Consistent Estimation Of A Two Equation Error Components Model PDF Download
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Author | : Rachid Boumahdi |
Publisher | : |
Total Pages | : 12 |
Release | : 1990 |
Genre | : |
ISBN | : |
Download Consistent Estimation of a Two Equation-error Components Model Book in PDF, ePub and Kindle
The problem considered here is the estimation of the parameters of the regression model with panel data where the dependent variable is truncated. A two equation-error components is presented and a consistent estimate is the proposed. A test of equality between two sets of coefficients is developed.
Author | : Jayalakshmi Krishnakumar |
Publisher | : Springer Science & Business Media |
Total Pages | : 371 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 3642456472 |
Download Estimation of Simultaneous Equation Models with Error Components Structure Book in PDF, ePub and Kindle
Economists can rarely perform controlled experiments to generate data. Existing information in the form of real-life observations simply has to be utilized in the best possible way. Given this, it is advantageous to make use of the increasing availability and accessibility of combinations of time-series and cross-sectional data in the estimation of economic models. But such data call for a new methodology of estimation and hence for the development of new econometric models. This book proposes one such new model which introduces error components in a system of simultaneous equations to take into account the temporal and cross-sectional heterogeneity of panel data. After a substantial survey of panel data models, the newly proposed model is presented in detail and indirect estimations, full information and limited information estimations, and estimations with and without the assumption of normal distribution errors. These estimation methods are then applied using a computer to estimate a model of residential electricity demand using data on American households. The results are analysed both from an economic and from a statistical point of view.
Author | : Virendera K. Srivastava |
Publisher | : CRC Press |
Total Pages | : 392 |
Release | : 2020-08-13 |
Genre | : Mathematics |
ISBN | : 1000105725 |
Download Seemingly Unrelated Regression Equations Models Book in PDF, ePub and Kindle
This book brings together the scattered literature associated with the seemingly unrelated regression equations (SURE) model used by econometricians and others. It focuses on the theoretical statistical results associated with the SURE model.
Author | : Charles Stockton Roehrig |
Publisher | : Routledge |
Total Pages | : 107 |
Release | : 2018-03-05 |
Genre | : Business & Economics |
ISBN | : 1351140507 |
Download Estimation of M-equation Linear Models Subject to a Constraint on the Endogenous Variables Book in PDF, ePub and Kindle
Originally published in 1984. This book brings together a reasonably complete set of results regarding the use of Constraint Item estimation procedures under the assumption of accurate specification. The analysis covers the case of all explanatory variables being non-stochastic as well as the case of identified simultaneous equations, with error terms known and unknown. Particular emphasis is given to the derivation of criteria for choosing the Constraint Item. Part 1 looks at the best CI estimators and Part 2 examines equation by equation estimation, considering forecasting accuracy.
Author | : Manuel Arellano |
Publisher | : |
Total Pages | : 28 |
Release | : 1990 |
Genre | : Error analysis (Mathematics) |
ISBN | : |
Download Another Look at the Instrumental-variable Estimation of Error-components Models Book in PDF, ePub and Kindle
Author | : Lung-Fei Lee |
Publisher | : |
Total Pages | : 28 |
Release | : 1992 |
Genre | : Estimation theory |
ISBN | : |
Download Consistent Estimation of Linear and Nonlinear Errors-in- Variables Models with Validation Information Book in PDF, ePub and Kindle
Author | : Theodore Wilbur Anderson |
Publisher | : |
Total Pages | : 52 |
Release | : 1980 |
Genre | : Econometrics |
ISBN | : |
Download Estimation of Dynamic Models with Error Components Book in PDF, ePub and Kindle
Author | : T. Fomby |
Publisher | : Elsevier |
Total Pages | : 266 |
Release | : 2003-12-12 |
Genre | : Business & Economics |
ISBN | : 0762310758 |
Download Maximum Likelihood Estimation of Misspecified Models Book in PDF, ePub and Kindle
Comparative study of pure and pretest estimators for a possibly misspecified two-way error component model / Badi H. Baltagi, Georges Bresson, Alain Pirotte -- Estimation, inference, and specification testing for possibly misspecified quantile regression / Tae-Hwan Kim, Halbert White -- Quasimaximum likelihood estimation with bounded symmetric errors / Douglas Miller, James Eales, Paul Preckel -- Consistent quasi-maximum likelihood estimation with limited information / Douglas Miller, Sang-Hak Lee -- An examination of the sign and volatility switching arch models under alternative distributional assumptions / Mohamed F. Omran, Florin Avram -- estimating a linear exponential density when the weighting matrix and mean parameter vector are functionally related / Chor-yiu Sin -- Testing in GMM models without truncation / Timothy J. Vogelsang -- Bayesian analysis of misspecified models with fixed effects / Tiemen Woutersen -- Tests of common deterministic trend slopes applied to quarterly global temperature data / Thomas B. Fomby, Timothy J. Vogelsang -- The sandwich estimate of variance / James W. Hardin -- Test statistics and critical values in selectivity models / R. Carter Hill, Lee C. Adkins, Keith A. Bender -- Introduction / Thomas B Fomby, R. Carter Hill.
Author | : William T. Dickens |
Publisher | : |
Total Pages | : 48 |
Release | : 1985 |
Genre | : Analysis of variance |
ISBN | : |
Download Error Components in Grouped Data Book in PDF, ePub and Kindle
When estimating linear models using grouped data researchers typically weight each observation by the group size. Under the assumption that the regression errors for the underlying micro data have expected values of zero, are independent and are homoscedastic, this procedure produces best linear unbiased estimates. This note argues that for most applications in economics the assumption that errors are independent within groups is inappropriate. Since grouping is commonly done on the basis of common observed characteristics, it is inappropriate to assume that there are no unobserved characteristics in common. If group members have unobserved characteristics in common, individual errors will be correlated. If errors are correlated within groups and group sizes are large then heteroscedasticity may be relatively unimportant and weighting by group size may exacerbate heteroscedasticity rather than eliminate it. Two examples presented here suggest that this may be the effect of weighting in most non-experimental applications. In many situations unweighted ordinary least squares may be a preferred alternative. For those cases where it is not, a maximum likelihood and an asymptotically efficient two-step generalized least squares estimator are proposed. An extension of the two-step estimator for grouped binary data is also presented.
Author | : Yves Croissant |
Publisher | : John Wiley & Sons |
Total Pages | : 328 |
Release | : 2018-08-10 |
Genre | : Mathematics |
ISBN | : 1118949188 |
Download Panel Data Econometrics with R Book in PDF, ePub and Kindle
Panel Data Econometrics with R provides a tutorial for using R in the field of panel data econometrics. Illustrated throughout with examples in econometrics, political science, agriculture and epidemiology, this book presents classic methodology and applications as well as more advanced topics and recent developments in this field including error component models, spatial panels and dynamic models. They have developed the software programming in R and host replicable material on the book’s accompanying website.