A Generalized Method Of Moments Approach To Estimating A Structural Vector Autoregression
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Author | : Peter R. Hartley |
Publisher | : |
Total Pages | : 84 |
Release | : 1989 |
Genre | : Autoregression (Statistics) |
ISBN | : |
Download A Generalized Method of Moments Approach to Estimating a "structural Vector Autoregression" Book in PDF, Epub and Kindle
Author | : Laszlo Matyas |
Publisher | : Cambridge University Press |
Total Pages | : 332 |
Release | : 1999-04-13 |
Genre | : Business & Economics |
ISBN | : 9780521669672 |
Download Generalized Method of Moments Estimation Book in PDF, Epub and Kindle
The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.
Author | : Alexander Sascha Keweloh |
Publisher | : |
Total Pages | : |
Release | : 2018 |
Genre | : |
ISBN | : |
Download A Generalized Method of Moments Estimator for Structural Vector Autoregressions Based on Higher Moments Book in PDF, Epub and Kindle
Author | : Lutz Kilian |
Publisher | : Cambridge University Press |
Total Pages | : 757 |
Release | : 2017-11-23 |
Genre | : Business & Economics |
ISBN | : 1107196574 |
Download Structural Vector Autoregressive Analysis Book in PDF, Epub and Kindle
This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Author | : Zhiguo Xiao |
Publisher | : |
Total Pages | : 174 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Topics in Generalized Method of Moments Estimation with Application to Panel Data with Measurement Error Book in PDF, Epub and Kindle
Author | : Drew Creal |
Publisher | : |
Total Pages | : 45 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Generalized Autoregressive Method of Moments Book in PDF, Epub and Kindle
We extend the generalized method of moments to a setting where a subset of the parameters may vary over time with unknown dynamics. We approximate the true unknown dynamics by an updating scheme that is driven by the influence function of the conditional criterion function at time t. The updates ensure a local improvement of the conditional criterion function at each time in expectation. In our framework, time-varying parameters are a function of past data; it leads to a computationally efficient method since it does not require simulation-based methods for estimation. The approach can be applied to a wide range of moment conditions that are used in economics and finance. We provide an illustration for a capital asset pricing model with time-varying risk aversion.
Author | : Ralf Brüggemann |
Publisher | : Springer Science & Business Media |
Total Pages | : 226 |
Release | : 2012-09-25 |
Genre | : Mathematics |
ISBN | : 3642170293 |
Download Model Reduction Methods for Vector Autoregressive Processes Book in PDF, Epub and Kindle
1. 1 Objective of the Study Vector autoregressive (VAR) models have become one of the dominant research tools in the analysis of macroeconomic time series during the last two decades. The great success of this modeling class started with Sims' (1980) critique of the traditional simultaneous equation models (SEM). Sims criticized the use of 'too many incredible restrictions' based on 'supposed a priori knowledge' in large scale macroeconometric models which were popular at that time. Therefore, he advo cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Ever since his influential paper these models have been employed extensively to characterize the underlying dynamics in systems of time series. In particular, tools to summarize the dynamic interaction between the system variables, such as impulse response analysis or forecast error variance decompo sitions, have been developed over the years. The econometrics of VAR models and related quantities is now well established and has found its way into various textbooks including inter alia Llitkepohl (1991), Hamilton (1994), Enders (1995), Hendry (1995) and Greene (2002). The unrestricted VAR model provides a general and very flexible framework that proved to be useful to summarize the data characteristics of economic time series. Unfortunately, the flexibility of these models causes severe problems: In an unrestricted VAR model, each variable is expressed as a linear function of lagged values of itself and all other variables in the system.
Author | : Masao Ogaki |
Publisher | : |
Total Pages | : 64 |
Release | : 1992 |
Genre | : |
ISBN | : |
Download An Introduction to the Generalized Method of Moments Book in PDF, Epub and Kindle
Author | : Chun-man Pang |
Publisher | : |
Total Pages | : 106 |
Release | : 1997 |
Genre | : Autoregression (Statistics) |
ISBN | : |
Download Generalized Method of Moments Estimation of Generalized Autoregressive Conditional Heteroskedastic Models Book in PDF, Epub and Kindle
Author | : Helmut Lütkepohl |
Publisher | : Springer Science & Business Media |
Total Pages | : 556 |
Release | : 2013-04-17 |
Genre | : Business & Economics |
ISBN | : 3662026910 |
Download Introduction to Multiple Time Series Analysis Book in PDF, Epub and Kindle