Author: Hag-Soo Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 258
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Book Description
Abstract: Semiparametric and nonparametric estimation methods have been employed in the estimation of many important econometrics models. Among many interesting econometrics models, we consider nonlinear simultaneous equations models that are known not to be adaptive, which implies that we cannot estimate the parameter vector as efficient asymptotically as if the true distribution of structural errors were known. The nonlinear full information maximum likelihood estimator is in general inconsistent unless the assumed density for the structural errors is the true one. The nonlinear three stage least squares estimator, while robust against misspecification of the error distribution, is not efficient.
Author: Anil K. BERA
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Joachim Inkmann
Publisher: Springer Science & Business Media
ISBN: 3642565719
Category : Business & Economics
Languages : en
Pages : 224
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Book Description
Generalized method of moments (GMM) estimation of nonlinear systems has two important advantages over conventional maximum likelihood (ML) estimation: GMM estimation usually requires less restrictive distributional assumptions and remains computationally attractive when ML estimation becomes burdensome or even impossible. This book presents an in-depth treatment of the conditional moment approach to GMM estimation of models frequently encountered in applied microeconometrics. It covers both large sample and small sample properties of conditional moment estimators and provides an application to empirical industrial organization. With its comprehensive and up-to-date coverage of the subject which includes topics like bootstrapping and empirical likelihood techniques, the book addresses scientists, graduate students and professionals in applied econometrics.
Author: Whitney K. Newey
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Myoung-jae Lee
Publisher: Springer Verlag
ISBN: 0387946268
Category : Business & Economics
Languages : en
Pages : 279
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Book Description
The classical econometric approach to modelling has been to specify a model up to a finite-dimensional parameter vector, and estimation and testing techniques have been widely used on these finite-dimensional parameter spaces. In the last fifteen years or so however, new methods have been developed to allow more flexible models which utilise infinite-dimensional parameters. Simultaneously, methods of moments estimation have also become more widely used and applied. In this book, the author provides a survey of these modern techniques and how they are applied to limited dependent variable (LDV) models. As well as covering many classical approaches, the topics covered include: instrumental variable estimation, the generalized method of moments, extremum estimators, methods of simulated moments, minimum distance estimation, nonparametric density and regression function estimation, and semiparametric methods for LDV. As a result, many graduate students and research workers will appreciate this up-to-date account. An appendix describes the use of the software package GAUSS to implement these methods in conjunction with some real data sets.
Author: Takeshi Amemiya
Publisher: Cambridge University Press
ISBN: 9780521662468
Category : Business & Economics
Languages : en
Pages : 472
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Book Description
This collection investigates parametric, semiparametric, nonparametric, and nonlinear estimation techniques in statistical modeling.
Author: A. Colin Cameron
Publisher: Cambridge University Press
ISBN: 1139444867
Category : Business & Economics
Languages : en
Pages : 1058
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Book Description
This book provides the most comprehensive treatment to date of microeconometrics, the analysis of individual-level data on the economic behavior of individuals or firms using regression methods for cross section and panel data. The book is oriented to the practitioner. A basic understanding of the linear regression model with matrix algebra is assumed. The text can be used for a microeconometrics course, typically a second-year economics PhD course; for data-oriented applied microeconometrics field courses; and as a reference work for graduate students and applied researchers who wish to fill in gaps in their toolkit. Distinguishing features of the book include emphasis on nonlinear models and robust inference, simulation-based estimation, and problems of complex survey data. The book makes frequent use of numerical examples based on generated data to illustrate the key models and methods. More substantially, it systematically integrates into the text empirical illustrations based on seven large and exceptionally rich data sets.
Author: James J. Heckman
Publisher: Elsevier
ISBN: 0444534288
Category : Business & Economics
Languages : en
Pages : 1057
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Book Description
Author: Stephen M. Goldfeld
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 52
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Book Description
The small sample properties of certain estimators of the coefficients of systems of simultaneous nonlinear equations are investigated. Sampling experiments are used in connection with two specific nonlinear models. The estimating methods investigated comprise direct least squares, various forms of two-stage least squares and full-information maximum likelihood. The relative performances of the various methods are evaluated on the basis of informal comparisons of their respective mean absolute errors and root mean square errors and also by more formal tests of significance. Direct least squares is found to be, as expected, the worst estimating method. The other two methods are rather more comparable with full-information maximum likelihood holding the edge for both theoretical and experimental reasons. (Author).
Author:
Publisher: Springer
ISBN: 1349588024
Category : Law
Languages : en
Pages : 7493
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Book Description
The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.
