Finite-sample properties of single-equation estimators under structural change are investigated when two endogenous variables appear in the equation of interest. The single-equation estimators obtained in Barten and Bronsard (1970) and Hodoshima (1988) are derived for the model with structural change ...
ThesampleofdatafromthepopulationThestochasticspecificationoftheregressionmodelEndowmentofthestochasticpropertiesofthemodelupontheleastsquaresestimator LeastSquares b(X'X)1X'y=(X'X)1X'(X+)=(X'X)1X'Alsob(X'X)X'y=(X'X)=(X'X)n111 ...
Finite-sample properties of the maximum likelihood estimator for the Poisson regression model with random covariates, Communications in Statistics – Theory and Methods - Chen, GilesChen, Q. and D. E. Giles, 2009, Finite-sample properties of the maximum likelihood estimator for the Poisson ...
distribution“Finitesample”propertiesasopposedto “asymptotic”or“largesample”properties DerivingtheProperties So,b=aparametervector+alinearcombinationofthedisturbances,eachtimesavector.Therefore,bisavectorofrandomvariables.Weanalyzeitassuch.Theassumptionofnonstochasticregressors.Howitisusedatthispoint.Wedotheanalysis...
The consistency of a bootstrap approximation is established, and the finite sample properties of this approximation are investigated by means of a simulation... H Dette,N Neumeyer,IV Keilegom - 《Journal of the Royal Statistical Society》 被引量: 113发表: 2007年 A General Model for Finite-S...
(2009) Unit root test- ing against an ST-MTAR alternative: finite sample properties and an application to the UK housing market, Applied Economics, 41, pp. 1397-1404.Cook, S. and Vougas, D. (2009), Unit root testing against an ST-MTAR alternative: finite- sample properties and an ...
We analytically investigate size and power properties of a popular family of procedures for testing linear restrictions on the coefficient vector in a linear regression model with temporally dependent errors. The tests considered are autocorrelation-corrected F-type tests based on prewhitened nonparametric...
The asymptotic distribution of an estimator approximates well the central part, but less accurately the tails of its true distribution. Some properties of estimators are always non-asymptotic, regardless a widely accepted view that their properties under moderate sample sizes are inherited from the asy...
asymptotic and finite-sample properties of estimators based on stochastic gradients 1 P Toulis,EM Airoldi 被引量: 0发表: 2019年 Quasi-maximum likelihood estimation of stochastic volatility models This article analyses the asymptotic and finite sample properties of a Quasi-Maximum Likelihood (QML) ...
We develop evidence on the finite sample properties of the Generalized Method of Moments (GMM) in an asset pricing context. The models imply nonlinear, cross-equation restrictions on predictive regressions for security returns. We find that a two-stage GMM approach produces goodness-of-fit statistic...