Robust Methods And Asymptotic Theory In Nonlinear Econometric
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Robust Methods And Asymptotic Theory In Nonlinear Econometrics
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Author : H. J. Bierens
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Robust Methods And Asymptotic Theory In Nonlinear Econometrics written by H. J. Bierens and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
This Lecture Note deals with asymptotic properties, i.e. weak and strong consistency and asymptotic normality, of parameter estimators of nonlinear regression models and nonlinear structural equations under various assumptions on the distribution of the data. The estimation methods involved are nonlinear least squares estimation (NLLSE), nonlinear robust M-estimation (NLRME) and non linear weighted robust M-estimation (NLWRME) for the regression case and nonlinear two-stage least squares estimation (NL2SLSE) and a new method called minimum information estimation (MIE) for the case of structural equations. The asymptotic properties of the NLLSE and the two robust M-estimation methods are derived from further elaborations of results of Jennrich. Special attention is payed to the comparison of the asymptotic efficiency of NLLSE and NLRME. It is shown that if the tails of the error distribution are fatter than those of the normal distribution NLRME is more efficient than NLLSE. The NLWRME method is appropriate if the distributions of both the errors and the regressors have fat tails. This study also improves and extends the NL2SLSE theory of Amemiya. The method involved is a variant of the instrumental variables method, requiring at least as many instrumental variables as parameters to be estimated. The new MIE method requires less instrumental variables. Asymptotic normality can be derived by employing only one instrumental variable and consistency can even be proved with out using any instrumental variables at all.
Nonlinear Econometric Modeling In Time Series
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Author : William A. Barnett
language : en
Publisher: Cambridge University Press
Release Date : 2000-05-22
Nonlinear Econometric Modeling In Time Series written by William A. Barnett and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-05-22 with Business & Economics categories.
Nonlinear Econometric Modeling in Time Series presents the more recent literature on nonlinear time series. Specific topics covered with respect to nonlinearity include cointegration tests, risk-related asymmetries, structural breaks and outliers, Bayesian analysis with a threshold, consistency and asymptotic normality, asymptotic inference and error-correction models. With a world-class panel of contributors, this volume addresses topics with major applications for fields such as foreign-exchange markets and interest rate analysis. Eleventh in this series of international symposia, this volume is also part of the European Conference Series in Quantitative Economics and Econometrics (EC)2.
Robust Methods And Asymptotic Theory In Nonlinear Econometrics
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Author : Herman J. Bierens
language : en
Publisher:
Release Date : 1981
Robust Methods And Asymptotic Theory In Nonlinear Econometrics written by Herman J. Bierens and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1981 with Differential equations, Nonlinear categories.
Robust Methods And Asymptotic Theory In Nonlinear Econometric
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Author : Herman J. Bierens
language : de
Publisher:
Release Date : 1981
Robust Methods And Asymptotic Theory In Nonlinear Econometric written by Herman J. Bierens and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1981 with categories.
Robustness Of Statistical Methods And Nonparametric Statistics
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Author : Dieter Rasch
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Robustness Of Statistical Methods And Nonparametric Statistics written by Dieter Rasch and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
This volume contains most of the invited and contributed papers presented at the Conference on Robustness of Statistical Methods and Nonparametric Statistics held in the castle oj'Schwerin, Mai 29 - June 4 1983. This conference was organized by the Mathematical Society of the GDR in cooperation with the Society of Physical and Mathematical Biology of the GDR, the GDR-Region of the International Biometric Society and the Academy of Agricultural Sciences of the GDR. All papers included were thoroughly reviewed by scientist listed under the heading "Editorial Collabora tories·'. Some contributions, we are sorry to report, were not recommended for publi cation by the rf'vif'wers and do not appear in these proceedings. The editors thank the reviewers for their valuable comments and suggestions. The conference was organizf'd bv a Programme Committee, its chairman was Prof. Dr. Dieter Rasch (Research Centre of Animal Production, Dummerstorf-Rostock). The members of the Programme Committee were Prof. Dr., Johannes Adam (Martin-Luther-University Halle) Prof. Dr. Heinz Ahrens (Academy of Sciences of the GDR, Berlin) Doz. Dr. Jana Jureckova (Charles University Praha) Prof. Dr. Moti Lal Tiku (McMaster University, Hamilton, Ontario) The aim of the conference was to discuss several aspects of robustness but mainly to present new results regarding the robustness of classical statistical methods especially tests, confidence estimations, and selection procedures, and to compare their perfor mance with nonparametric procedures. Robustness in this sens~ is understood as intensivity against. violation of the normal assumption.
Dynamic Nonlinear Econometric Models
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Author : Benedikt M Pötscher
language : en
Publisher: Springer Science & Business Media
Release Date : 1997-07-17
Dynamic Nonlinear Econometric Models written by Benedikt M Pötscher and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-07-17 with Business & Economics categories.
Many relationships in economics, and also in other fields, are both dynamic and nonlinear. A major advance in econometrics over the last fifteen years has been the development of a theory of estimation and inference for dy namic nonlinear models. This advance was accompanied by improvements in computer technology that facilitate the practical implementation of such estimation methods. In two articles in Econometric Reviews, i.e., Pötscher and Prucha {1991a,b), we provided -an expository discussion of the basic structure of the asymptotic theory of M-estimators in dynamic nonlinear models and a review of the literature up to the beginning of this decade. Among others, the class of M-estimators contains least mean distance estimators (includ ing maximum likelihood estimators) and generalized method of moment estimators. The present book expands and revises the discussion in those articles. It is geared towards the professional econometrician or statistician. Besides reviewing the literature we also presented in the above men tioned articles a number of then new results. One example is a consis tency result for the case where the identifiable uniqueness condition fails.
Arbitrage Pricing Of Contingent Claims
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Author : Sigrid Müller
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-13
Arbitrage Pricing Of Contingent Claims written by Sigrid Müller and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-13 with Law categories.
Resource Extraction And Market Structure
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Author : Martin Schäfer
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Resource Extraction And Market Structure written by Martin Schäfer and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
Toward Interactive And Intelligent Decision Support Systems
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Author : Yoshikazu Sawaragi
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Toward Interactive And Intelligent Decision Support Systems written by Yoshikazu Sawaragi and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
These proceedings include papers presented at the VII-th Internatio nal Conference on Multiple Criteria Decision Making which was held in Kyoto/Japan on August 18-22, 1986. Multiple Criteria Decision Making (MCDM) has been a greatly import ant subject in many practical fields, for example, in planning, design, control and management in both private and public sectors. After remark able developments of theory, methodology and pilot case studies in rec ent years, it is now facing the stage of real applications and develop ment of more sophisticated methodology as interactive intelligent decision support systems. The conference aimed to provide a significant contribu tion to the future of MCDM as one of total systems including human factors: Substantial emphasis was given to knowledge engineering and cognitive sci ence. The conference inherits the tradition and the style of the previous conferences: (1) Jouy-en-Josas/France (1975), (2) Buffalo/U.S.A. (1977), (3) Konigswinter/FRG (1978), (4) Delaware/U.S.A. (1980), (5) Mons/Belgium (1982), (6) Cleveland/U.S.A. (1984). This time a great many Japanese com panies provided grants for the conference. As a result, the total number of participants was over 120, and a computer demonstration could be reali zed on an extensive scale as well as the conference sessions. Throughout the conference, it was observed that MCDM is making steady progress not only in theory but also as a tool for decision support.
Dynamics Of Macrosystems
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Author : Jean-P. Aubin
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-14
Dynamics Of Macrosystems written by Jean-P. Aubin and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-14 with Business & Economics categories.