Econometric modelling with nonnormal disturbances

DOI10.1016/0304-4076(81)90023-3zbMath0524.62116OpenAlexW2054452175MaRDI QIDQ584892

Stephen M. Goldfeld, Richard E. Quandt

Publication date: 1981

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(81)90023-3

zbMATH Keywords

asymptotic resultslimited sampling experimentsnonnormal density functionsone-market disequilibrium modelSargan densities

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) General equilibrium theory (91B50)

Related Items (7)

Partially adaptive estimation via a normal mixture ⋮ On the accuracy and cost of numerical integration in several variables^∗ ⋮ A note on Sargan densities ⋮ Small sample properties of ridge estimators with normal and non-normal disturbances ⋮ Nonparametric density estimation for nonnegative data, using symmetrical-based inverse and reciprocal inverse Gaussian kernels through dual transformation ⋮ Fast multivariate empirical cumulative distribution function with connection to kernel density estimation ⋮ A class of partially adaptive one-step M-estimators for a nonlinear regression model with dependent observations

Uses Software

• REDUCE

Cites Work

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• Tables for Computing Bivariate Normal Probabilities
• Methods of Estimation for Multi-Market Disequilibrium Models
• Disequilibrium Econometrics in Simultaneous Equations Systems
• A Conditional Probit Model for Qualitative Choice: Discrete Decisions Recognizing Interdependence and Heterogeneous Preferences
• The Problem of Integration in Finite Terms
• The Greatest of a Finite Set of Random Variables
• Maximum Likelihood Methods for Models of Markets in Disequilibrium

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