"Improving Small Sample Properties of the Empirical Likelihood Estimation" [PDF]
We propose to use a simple modification of the maximum empirical likelihood (MEL) method for estimating structural equation in econometrics. The modified estimator improves both the asymptotic bias and the mean squared error of the MEL estimator in the ...
Naoto Kunitomo
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The modeling of medical expenditure data from a longitudinal survey using the generalized method of moments (GMM) approach. [PDF]
Stat Med, 2016 Hass Z +4 more
europepmc +1 more source
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
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Hodges-Lehmann Optimality for Testing Moment [PDF]
This paper studies the Hodges and Lehmann (1956) optimality of tests in a general setup. The tests are compared by the exponential rates of growth to one of the power functions evaluated at a fixed alternative while keeping the asymptotic sizes bounded ...
Ivan Canay, Taisuke Otsu
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On Distributed Lags in Dynamic Panel Data Models: Evidence from Market Shares [PDF]
The objective of this paper is twofold: First, the applicability of a widely used dynamic model, the autoregressive distributed lag model (ARDL), is scrutinized in a panel data setting. Second, Chile’s development of market shares in the EU market in the
Dierk Herzer +3 more
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Testing asset pricing models with Euler equations: it's worse than you think [PDF]
This paper reexamines the small sample properties of Hansen's (1982) Generalized Method of Moments (GMM) and Hansen and Jagannathan's (1989) estimation-free tests on simulated data from a more plausible consumption based asset pricing model.
Christopher J. Neely
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Consequences of gender inequality on economic development: an empirical approach for OECD countries
Discover SustainabilityThis paper aims to explain how to use the generalized method of moments (GMM) analysis technique to estimate the relationship between the gender wage gap and economic development for unbalanced panel data for OECD countries during the period 2011–2021 ...
Qusai Talafha +3 more
doaj +1 more source
Some Further Evidence on Exchange-Rate Volatility and Exports [PDF]
The relationship between exchange-rate volatility and aggregate export volumes for 12 industrial economies is examined using a model that includes real export earnings of oil-producing economies as a determinant of industrial-country export volumes.
George Hondroyiannis +3 more
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Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators [PDF]
This paper compares generalized method of moments (GMM) and simulated maximum likelihood (SML) approaches to the estimation of the panel probit model. Both techniques circumvent multiple integration of joint density functions without the need to restrict
Joachim Inkmann
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