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(“regressors”) and unobservable “errors” according to a fixed structural relation of the form. In this approach the interpretation of the error term E is different than for the parametric approach. its stochastic properties derive from its definition in terms of the functional g. Estimation of the function g. is straightforward once a suitable estimator gYIX of the conditional distribution of...
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Estimators that depend on the shape of the estimated function 2538. This chapter describes some of the existing results on the development of nonparametric methods using the restrictions of economic theory.. Studying restrictions on the relationship between economic variables is one of the most important objectives of economic theory. The usefulness of the restrictions of economic theory on parametric models...
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ANALOG ESTIMATION OF ECONOMETRIC MODELS*. The analogy principle 2.2. Econometric models. Method-of-moments estimation of separable models 3.1. Method-of-moments estimation of response models 4.1. Estimation of general separable and response models 5.1. Closest-empirical-distribution estimation of separable models 5.2. Minimum-distance estimation of response models. If there is no such statistic, then one may choose an estimate that, in some well-defined sense, makes...
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Symmetry of the problem 3. In the simplest case of two hypotheses H, and H,, this is equivalent to the definition of the critical region giving the set of observations for which H, is rejected. However, the determination of the decision rule is not done on the same basis as model choice. Hypothesis testing theory is usually advocated when one...
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Estimation of asymptotic covariance matrices and computation of the major test statistics are covered. Most of the specific work on nonergodic processes has been in the context of linear models. An immediate implication of essential stationarity is that the variance of the partial sum,. Condition (2.2) implies that the variance of the partial sum is bounded above by a multiple...
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Tests of the I( 1) and I(0) hypotheses: links and practical limitations 6.1. Early versions of new classical theories of the business cycle (real business cycle models) predicted that many real economic variables would exhibit considerable persistence, more precisely, would contain a unit root in their autoregressive (AR) representations.. Orcutt (1948) found a high degree of serial correlation in the...
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Identification of the structural VAR 4.5. This paper surveys two of the most important recent developments in this area:. proposition is testable without a complete specification of the structural model.. The first question ~ what is the dynamic response of the variables to exogenous shocks. Before proceeding to the body of the survey, three organizational comments are useful. Regression (2.2)...
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This paper surveys some of the recent developments in nonlinear analysis of economic time series. and denote all of the variables (and lags) used in I, by w,. The properties of the estimated models should be checked. Recent surveys of some of the topics considered here include Tong (1990) for univariate time series, Delgado and Robinson (1992) Hardle (1990) and...
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becomes more highly leveraged when the value of the firm falls. Numerous parametric specifications for the time varying conditional variance have been proposed in the literaturẹ In the linear ARCH(q) model originally introduced by Engle (1982), the conditional variance is postulated to be a linear function of the past q squared innovations,. The appeal of the observational equivalent formulation in...
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Overview of the Kalman filter 2.2. Derivation of the Kalman filter 2.3. Interpretation of the Kalman filter with non-normal disturbances 2.6. Empirical application - an analysis of the real interest rate 4. Linear state-space representation of the Markov-switching model 4.2. This chapter reviews the usefulness of the Kalman filter for parameter estimation and inference about unobserved variables in linear dynamic...
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Alternative models of the “error term”. the optimal decision rule 6 is a deterministic function of the state s,. Under the further restriction that {E,} is an IID extreme value process we obtain a dynamic generalization of the well-known multinomial logit model,. Although many of the results described in Section 3 can be generalized to continuous- time semi-Markov processes [Ahn...