Optimal Asymptotic Properties of Maximum Likelihood Estimators of Parameters of Some Econometric Models PDF Download
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Author: Mary Kathleen Vickers
Publisher:
ISBN:
Category : Asymptotes
Languages : en
Pages : 312
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Book Description
Four theorems are proven, which simplify the application to econometric models of Weiss's theorem on asymptotic properties of maximum likelihood estimators in nonstandard cases. The theorems require, roughly: the uniform convergence in any compact sets of the unknown parameters of the expection of the Hessian matrix of the log likelihood function; and the uniform convergence to 0 in the same sense of the variance of the same quantities. The fourth theorem allows one to conclude that the optimal properties hold on an image set of the parameters when the map satisfies certain smoothness conditions, and the first three theorems are satisfied for the original parameter set. These four theorems are applied to autoregressive models, nonlinear models, systems of equations, and probit and logit models to infer optimal asymptotic properties. (Author).
Author: Mary Kathleen Vickers
Publisher:
ISBN:
Category : Asymptotes
Languages : en
Pages : 312
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Book Description
Four theorems are proven, which simplify the application to econometric models of Weiss's theorem on asymptotic properties of maximum likelihood estimators in nonstandard cases. The theorems require, roughly: the uniform convergence in any compact sets of the unknown parameters of the expection of the Hessian matrix of the log likelihood function; and the uniform convergence to 0 in the same sense of the variance of the same quantities. The fourth theorem allows one to conclude that the optimal properties hold on an image set of the parameters when the map satisfies certain smoothness conditions, and the first three theorems are satisfied for the original parameter set. These four theorems are applied to autoregressive models, nonlinear models, systems of equations, and probit and logit models to infer optimal asymptotic properties. (Author).
Author:
Publisher:
ISBN:
Category : Aeronautics
Languages : en
Pages : 790
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Book Description
Lists citations with abstracts for aerospace related reports obtained from world wide sources and announces documents that have recently been entered into the NASA Scientific and Technical Information Database.
Author:
Publisher:
ISBN:
Category : Weights and measures
Languages : en
Pages : 574
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Book Description
Author:
Publisher: Elsevier
ISBN: 0444643125
Category : Mathematics
Languages : en
Pages : 332
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Book Description
Conceptual Econometrics Using R, Volume 41 provides state-of-the-art information on important topics in econometrics, including quantitative game theory, multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, productivity and financial market jumps and co-jumps, among others. - Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society - Includes descriptions and links to resources and free open source R, allowing readers to not only use the tools on their own data, but also jumpstart their understanding of the state-of-the-art
Author: P. J. Dhrymes
Publisher: Springer Science & Business Media
ISBN: 1461393833
Category : Business & Economics
Languages : en
Pages : 605
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Book Description
Author: Herman J. Bierens
Publisher: Cambridge University Press
ISBN: 9780521542241
Category : Business & Economics
Languages : en
Pages : 356
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Book Description
This book is intended for use in a rigorous introductory PhD level course in econometrics.
Author:
Publisher:
ISBN:
Category : Engineering
Languages : en
Pages : 712
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Book Description
Author: National Science Foundation (U.S.)
Publisher:
ISBN:
Category : Engineering
Languages : en
Pages : 716
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Book Description
Author: National Science Foundation (U.S.)
Publisher:
ISBN:
Category : Engineering
Languages : en
Pages : 708
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Book Description
Author: Christian Gouriéroux
Publisher: OUP Oxford
ISBN: 019152509X
Category : Business & Economics
Languages : en
Pages : 190
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Book Description
This book introduces a new generation of statistical econometrics. After linear models leading to analytical expressions for estimators, and non-linear models using numerical optimization algorithms, the availability of high- speed computing has enabled econometricians to consider econometric models without simple analytical expressions. The previous difficulties presented by the presence of integrals of large dimensions in the probability density functions or in the moments can be circumvented by a simulation-based approach. After a brief survey of classical parametric and semi-parametric non-linear estimation methods and a description of problems in which criterion functions contain integrals, the authors present a general form of the model where it is possible to simulate the observations. They then move to calibration problems and the simulated analogue of the method of moments, before considering simulated versions of maximum likelihood, pseudo-maximum likelihood, or non-linear least squares. The general principle of indirect inference is presented and is then applied to limited dependent variable models and to financial series.
