Download e-book for kindle: Maximum Likelihood Estimation of Misspecified Models: Twenty by T. Fomby & R. Carter Hill (Editors)

By T. Fomby & R. Carter Hill (Editors)

ISBN-10: 0762310758

ISBN-13: 9780762310753

This quantity is the results of an Advances in Econometrics convention held in November of 2002 at Louisiana kingdom collage in popularity of Halbert White's pioneering paintings released in Econometrica in 1980 and 1982 on powerful variance-covariance estimation and quasi-maximum chance estimation. It includes eleven papers on various comparable subject matters together with the estimation of potentially misspecified blunders part and stuck results panel versions, estimation and inference in very likely misspecified quantile regression types, quasi-maximum chance estimation of linear regression types with bounded and symmetric error and quasi-maximum chance estimation of versions with parameter dependencies among the suggest vector and blunder variance-covariance matrix. different themes comprise GMM, HAC, Heckit, uneven GARCH, Cross-Entropy, and multivariate deterministic pattern estimation and trying out less than a variety of attainable misspecifications.

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1999) and Vinnikov et al. (1994) in the context of the multivariate deterministic trend-testing framework of Franses and Vogelsang (2002). We find that, across all seasons, global warming seems to be present for the globe and for the northern and southern hemispheres. Globally and within hemispheres, it appears that seasons are not warming equally fast. In particular, winters appear to be warming faster than summers. Across hemispheres, it appears that the winters in the northern and southern hemispheres are warming equally fast whereas the remaining seasons appear to have unequal warming rates.

Judge, G. , & Bock, M. E. (1978). The statistical implications of pre-test and Stein-Rule estimators in econometrics. Amsterdam: North-Holland. Judge, G. , & Bock, M. E. (1983). Biased estimation. In: Z. D. Intrilligator (Eds), Handbook of Econometrics (Vol. 1, pp. 601–649). Amsterdam: North-Holland. Magnus, J. R. (1999). The traditional pretest estimator. Theory of Probability and Its Applications, 44, 293–308. White, H. (1982). Maximum likelihood estimation of misspecified models. Econometrica, 50, 1–25.

Judge, G. , & Bock, M. E. (1983). Biased estimation. In: Z. D. Intrilligator (Eds), Handbook of Econometrics (Vol. 1, pp. 601–649). Amsterdam: North-Holland. Magnus, J. R. (1999). The traditional pretest estimator. Theory of Probability and Its Applications, 44, 293–308. White, H. (1982). Maximum likelihood estimation of misspecified models. Econometrica, 50, 1–25. Ziemer, R. , & Wetzstein, M. E. (1983). A Stein-rule method for pooling data. Economics Letters, 11, 137–143. APPENDIX This appendix gives the SAS computer code behind the flow chart in Fig.

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Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later by T. Fomby & R. Carter Hill (Editors)


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