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Conditional Moment Estimation of Nonlinear Equation Systems

Conditional Moment Estimation of Nonlinear Equation Systems PDF Author: Joachim Inkmann
Publisher: Springer Science & Business Media
ISBN: 3642565719
Category : Business & Economics
Languages : en
Pages : 214

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Book Description
Generalized method of moments (GMM) estimation of nonlinear systems has two important advantages over conventional maximum likelihood (ML) estimation: GMM estimation usually requires less restrictive distributional assumptions and remains computationally attractive when ML estimation becomes burdensome or even impossible. This book presents an in-depth treatment of the conditional moment approach to GMM estimation of models frequently encountered in applied microeconometrics. It covers both large sample and small sample properties of conditional moment estimators and provides an application to empirical industrial organization. With its comprehensive and up-to-date coverage of the subject which includes topics like bootstrapping and empirical likelihood techniques, the book addresses scientists, graduate students and professionals in applied econometrics.

Conditional Moment Estimation of Nonlinear Equation Systems

Conditional Moment Estimation of Nonlinear Equation Systems PDF Author: Joachim Inkmann
Publisher: Springer Science & Business Media
ISBN: 3642565719
Category : Business & Economics
Languages : en
Pages : 214

View

Book Description
Generalized method of moments (GMM) estimation of nonlinear systems has two important advantages over conventional maximum likelihood (ML) estimation: GMM estimation usually requires less restrictive distributional assumptions and remains computationally attractive when ML estimation becomes burdensome or even impossible. This book presents an in-depth treatment of the conditional moment approach to GMM estimation of models frequently encountered in applied microeconometrics. It covers both large sample and small sample properties of conditional moment estimators and provides an application to empirical industrial organization. With its comprehensive and up-to-date coverage of the subject which includes topics like bootstrapping and empirical likelihood techniques, the book addresses scientists, graduate students and professionals in applied econometrics.

Conditional Moment Estimation of Nonlinear Equation Systems

Conditional Moment Estimation of Nonlinear Equation Systems PDF Author: Joachim Inkmann
Publisher: Springer
ISBN: 9783540412076
Category : Business & Economics
Languages : en
Pages : 214

View

Book Description
Generalized method of moments (GMM) estimation of nonlinear systems has two important advantages over conventional maximum likelihood (ML) estimation: GMM estimation usually requires less restrictive distributional assumptions and remains computationally attractive when ML estimation becomes burdensome or even impossible. This book presents an in-depth treatment of the conditional moment approach to GMM estimation of models frequently encountered in applied microeconometrics. It covers both large sample and small sample properties of conditional moment estimators and provides an application to empirical industrial organization. With its comprehensive and up-to-date coverage of the subject which includes topics like bootstrapping and empirical likelihood techniques, the book addresses scientists, graduate students and professionals in applied econometrics.

Stochastic Approaches in Earthquake Engineering

Stochastic Approaches in Earthquake Engineering PDF Author: Y.K. Lin
Publisher: Springer Science & Business Media
ISBN: 3642832520
Category : Science
Languages : en
Pages : 457

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Book Description
From the preface: This volume is a collection of papers presented at the U.S. - Japan Joint Seminar on Stochastic Approaches in Earthquake Engineering held on May 6 and 7, 1987. The general theme of the two-day program was the application of probability and statistics to engineering problems related to strong ground motion. Within this general theme a great variety of subject matters were covered, including earthquake cataloging, ground motion modeling, system identification, failure mechanisms, response and reliability analyses, numerical techniques, and active control. The engineering systems considered included buildings, bridges and life-line networks.

Term Structure Modeling and Estimation in a State Space Framework

Term Structure Modeling and Estimation in a State Space Framework PDF Author: Wolfgang Lemke
Publisher: Springer Science & Business Media
ISBN: 3540283447
Category : Business & Economics
Languages : en
Pages : 226

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Book Description
This book has been prepared during my work as a research assistant at the Institute for Statistics and Econometrics of the Economics Department at the University of Bielefeld, Germany. It was accepted as a Ph.D. thesis titled "Term Structure Modeling and Estimation in a State Space Framework" at the Department of Economics of the University of Bielefeld in November 2004. It is a pleasure for me to thank all those people who have been helpful in one way or another during the completion of this work. First of all, I would like to express my gratitude to my advisor Professor Joachim Frohn, not only for his guidance and advice throughout the com pletion of my thesis but also for letting me have four very enjoyable years teaching and researching at the Institute for Statistics and Econometrics. I am also grateful to my second advisor Professor Willi Semmler. The project I worked on in one of his seminars in 1999 can really be seen as a starting point for my research on state space models. I thank Professor Thomas Braun for joining the committee for my oral examination.

Programme Evaluation and Treatment Choice

Programme Evaluation and Treatment Choice PDF Author: Markus Frölich
Publisher: Springer Science & Business Media
ISBN: 3642557163
Category : Business & Economics
Languages : en
Pages : 194

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Book Description
Policy evaluation and programme choice are important tools for informed decision-making, for the administration of active labour market programmes, training programmes, tuition subsidies, rehabilitation programmes etc. Whereas the evaluation of programmes and policies is mainly concerned with an overall assessment of impact, benefits and costs, programme choice considers an optimal allocation of individuals to the programmes. This book surveys potential evaluation strategies for policies with multiple programmes and discusses evaluation and treatment choice in a coherent framework. Recommendations for choosing appropriate evaluation estimators are derived. Furthermore, a semiparametric estimator of optimal treatment choice is developed to assist in the optimal allocation of participants.

Planning Stability in Material Requirements Planning Systems

Planning Stability in Material Requirements Planning Systems PDF Author: Gerald Heisig
Publisher: Springer Science & Business Media
ISBN: 364255928X
Category : Business & Economics
Languages : en
Pages : 268

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Book Description
In logistics systems, the issue of planning stability has attracted increased attention and interest in recent years. This is mainly due to an increasing integration of planning systems both within and across companies in supply chain management. The propagation of adjustments in planning systems first acquired wide attention when MRP systems were employed as standard planning tools for material coordination. Within a rolling horizon framework the MRP application produced considerable planning instability which origins from uncertainties in the planner's exogenous environment as well as from endogenous sources. This book presents an analytical investigation that gives deep insight into the influence of different kind of inventory control rules on the stability of material planning systems under stochastic demand in a rolling horizon environment.

Analysis, Controllability and Optimization of Time-Discrete Systems and Dynamical Games

Analysis, Controllability and Optimization of Time-Discrete Systems and Dynamical Games PDF Author: Werner Krabs
Publisher: Springer Science & Business Media
ISBN: 3642189733
Category : Business & Economics
Languages : en
Pages : 192

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Book Description
Focuses on the analysis, optimization and controllability of time-discrete dynamical systems and games under the aspect of stability, controllability and (for games) cooperative and non-cooperative treatment. The investigation of stability is based on Lyapunov's method which is generalized to non-autonomous systems. Optimization and controllability of dynamical systems is treated, among others, with the aid of mapping theorems such as implicit function theorem and inverse mapping theorem. Dynamical games are treated as cooperative and non-cooperative games and are used in order to deal with the problem of carbon dioxide reduction under economic aspects. The theoretical results are demonstrated by various applications.

Cooperative Systems

Cooperative Systems PDF Author: Don Grundel
Publisher: Springer Science & Business Media
ISBN: 3540482717
Category : Business & Economics
Languages : en
Pages : 403

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Book Description
Because of the clearly important role cooperative systems play in areas such as military sciences, biology, communications, robotics, and economics, just to name a few, the study of cooperative systems has intensified. This book provides an insight in the basic understanding of cooperative systems as well as in theory, modeling, and applications of cooperative control, optimization and related problems.

Learning in Economic Systems with Expectations Feedback

Learning in Economic Systems with Expectations Feedback PDF Author: Jan Wenzelburger
Publisher: Springer Science & Business Media
ISBN: 3540380507
Category : Business & Economics
Languages : en
Pages : 176

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Book Description
Recently economists have more and more focussed on scenarios in which agents' views of the world may be erroneous. These notes introduce the concept of perfect forecasting rules which provide best least-squares predictions along the evolution of an economic system. The framework for nonparametric adaptive learning schemes is developed and it is argued that plausible learning schemes should aim at estimating a perfect forecasting rule taking into account the correct feedback structure of an economy. A link is provided between the traditional rational-expectations view and recent behavioristic approaches.

Default Risk in Bond and Credit Derivatives Markets

Default Risk in Bond and Credit Derivatives Markets PDF Author: Christoph Benkert
Publisher: Springer Science & Business Media
ISBN: 3642170390
Category : Business & Economics
Languages : en
Pages : 135

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Book Description
Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between theoretical and empirical contributions. Consequently, the focus of this book is on empirical work. Within an intensity based modelling framework a broad range of promising specifications is tested using corporate bond data. The book provides one of the most comprehensive empirical studies in the field, from Kalman filtration of affine term structure models to the use of Efficient Method of Moments estimation of dynamic term structure models in a default risky context. Filling another gap in empirical research, the book devotes special attention to the identification factors that can explain credit default swap premia.