"Asymptotic Expansions and Higher Order Properties of Semi-Parametric Estimators in a System of Simultaneous Equations" [PDF]
Asymptotic expansions are made for the distributions of the Maximum Empirical Likelihood (MEL) estimator and the Estimating Equation (EE) estimator (or the Generalized Method of Moments (GMM) in econometrics) for the coefficients of a single structural ...
Naoto Kunitomo, Yukitoshi Matsushita
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Gasoline price asymmetries in the Euro Zone [PDF]
This paper uses the generalized method of moments (GMM) estimation to a panel data error correction model (ECM) in order to measure the asymmetries in the transmission of shocks to input prices and exchange rate onto the wholesale and retail gasoline ...
Fotis, Panagiotis, Polemis, Michail
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Utility-based Pricing of the Weather Derivatives [PDF]
Since the underlying of the weather derivatives is not a traded asset, these contracts cannot be evaluated by the traditional financial theory. Cao and Wei (2004) price them by using the consumption-based asset pricing model of Lucas (1978) and by ...
Hélène Hamisultane
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Estimating controlled direct treatment effects on pain intensity using structural mean models. [PDF]
Pain RepWang R, Heagerty PJ, Chan KCG, Suri P.
europepmc +1 more source
Real Balances in the Utility Function: Evidence for Brazil [PDF]
The aim of this paper is to examine the relevance of a money-in-the-utility-function model for the Brazilian economy. In addition to consumption, the household is supposed to derive utility from leisure and from the holdings of real balances. The system,
Leonardo Soriano de Alencar +1 more
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Empirical Likelihood Block Bootstrapping [PDF]
Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated.
Allen, Jason +2 more
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Bayesian generalized method of moments applied to pseudo-observations in survival analysis. [PDF]
Lifetime Data AnalOrsini L +5 more
europepmc +1 more source
Determinants of Capital Structure in Financial Institutions: The Case of Turkey [PDF]
This study analyzes the determinants of capital structure in the Turkish banking sector. We propose an empirical model in order to identify the factors that explain why banks hold capital beyond the amount required by the regulation. We used a panel data
Serkan Özcan, Yakup Asarkaya
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Distributional dynamics of child mortality in Africa: quantile evidence from economic, environmental, and demographic transitions. [PDF]
Front Public HealthRidwan M +7 more
europepmc +1 more source
Evaluating alternative methods for testing asset pricing models with historical data [PDF]
We follow the correct Jagannathan and Wang (2002) framework for comparing the estimates and specification tests of the classical Beta and Stochastic Discount Factor/Generalized Method of Moments (SDF/GMM) methods.
Lozano, Martin, Rubio, Gonzalo
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