truncSP: An R Package for Estimation of Semi-Parametric Truncated Linear Regression Models
Journal of Statistical Software, 2014 Problems with truncated data occur in many areas, complicating estimation and inference. Regarding linear regression models, the ordinary least squares estimator is inconsistent and biased for these types of data and is therefore unsuitable for use ...
Maria Karlsson, Anita Lindmark
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A Note on Bias in First-Differenced AR(1) Models [PDF]
In this note, we derive the finite sample bias of the modified ordinary least squares (MOLS) estimator, which was suggested by Wansbeek and Knaap (1999) and reconsidered by Hayakawa (2006a,b). From the formula for the finite sample bias, we find that the
Kazuhiko Hayakawa
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Aplikasi Model Dinamik Pada Bursa Efek [PDF]
, 2008 Dalam makalah ini dibahas: (1) sifat estimator dari parameter model linier , (2)sifat estimator dari parameter model dinamik , dan (3) aplikasi model dinamik .
Joko, Purwanto
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Ordinary Least Squares Estimation of the Intrahousehold Distribution of Expenditure [PDF]
Journal of Political Economy, 2022 Lechene, V, Pendakur, K, Wolf, A
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Wavelet Estimation of Time Series Regression with Long Memory Processes [PDF]
This paper studies the estimation of time series regression when both regressors and disturbances have long memory. In contrast with the frequency domain estimation as in Robinson and Hidalgo (1997), we propose to estimate the same regression model with ...
Haibin Wu
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Nonlinear Cointegration, Misspecification and Bimodality [PDF]
We show that the asymptotic distribution of the ordinary least squares estimator in a cointegration regression may be bimodal. A simple case arises when the intercept is erroneously omitted from the estimated model or in nonlinear-in-variables models ...
Eduardo Mendes +2 more
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More efficient tests robust to heteroskedasticity of unknown form [PDF]
In the presence of heteroskedasticity of unknown form, the Ordinary Least Squares parameter estimator becomes inefficient and its covariance matrix estimator inconsistent.
Emmanuel Flachaire
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Least Median of Squares Estimation by Optimization Heuristics with an Application to the CAPM and Multi Factor Models [PDF]
For estimating the parameters of models for financial market data, the use of robust techniques is of particular interest. Conditional forecasts, based on the capital asset pricing model, and a factor model are considered.
Chris Sharpe +2 more
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The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators: Purely nonstationary case [PDF]
, 2004 Vector autoregressions (VARs) are an important tool in time series analysis. However, relatively little is known about the nite-sample behaviour of parameter estimators.
Lawford, S, Stamatogiannis, M P
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Conditional inference for possibly unidentified structural equations [PDF]
The possibility that a structural equation may not be identified casts doubt on the measures of estimator precision that are normally used. We argue that the observed identifiability test statistic is directly relevant to the precision with which the ...
Forchini, G., Hillier, G.H.
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