搜索结果: 1-15 共查到“数量经济学 Estimation”相关记录16条 . 查询时间(0.092 秒)
Estimation of simultaneous systems of spatially interrelated cross sectional equations
Spatial dependence Simultaneous equation system Two-stage least squares Three-stage least squares Generalized moments estimation
2015/9/24
In this paper we consider a simultaneous system of spatially interrelated cross sectional equations. Our speci.cation incorporates spatial lags in the endogenous and exogenous variables. In modelling ...
INSTRUMENTAL VARIABLE ESTIMATION OF A SPATIAL AUTOREGRESSIVE MODEL WITH AUTOREGRESSIVE DISTURBANCES:LARGE AND SMALL SAMPLE RESULTS
INSTRUMENTAL VARIABLE ESTIMATION SPATIAL AUTOREGRESSIVE MODEL AUTOREGRESSIVE DISTURBANCES LARGE AND SMALL SAMPLE
2015/9/24
The purpose of this paper is two-fold. First, on a theoretical level we introduce a series-type instrumental variable (IV) estimator of the parameters of a spatial first order autoregressive model wit...
ESTIMATION PROBLEMS IN MODELS WITH SPATIAL WEIGHTING MATRICES WHICH HAVE BLOCKS OF EQUAL ELEMENTS
SPATIAL WEIGHTING MATRICES HAVE BLOCKS EQUAL ELEMENTS
2015/9/24
Spatial models whose weighting matrices have blocks of equal elements might be considered if units are viewed as equally distant within certain neighborhoods, but unrelated between neighborhoods. We g...
HAC estimation in a spatial framework
Heteroscedasticity and autocorrelation consistent (HAC) estimator Instrumental variable estimator Spatial models
2015/9/24
We suggest a non-parametric heteroscedasticity and autocorrelation consistent (HAC) estimator of the variance–covariance (VC) matrix for a vector of sample moments within a spatial context. Wedemonstr...
Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
Spatial dependence Heteroskedasticity Cliff–Ord model Two-stage least squares Generalized moments estimation Asymptotics
2015/9/24
This study develops a methodology of inference for a widely used Cliff–Ord type spatial model containing spatial lags in the dependent variable, exogenous variables, and the disturbance terms, while a...
Methods of Efficient Parameter Estimation in Control Problems
Efficient Parameter Estimation Control Problems
2015/8/5
Methods of Efficient Parameter Estimation in Control Problems.
Consistent Factor Estimation in Dynamic Factor Models with Structural Instability
Factor Estimation Dynamic Factor Models Structural Instability
2014/3/18
This paper considers the estimation of approximate dynamic factor models when there is temporal instability in the factor loadings. We characterize the type and magnitude of instabilities under which ...
上海财经大学经济学院高级计量经济学I课件Lecture 3 Maximum Likelihood Estimation
上海财经大学经济学院 高级计量经济学I 课件 Lecture 3 Maximum Likelihood Estimation
2012/7/16
上海财经大学经济学院高级计量经济学I课件Lecture 3 Maximum Likelihood Estimation.
In this paper, we introduce a new approach to constructing unbiased estimators when computing expectations of path functionals associated with stochastic differential equations (SDEs). Our randomizati...
Dynamic Large Spatial Covariance Matrix Estimation in Application to Semiparametric Model Construction via Variable Clustering: the SCE approach
Time Series Covariance Estimation Regularization Sparsity Thresholding Semiparametrics Graphical Model Variable Clustering
2011/7/5
To better understand the spatial structure of large panels of economic and nancial time
series and provide a guideline for constructing semiparametric models, this paper rst consid-
ers estimating...
Market Implied Probability Distributions and Bayesian Skew Estimation
Market Implied Probability Distributions Bayesian Skew Estimation
2010/11/2
We review and illustrate how the volatility smile translates into a probability distribution, the market-implied probability distribution representing believes priced in. The effects of changes in the...
Nonparametric methods for volatility density estimation
stochastic volatility models deconvolution density estimation kernel estimator wavelets minimum contrast estimation
2010/11/2
Stochastic volatility modelling of nancial processes has become increasingly popular. The proposed models usually contain a stationary volatility process. We will motivate and review several nonparam...
Double Kernel estimation of sensitivities。
Maximum likelihood estimation of stochastic volatility models
Closed-form likelihood expansions Volatility proxies Heston model GARCH model CEV model
2014/3/13
We develop and implement a method for maximum likelihood estimation in closed-form of stochastic volatility models. Using Monte Carlo simulations, we compare a full likelihood procedure,where an optio...
Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach
Maximum-Likelihood Estimation Discretely-Sampled Diffusions A Closed-Form Approximation Approach
2014/3/13
Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach.