52

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Asymptotic Properties of Maximum Likelihood Estimators in a Nonlinear Regression Model with Unknown Parameters in the Disturbance Covariance Matrix

Asymptotic Properties of Maximum Likelihood Estimators in a Nonlinear Regression Model with Unknown Parameters in the Disturbance Covariance Matrix PDF Author: R. D. H. Heijmans
Publisher:
ISBN:
Category :
Languages : en
Pages : 25

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Asymptotic Properties of Maximum Likelihood Estimators in the Nonlinear Regression Model when the Errors are Neither Independent Nor Identically Distributed

Asymptotic Properties of Maximum Likelihood Estimators in the Nonlinear Regression Model when the Errors are Neither Independent Nor Identically Distributed PDF Author: R. D. H. Heijmans
Publisher:
ISBN:
Category :
Languages : en
Pages : 84

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Asymptotic Properties of Maximum Likelihood Estimators in the Nonlinear Regression Model when the Errors are Neither Independent for Identically Distributed

Asymptotic Properties of Maximum Likelihood Estimators in the Nonlinear Regression Model when the Errors are Neither Independent for Identically Distributed PDF Author: R. D. H. Heijmans
Publisher:
ISBN:
Category :
Languages : en
Pages : 84

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Asymptotic Properties of a Class of Robust M-estimators for Nonlinear Regression Models with Momentless Distributed Errors and Regressors

Asymptotic Properties of a Class of Robust M-estimators for Nonlinear Regression Models with Momentless Distributed Errors and Regressors PDF Author: Hermanus Josephus Bierens
Publisher:
ISBN:
Category :
Languages : en
Pages : 58

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Asymptotic Properties of Estimators for the Linear Panel Regression Model with Individual Effects and Serially Correlated Errors

Asymptotic Properties of Estimators for the Linear Panel Regression Model with Individual Effects and Serially Correlated Errors PDF Author: Badi H. Baltagi
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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This paper studies the asymptotic properties of standard panel data estimators in a simple panel regression model with error component disturbances. Both the regressor and the remainder disturbance term are assumed to be autoregressive and possibly non-stationary. Asymptotic distributions are derived for the standard panel data estimators including ordinary least squares, fixed effects, first-difference, and generalized least squares (GLS) estimators when both T and n are large. We show that all the estimators have asymptotic normal distributions and have different convergence rates dependent on the non-stationarity of the regressors and the remainder disturbances. We show using Monte Carlo experiments that the loss in efficiency of the OLS, FE and FD estimators relative to true GLS can be substantial.

Asymptotic Properties of Nonlinear Least Squares Estimators in a Replicated Time Series Model

Asymptotic Properties of Nonlinear Least Squares Estimators in a Replicated Time Series Model PDF Author: Jeremy Sin-hing Wu
Publisher:
ISBN:
Category :
Languages : en
Pages : 246

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Book Description