Robust Methods And Asymptotic Theory In Nonlinear Econometrics
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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.
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.
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.
Introduction To Robust And Quasi Robust Statistical Methods
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Author : W.J.J. Rey
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Introduction To Robust And Quasi Robust Statistical Methods written by W.J.J. Rey 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.
Robust Methods And Asymptotic Theory In Nonlinear Econometrics
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Author : Henri R. Sneessens
language : en
Publisher:
Release Date : 1981
Robust Methods And Asymptotic Theory In Nonlinear Econometrics written by Henri R. Sneessens and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1981 with Decision making 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.
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.
The Cowles Commission In Chicago 1939 1955
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Author : Clifford Hildreth
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
The Cowles Commission In Chicago 1939 1955 written by Clifford Hildreth 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.
The author is indebted to the Alfred P. Sloan Foundation and to the Graduate School of the University of Minnesota for financial aid. This permitted visits with quite a few old Cowlespeople, reproduction of documents, and some reduction in teaching commitments. The many who responded with information and suggestions cannot be blamed for the shortcomings of the book. Faculty and staff at the Cowles Foundation were particularly helpful. Dori Clifton, Business Manager, and Karlee Gifford, Librarian, were always resourceful in locating people and documents. Michael Intrilgator, Leonid Hurwicz, and Martin Beckmann fur- Intriligator also nished perceptive comments on an earlier draft. obtained my access to the Marschak archives at UCLA. Wendy Williamson, the librarian at the Jacob C. Schmookler Library at the University of Minnesota cheerfully and efficiently handled lots of (sometimes vague) requests for reference materials and produced neat and timely drafts from very trying scratchpaper. Appropriate parts of my correspondence and some copies of documents will be placed in a Cowles Commission archive at the Cowles Foundation, Vale University.
The Theory And Practice Of Econometrics
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Author : George G. Judge
language : en
Publisher: John Wiley & Sons
Release Date : 1991-01-16
The Theory And Practice Of Econometrics written by George G. Judge and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-01-16 with Business & Economics categories.
This broadly based graduate-level textbook covers the major models and statistical tools currently used in the practice of econometrics. It examines the classical, the decision theory, and the Bayesian approaches, and contains material on single equation and simultaneous equation econometric models. Includes an extensive reference list for each topic.
Dynamical Systems
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Author : Alexander B. Kurzhanski
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-11-11
Dynamical Systems written by Alexander B. Kurzhanski 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 2013-11-11 with Business & Economics categories.
The investigation of special topics in systems dynamics -uncertain dynamic processes, viability theory, nonlinear dynamics in models for biomathematics, inverse problems in control systems theory-has become a major issue at the System and Decision Sciences Research Program of the International Insti tute for Applied Systems Analysis. The above topics actually reflect two different perspectives in the investigation of dynamic processes. The first, motivated by control theory, is concerned with the properties of dynamic systems that are stable under vari ations in the systems' parameters. This allows us to specify classes of dynamic systems for which it is possible to construct and control a whole "tube" of trajectories assigned to a system with uncertain parameters and to resolve some inverse problems of control theory within numerically stable solution schemes. The second perspective is to investigate generic properties of dynamic systems that are due to nonlinearity (as bifurcations theory, chaotic behavior, stability properties, and related problems in the qualitative theory of differential systems). Special stress is given to the applications of non linear dynamic systems theory to biomathematics and ecoloey.