Asymptotic Properties of the Ordinary Least Squares Estimator in Simultaneous Equations Models PDF Download
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Author: Virendra K. Srivastava
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 18
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Author: Virendra K. Srivastava
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 18
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Book Description
Author: Takeshi Amemiya
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The consistency and the asymptotic normality of the maximum likelihood estimator in the general nonlinear simultaneous equation model are proved. It is shown that the proof depends on the assumption of normality unlike in the linear simultaneous equation model. It is proved that the maximum likelihood estimator is asymptotically more efficient than the nonlinear three-stage least squares estimator if the specification is correct, However, the latter has the advantage of being consistent even when the normality assumption is removed. Hausrnan' s instrumental-variable-interpretation of the maximum likelihood estimator is extended to the general nonlinear simultaneous equation model
Author: Phoebus J. Dhrymes
Publisher:
ISBN:
Category :
Languages : en
Pages : 54
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Book Description
Author: Thomas B. Fomby
Publisher: Springer Science & Business Media
ISBN: 1441987460
Category : Business & Economics
Languages : en
Pages : 637
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Book Description
This book had its conception in 1975in a friendly tavern near the School of Businessand PublicAdministration at the UniversityofMissouri-Columbia. Two of the authors (Fomby and Hill) were graduate students of the third (Johnson), and were (and are) concerned about teaching econometrics effectively at the graduate level. We decided then to write a book to serve as a comprehensive text for graduate econometrics. Generally, the material included in the bookand itsorganization have been governed by the question, " Howcould the subject be best presented in a graduate class?" For content, this has meant that we have tried to cover " all the bases " and yet have not attempted to be encyclopedic. The intended purpose has also affected the levelofmathematical rigor. We have tended to prove only those results that are basic and/or relatively straightforward. Proofs that would demand inordinant amounts of class time have simply been referenced. The book is intended for a two-semester course and paced to admit more extensive treatment of areas of specific interest to the instructor and students. We have great confidence in the ability, industry, and persistence of graduate students in ferreting out and understanding the omitted proofs and results. In the end, this is how one gains maturity and a fuller appreciation for the subject in any case. It is assumed that the readers of the book will have had an econometric methods course, using texts like J. Johnston's Econometric Methods, 2nd ed.
Author: Phoebus J. Dhrymes
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 12
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Author: Jeffrey M. Wooldridge
Publisher: MIT Press
ISBN: 0262232588
Category : Business & Economics
Languages : en
Pages : 1095
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Book Description
The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.
Author: Denzil G. Fiebig
Publisher:
ISBN:
Category : Least squares
Languages : en
Pages : 44
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Author: Joseph B. Kadane
Publisher:
ISBN:
Category : Economics, Mathematical
Languages : en
Pages : 108
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Author: Phoebus James Dhrymes
Publisher:
ISBN:
Category :
Languages : en
Pages : 12
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Author: Katsuto Tanaka
Publisher:
ISBN: 9780868311517
Category : Econometric models
Languages : en
Pages : 38
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Book Description
