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  1. Split-panel jackknife estimation of fixed-effect models
    Autor*in: Dhaene, Geert; Jochmans, Koen
    Erschienen: 2010
    Verlag:  CORE, Louvain-la-Neuve

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 203 (2010,3)
    Fernleihe:
    keine Fernleihe
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 2078.1/29222
    Schriftenreihe: CORE discussion paper ; 2010,3
    Schlagworte: Resampling; Schätztheorie
    Umfang: Online-Ressource (34 S.)
  2. Instrumental variable estimation with heteroskedasticity and many instruments
    Erschienen: 2010
    Verlag:  Johns Hopkins Univ., Dep. of Economics, Baltimore, Md.

    This paper gives a relatively simple, well behaved solution to the problem of many instruments in heteroskedastic data. Such settings are common in microeconometric applications where many instruments are used to improve efficiency and allowance for... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 143 (566)
    Fernleihe:
    keine Fernleihe

     

    This paper gives a relatively simple, well behaved solution to the problem of many instruments in heteroskedastic data. Such settings are common in microeconometric applications where many instruments are used to improve efficiency and allowance for heteroskedasticity is generally important. The solution is a Fuller (1977) like estimator and standard errors that are robust to heteroskedasticity and many instruments. We show that the estimator has finite moments and high asymptotic efficiency in a range of cases. The standard errors are easy to compute, being like White's (1982), with additional terms that account for many instruments. They are consistent under standard, many instrument, and many weak instrument asymptotics. Based on a series of Monte Carlo experiments, we find that the estimators perform as well as LIML or Fuller (1977) under homoskedasticity, and have much lower bias and dispersion under heteroskedasticity, in nearly all cases considered. -- Instrumental Variables ; Heteroskedasticity ; Many Instruments ; Jackknife

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/49880
    Schriftenreihe: Working papers / the Johns Hopkins University, Department of Economics ; 566
    Schlagworte: IV-Schätzung; Heteroskedastizität; Monte-Carlo-Simulation; Resampling; Theorie
    Umfang: Online-Ressource (PDF-Datei: 45 S., 438,63 KB)
  3. Jackknife estimation of stationary autoregressive models
    Autor*in: Chambers, Marcus J.
    Erschienen: 2010
    Verlag:  Univ. of Essex, Dep. of Economics, Colchester

    This paper reports the results of an extensive investigation into the use of the jackknife as a method of estimation in stationary autoregressive models. In addition to providing some general theoretical results concerning jackknife methods it is... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    Keine Speicherung
    Fernleihe:
    keine Fernleihe

     

    This paper reports the results of an extensive investigation into the use of the jackknife as a method of estimation in stationary autoregressive models. In addition to providing some general theoretical results concerning jackknife methods it is shown that a method based on the use of non-overlapping sub-intervals is found to work particularly well and is capable of reducing bias and root mean squared error (RMSE) compared to ordinary least squares (OLS), subject to a suitable choice of the number of sub-samples, rules-of-thumb for which are provided. The jackknife estimators also outperform OLS when the distribution of the disturbances departs from normality and when it is subject to autoregressive conditional heteroskedasticity. Furthermore the jackknife estimators are much closer to being median-unbiased than their OLS counterparts. -- Jackknife ; bias ; autoregression

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Discussion paper series / University of Essex, Department of Economics ; 684
    Schlagworte: Schätztheorie; Resampling; Kleinste-Quadrate-Methode
    Umfang: Online-Ressource (30 S.)
  4. Jackknife bias reduction in the presence of a unit root
    Autor*in: Chambers, Marcus J.; Kyriacou, Maria
    Erschienen: 2010
    Verlag:  Univ. of Essex, Dep. of Economics, Colchester

    This paper analyses the properties of jackknife estimators of the first-order autoregressive coefficient when the time series of interest contains a unit root. It is shown that, when the sub-samples do not overlap, the sub-sample estimators have... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    Keine Speicherung
    Fernleihe:
    keine Fernleihe

     

    This paper analyses the properties of jackknife estimators of the first-order autoregressive coefficient when the time series of interest contains a unit root. It is shown that, when the sub-samples do not overlap, the sub-sample estimators have different limiting distributions from the full-sample estimator and, hence, the jackknife estimator in its usual form does not eliminate fully the first-order bias as intended. The joint moment generating function of the numerator and denominator of these limiting distributions is derived and used to calculate the expectations that determine the optimal jackknife weights. Two methods of avoiding this procedure are proposed and investigated, one based on inclusion of an intercept in the regressions, the other based on adjusting the observations in the sub-samples. Extensions to more general augmented Dickey-Fuller (ADF) regressions are also considered. In addition to the theoretical results extensive simulations reveal the impressive bias reductions that can be obtained with these computationally simple jackknife estimators and they also highlight the importance of correct lag-length selection in ADF regressions. -- Jackknife ; bias reduction ; unit root

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Discussion paper series / University of Essex, Department of Economics ; 685
    Schlagworte: Schätztheorie; Resampling; Einheitswurzeltest; Zeitreihenanalyse
    Umfang: Online-Ressource (60 S.), graph. Darst.