Essays on Semiparametric Estimation Models with Structural Breaks PDF Download
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Author: Abhisek Banerjee
Publisher:
ISBN:
Category : Academic theses
Languages : en
Pages : 0
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Book Description
Author: Abhisek Banerjee
Publisher:
ISBN:
Category : Academic theses
Languages : en
Pages : 0
Get Book Here
Book Description
Author: Abhisek Banerjee
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 374
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Book Description
Author: Dek Terrell
Publisher: Emerald Group Publishing
ISBN: 1789739594
Category : Business & Economics
Languages : en
Pages : 418
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Book Description
Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.
Author: Dek Terrell
Publisher: Emerald Group Publishing
ISBN: 1789739578
Category : Business & Economics
Languages : en
Pages : 472
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Book Description
Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.
Author: Hyungtaik Ahn
Publisher:
ISBN:
Category :
Languages : en
Pages : 402
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Author: In Hŏ
Publisher:
ISBN:
Category : Mathematical models
Languages : en
Pages : 138
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Author: Kang-Sun Lee
Publisher:
ISBN:
Category :
Languages : en
Pages : 290
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Author: Mengshan Xu
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Huansha Wang
Publisher:
ISBN: 9781321088717
Category : Panel analysis
Languages : en
Pages : 133
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Book Description
This dissertation is composed with 4 essays. They explore modelling uncertainty following two major directions. The former 2 contains topics on ordinary and general ridge-type shrinkage estimation developed from model averaging and kernel density estimation. The third one critically reviews recent literature in the areas of model averaging and model selection both parametrically and nonparametrically and proposes topics for future work. The last one focuses on nonparametric panel data estimation with random effects. In chapter 2, ordinary ridge-type shrinkage estimation is extensively studied, where a class of well-behaved ordinary ridge-type semiparametric estimators is proposed. Monte Carlo simulations, theoretical derivations, as well as empirical out-of-sample forecasts are all investigated to prove their usefulness in reducing mean squared errors, i.e. risks. Chapter 3 develops the works in Chapter 2 to the general ridge regressions. By connecting general ridge regression with kernel density estimation, an asymptotically optimal semiparametric ridge-type estimator is built. By connecting general ridge regression with model averaging, a class of model averaging ridge-type estimators are obtained. These estimators are observed to have different improvements upon the feasible general ridge estimators when model uncertainties, i.e., the error variances are different. To encourage better understanding on model averaging and model selection, Chapter 4 gives a comprehensive literature review and analysis on these topics from a frequentist's point of view. Parametric and nonparametric procedures in the recent developments are explored. Chapter 5 starts investigating panel data estimation by introducing nonparametrics in the picture. The proposed two-stage estimator shows good behaviors in Monte Carlo simulation. In addition, illustrative empirical examples in health economics and environmental economics are also introduced.
