Author: Friedrich Schmid
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
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
Author: Friedrich Schmid
Publisher:
ISBN:
Category :
Languages : de
Pages : 90
Book Description
Publisher:
ISBN:
Category :
Languages : de
Pages : 90
Book Description
Asymptotic Properties of S Estimators for Nonlinear Regression Models with de
Author: Shinichi Sakata
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Asymptotic Properties of S-estimators for Nonlinear Regression Models with Dependent, Heterogeneous Processes
Author: Shinichi Sakata
Publisher:
ISBN:
Category : Estimation theory
Languages : en
Pages : 52
Book Description
Publisher:
ISBN:
Category : Estimation theory
Languages : en
Pages : 52
Book Description
Asymptotic Properties of Maximum Likelihood Estimators in a Nonlinear Regression Model with Unknown Parameters in the Disturbance Covariance Matrix
Author: R. D. H. Heijmans
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
Book Description
Asymptotic Properties of Maximum Likelihood Estimators in the Nonlinear Regression Model when the Errors are Neither Independent Nor Identically Distributed
Author: R. D. H. Heijmans
Publisher:
ISBN:
Category :
Languages : en
Pages : 84
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 84
Book Description
Asymptotic Properties of Maximum Likelihood Estimators in the Nonlinear Regression Model when the Errors are Neither Independent for Identically Distributed
Author: R. D. H. Heijmans
Publisher:
ISBN:
Category :
Languages : en
Pages : 84
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 84
Book Description
Asymptotic Properties of a Class of Robust M-estimators for Nonlinear Regression Models with Momentless Distributed Errors and Regressors
Author: Hermanus Josephus Bierens
Publisher:
ISBN:
Category :
Languages : en
Pages : 58
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 58
Book Description
Asymptotic Properties of Estimators for the Linear Panel Regression Model with Individual Effects and Serially Correlated Errors
Author: Badi H. Baltagi
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
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.
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
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
Author: Jeremy Sin-hing Wu
Publisher:
ISBN:
Category :
Languages : en
Pages : 246
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 246
Book Description