Finite Sample Econometrics

From MaRDI portal
Publication:5710164

DOI10.1093/0198774478.001.0001zbMath1088.62136OpenAlexW4300647011MaRDI QIDQ5710164

Aman Ullah

Publication date: 1 December 2005

Full work available at URL: https://doi.org/10.1093/0198774478.001.0001




Related Items (32)

The asymptotic covariance matrix of the QMLE in ARMA modelsImproved variance estimation of maximum likelihood estimators in stable first-order dynamic regression modelsThe second-order bias of quantile estimatorsTesting slope homogeneity in large panelsExact distribution of the F-statistic under heteroskedasticity of unknown form for improved inferenceTesting slope homogeneity in panel data models with a multifactor error structureHAC estimation in spatial panelsHigher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression modelsThe bias of elasticity estimators in linear regression: some analytic resultsA bias-adjusted LM test of error cross-section independenceGLS detrending and unit root testingSecond-order refinements for \(t\)-ratios with many instrumentsEstimating flow data models of international trade: dual gravity and spatial interactionsIndirect inference estimation of higher-order spatial autoregressive modelsEstimation bias and feasible conditional forecasts from the first-order moving average modelSize corrected significance tests in seemingly unrelated regressions with autocorrelated errorsOn efficiency properties of an \(R\)-square coefficient based on final prediction errorThe second-order bias and mean squared error of estimators in time-series modelsFinite-sample properties of the maximum likelihood estimator for the binary logit model with random covariatesThe Third-Order Bias of Nonlinear EstimatorsMinimum Divergence, Generalized Empirical Likelihoods, and Higher Order ExpansionsFinite-Sample Properties of the Maximum Likelihood Estimator for the Poisson Regression Model With Random CovariatesBias in the estimation of the mean reversion parameter in continuous time modelsLarge panels with common factors and spatial correlationRemark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregressionExpectation of quadratic forms in normal and nonnormal variables with applicationsSaddlepoint approximations for short and long memory time series: a frequency domain approachVariable selection, estimation and inference for multi-period forecasting problemsLocation Properties of Point Estimators in Linear Instrumental Variables and Related ModelsLimit Theory for VARs with Mixed Roots Near UnityDistribution of the mean reversion estimator in the Ornstein–Uhlenbeck processA general method for third-order bias and variance corrections on a nonlinear estimator




This page was built for publication: Finite Sample Econometrics