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Bayesian inference in a simultaneous equation model with limited dependent variables
System estimators of cointegrating matrix in absence of normalising information
Using dominance in forming bounds on DEA models: The case of experimental agricultural data
Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances
The estimation of systems of joint differential-difference equations
Analysis of cointegration vectors using the GMM approach
使用 GMM 方法分析协整向量
This paper generalizes Johansen's (1988) maximum likelihood approach of the analysis of cointegrating vectors to the generalized method of moments (GMM) approach. We derive the asymptotic distribution of the cointegration vectors estimated from the fully modified generalized method of moments (FM-GMM) estimation procedure. We also introduce the FM-GMM version of Johansen's (1988) likelihood ratio (LR) test for the rank of a cointegrating matrix. Unlike the LR test which has…
Contracting in space: An application of spatial statistics to discrete-choice models
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators
Estimation of censored linear errors-in-variables models
Stochastic panel frontiers: A semiparametric approach
On the use of sampling weights when estimating regression models with survey data
A consistent nonparametric test for serial independence
Rank estimators for monotonic index models
Spurious regression theory with nonstationary fractionally integrated processes
Representations of I(2) cointegrated systems using the Smith-McMillan form
Tests for changes in models with a polynomial trend
Testing multiple equation systems for common nonlinear components
Hypothesis testing with a restricted parameter space
受限参数空间下的假设检验
This paper considers hypothesis tests when the parameter space is restricted under the alternative hypothesis. Multivariate one-sided tests are a leading example. Optimal tests, called directed tests, are derived using a weighted average power criterion. Exact results are established first for Gaussian linear regression models with known variance. Asymptotic analogues are then established for dynamic nonlinear models. Simulation is used to compare the tests discussed in the…
Estimating count data models with endogenous switching: Sample selection and endogenous treatment effects
Tests of non-nested regression models some results on small sample behaviour and the bootstrap
Censoring of outcomes and regressors due to survey nonresponse: Identification and estimation using weights and imputations
The detection and estimation of long memory in stochastic volatility
随机波动率中的长记忆检测与估计
We propose a new time series representation of persistence in conditional variance called a long memory stochastic volatility (LMSV) model. The LMSV model is constructed by incorporating an ARFIMA process in a standard stochastic volatility scheme. Strongly consistent estimators of the parameters of the model are obtained by maximizing the spectral approximation to the Gaussian likelihood. The finite sample properties of the spectral likelihood estimator are analyzed by…
Impulse response and forecast error variance asymptotics in nonstationary VARs
非平稳 VAR 中脉冲响应与预测误差方差的渐近性质
Estimated impulse responses and forecast error decompositions are shown to be inconsistent at long horizons in unrestricted VARs with some unit roots. Predictions from unrestricted VARs also do not converge to the optimal predictors over long forecast horizons. In contrast, reduced rank regressions produce impulse responses and forecast error variance estimates that are consistent and predictions that are asymptotically optimal, provided the cointegrating rank is correctly…