Results 61 to 70 of about 335,692 (188)
Large Deviations of Generalized Method of Moments and Empirical Likelihood Estimators [PDF]
This paper studies large deviation properties of the generalized method of moments and generalized empirical likelihood estimators for moment restriction models.
Taisuke Otsu
core
Moments of IV and JIVE estimators [PDF]
We develop a method based on the use of polar coordinates to investigate the existence of moments for instrumental variables and related estimators in the linear regression model. For generalized IV estimators, we obtain familiar results.
James Mackinnon, Russell Davidson
core +3 more sources
Static observables of relativistic three-fermion systems with instantaneous interactions
, 2006 We show that static properties like the charge radius and the magnetic moment of relativistic three-fermion bound states with instantaneous interactions can be formulated as expectation values with respect to intrinsically defined wavefunctions.
B. Metsch +12 more
core +1 more source
GMM estimation of spatial panels [PDF]
We consider Generalized Method of Moments (GMM) estimation of a regression model with spatially correlated errors. We propose some new moment conditions, and derive the asymptotic distribution of the GMM based on them.
Moscone, Francesco, Tosetti, Elisa
core +1 more source
Parameter Estimation of Gaussian Stationary Processes using the Generalized Method of Moments
, 2017 We consider the class of all stationary Gaussian process with explicit parametric spectral density. Under some conditions on the autocovariance function, we defined a GMM estimator that satisfies consistency and asymptotic normality, using the Breuer ...
Barboza, Luis A., Viens, Frederi G.
core +1 more source
Generalized Method of Wavelet Moments
, 2011 This paper presents a new estimation method for the parameters of a model generating times series. Given some conditions on the form of the power spectral density associated to the process, it is possible to indirectly recover pa- rameter estimates from wavelet variances (WV) associated to the process.
Guerrier, Stéphane +3 more
openaire +2 more sources
Simulation-based Estimation Methods for Financial Time Series Models [PDF]
This chapter overviews some recent advances on simulation-based methods of estimating financial time series models that are widely used in financial economics.
Jun Yu
core
Exact computation of GMM estimators for instrumental variable quantile regression models
, 2017 We show that the generalized method of moments (GMM) estimation problem in instrumental variable quantile regression (IVQR) models can be equivalently formulated as a mixed integer quadratic programming problem.
Chen, Le-Yu, Lee, Sokbae
core +1 more source
Bayesian generalized method of moments
Bayesian Analysis, 2009 We propose the Bayesian generalized method of moments (GMM), which is particularly useful when likelihood-based methods are difficult. By deriving the moments and concatenating them together, we build up a weighted quadratic objective function in the GMM framework.
openaire +5 more sources
A penalized linear mixed model with generalized method of moments for prediction analysis on high-dimensional multi-omics data. [PDF]
Brief Bioinform, 2022 Wang X, Wen Y.
europepmc +1 more source