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Synopsis
This Lecture Note deals with asymptotic properties, i.e. weak and strong consistency and asymptotic normality, of parameter estimators of nonlinear regression models and nonlinear structural equations under various assumptions on the distribution of the data. The estimation methods involved are nonlinear least squares estimation (NLLSE), nonlinear robust M-estimation (NLRME) and non- linear weighted robust M-estimation (NLWRME) for the regression case and nonlinear two-stage least squares estimation (NL2SLSE) and a new method called minimum information estimation (MIE) for the case of structural equations. The asymptotic properties of the NLLSE and the two robust M-estimation methods are derived from further elaborations of results of Jennrich. Special attention is payed to the comparison of the asymptotic efficiency of NLLSE and NLRME. It is shown that if the tails of the error distribution are fatter than those of the normal distribution NLRME is more efficient than NLLSE. The NLWRME method is appropriate if the distributions of both the errors and the regressors have fat tails. This study also improves and extends the NL2SLSE theory of Amemiya. The method involved is a variant of the instrumental variables method, requiring at least as many instrumental variables as parameters to be estimated. The new MIE method requires less instrumental variables. Asymptotic normality can be derived by employing only one instrumental variable and consistency can even be proved with- out using any instrumental variables at all.
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Lecture Notes in Economics and Mathematical Systems: Robust Methods and Asymptotic Theory in Nonlinear Econometrics (Volume 192)
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Springer, 1981
ISBN 10 : 3540108386
ISBN 13 : 9783540108382
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Etat : Good. Volume 192. This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. Clean from markings. In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,400grams, ISBN:3540108386. N° de réf. du vendeur 9848006
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Robust Methods and Asymptotic Theory in Nonlinear Econometrics
Edité par
Springer Berlin Heidelberg, 1981
ISBN 10 : 3540108386
ISBN 13 : 9783540108382
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Vendeur : moluna, Greven, Allemagne
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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. This Lecture Note deals with asymptotic properties, i.e. weak and strong consistency and asymptotic normality, of parameter estimators of nonlinear regression models and nonlinear structural equations under various assumptions on the distribution of the dat. N° de réf. du vendeur 4881116
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Robust Methods and Asymptotic Theory in Nonlinear Econometrics
Edité par
Springer Berlin Heidelberg, 1981
ISBN 10 : 3540108386
ISBN 13 : 9783540108382
Neuf
Taschenbuch
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
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Taschenbuch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - This Lecture Note deals with asymptotic properties, i.e. weak and strong consistency and asymptotic normality, of parameter estimators of nonlinear regression models and nonlinear structural equations under various assumptions on the distribution of the data. The estimation methods involved are nonlinear least squares estimation (NLLSE), nonlinear robust M-estimation (NLRME) and non linear weighted robust M-estimation (NLWRME) for the regression case and nonlinear two-stage least squares estimation (NL2SLSE) and a new method called minimum information estimation (MIE) for the case of structural equations. The asymptotic properties of the NLLSE and the two robust M-estimation methods are derived from further elaborations of results of Jennrich. Special attention is payed to the comparison of the asymptotic efficiency of NLLSE and NLRME. It is shown that if the tails of the error distribution are fatter than those of the normal distribution NLRME is more efficient than NLLSE. The NLWRME method is appropriate if the distributions of both the errors and the regressors have fat tails. This study also improves and extends the NL2SLSE theory of Amemiya. The method involved is a variant of the instrumental variables method, requiring at least as many instrumental variables as parameters to be estimated. The new MIE method requires less instrumental variables. Asymptotic normality can be derived by employing only one instrumental variable and consistency can even be proved with out using any instrumental variables at all. N° de réf. du vendeur 9783540108382
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Robust Methods and Asymptotic Theory in Nonlinear Econometrics (Lecture Notes in Economics and Mathematical Systems, 192)
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Robust Methods and Asymptotic Theory in Nonlinear Econometrics (Lecture Notes in Economics and Mathematical Systems)
Edité par
Springer Berlin Heidelberg 1981-01-01, 1981
ISBN 10 : 3540108386
ISBN 13 : 9783540108382
Neuf
Paperback
Vendeur : Chiron Media, Wallingford, Royaume-Uni
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Paperback. Etat : New. N° de réf. du vendeur 6666-IUK-9783540108382
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Robust Methods and Asymptotic Theory in Nonlinear Econometrics
Edité par
Springer Berlin Heidelberg, Springer Berlin Heidelberg Jun 1981, 1981
ISBN 10 : 3540108386
ISBN 13 : 9783540108382
Neuf
Taschenbuch
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Taschenbuch. Etat : Neu. This item is printed on demand - Print on Demand Titel. Neuware -This Lecture Note deals with asymptotic properties, i.e. weak and strong consistency and asymptotic normality, of parameter estimators of nonlinear regression models and nonlinear structural equations under various assumptions on the distribution of the data. The estimation methods involved are nonlinear least squares estimation (NLLSE), nonlinear robust M-estimation (NLRME) and non linear weighted robust M-estimation (NLWRME) for the regression case and nonlinear two-stage least squares estimation (NL2SLSE) and a new method called minimum information estimation (MIE) for the case of structural equations. The asymptotic properties of the NLLSE and the two robust M-estimation methods are derived from further elaborations of results of Jennrich. Special attention is payed to the comparison of the asymptotic efficiency of NLLSE and NLRME. It is shown that if the tails of the error distribution are fatter than those of the normal distribution NLRME is more efficient than NLLSE. The NLWRME method is appropriate if the distributions of both the errors and the regressors have fat tails. This study also improves and extends the NL2SLSE theory of Amemiya. The method involved is a variant of the instrumental variables method, requiring at least as many instrumental variables as parameters to be estimated. The new MIE method requires less instrumental variables. Asymptotic normality can be derived by employing only one instrumental variable and consistency can even be proved with out using any instrumental variables at all.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 216 pp. Englisch. N° de réf. du vendeur 9783540108382
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Robust Methods and Asymptotic Theory in Nonlinear Econometrics (Lecture Notes in Economics and Mathematical Systems, 192)
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Robust Methods and Asymptotic Theory in Nonlinear Econometrics
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Etat : New. pp. 216. N° de réf. du vendeur 2648018344
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Robust Methods and Asymptotic Theory in Nonlinear Econometrics
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Etat : New. Print on Demand pp. 216 67:B&W 6.69 x 9.61 in or 244 x 170 mm (Pinched Crown) Perfect Bound on White w/Gloss Lam. N° de réf. du vendeur 44764279
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Robust Methods and Asymptotic Theory in Nonlinear Econometrics
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Etat : New. PRINT ON DEMAND pp. 216. N° de réf. du vendeur 1848018338
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