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Artificial likelihoods and estimating functions

Christopher G. Small and Jinfang Wang

in Numerical Methods for Nonlinear Estimating Equations

Published in print:
2003
Published Online:
September 2007
ISBN:
9780198506881
eISBN:
9780191709258
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198506881.003.0006
Subject:
Mathematics, Probability / Statistics

This chapter discusses the problem of root selection using artificial objective functions associated with an estimating function; the artificial likelihoods discussed in this chapter share many ... More


The Method of Simulated Moments (MSM)

Christian Gouriéroux and Alain Monfort

in Simulation-based Econometric Methods

Published in print:
1997
Published Online:
November 2003
ISBN:
9780198774754
eISBN:
9780191596339
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198774753.003.0002
Subject:
Economics and Finance, Econometrics

Presents the GMM method in the static case and in the dynamic case. In the latter case, carefully distinguishes the method based on dynamic conditional moments and the method based on static ... More


Info-Metrics and Statistical Inference: Continuous Problems

Amos Golan

in Foundations of Info-Metrics: Modeling, Inference, and Imperfect Information

Published in print:
2017
Published Online:
November 2017
ISBN:
9780199349524
eISBN:
9780199349555
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780199349524.003.0013
Subject:
Economics and Finance, Econometrics

In this chapter I concentrate on continuous inferential problems: problems where the dependent variable is continuous, such as classical regression problems. As in the previous chapter, using duality ... More


Introduction and Motivations

Christian Gouriéroux and Alain Monfort

in Simulation-based Econometric Methods

Published in print:
1997
Published Online:
November 2003
ISBN:
9780198774754
eISBN:
9780191596339
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198774753.003.0001
Subject:
Economics and Finance, Econometrics

Reviews the standard parametric or semi‐parametric methods (Maximum Likelihood, Pseudo‐Maximum Likelihood, GMM). Then, considers models in which the likelihood function or the conditional moments do ... More


Dividend Policy, Earnings, and Cash Flow: A Dynamic Panel Data Analysis

Luis Correia Da Silva, Marc Goergen, and Luc Renneboog

in Dividend Policy and Corporate Governance

Published in print:
2004
Published Online:
April 2004
ISBN:
9780199259304
eISBN:
9780191600852
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199259305.003.0006
Subject:
Economics and Finance, Financial Economics

Benefiting from recent advances in panel data estimation, the chapter estimates the Lintner model for German firms. The Lintner model is estimated using both cash flow data and published earnings ... More


Generalized Method of Moments

M. Hashem Pesaran

in Time Series and Panel Data Econometrics

Published in print:
2015
Published Online:
March 2016
ISBN:
9780198736912
eISBN:
9780191800504
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198736912.003.0010
Subject:
Economics and Finance, Econometrics

This chapter discusses the generalized method of moments (GMM). It reviews the estimation theory of the GMM and describes the instrumental variables approach within the broader context of the GMM. ... More


Multivariate Rational Expectations Models

M. Hashem Pesaran

in Time Series and Panel Data Econometrics

Published in print:
2015
Published Online:
March 2016
ISBN:
9780198736912
eISBN:
9780191800504
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198736912.003.0020
Subject:
Economics and Finance, Econometrics

This chapter is devoted to the solution, identification, and estimation of rational expectations (RE) models. It begins with an overview of solution techniques, distinguishing between RE models with ... More


Empirical Tests for Political Particularism, Trade Protection, and Contributions

Bumba Mukherjee

in Democracy and Trade Policy in Developing Countries

Published in print:
2016
Published Online:
January 2017
ISBN:
9780226358789
eISBN:
9780226358956
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226358956.003.0005
Subject:
Political Science, International Relations and Politics

The theoretical claims in the previous chapter about how political particularism influence trade barriers and lobbying from import competition by capital is statistically assessed in this chapter. ... More


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