Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 20 for “"Moment conditions"”.
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On moment conditions for the Girsanov Theorem
… Girsanov Theorem will be proved under a set of moment conditions on exponential processes. Our conditions are motivated by the desire to avoid using the local martingale theory in the proof of the Girsanov Theorem. Namely, we will only use the martingale theory to prove the Girsanov Theorem. …
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Weighting and moment conditions in Bayesian inference
… to define target quantities as the solutions to moment conditions, as opposed to ``true'' components of parametric models. By doing so, the quantities coincide with the usual definitions if working model assumptions hold, but retain the interpretation of being projections if the assumptions are …
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Model selection for correlated data and moment selection from high-dimensional moment conditions
… diverging number of parameters and consistent moment selection from high-dimensional moment conditions. Longitudinal data arise frequently in biomedical and genomic research where repeated measurements within subjects are correlated. It is important to select relevant covariates when the …
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Essays on misspecified models
… generalized empirical likelihood estimators when moment conditions are not correctly specified. Classical generalized empirical likelihood estimators rely on the correct moment conditions, however, those conditions are mostly generated from economic theory and some of them are not testable. Hence, …
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Essays in Financial Econometrics
… of Dynamic Panel Data Models with Invalid Moment Conditions—the Sparse Group Lasso Approach primarily focuses on the GMM estimation of dynamic panel data models, where many moment conditions have been proposed under various assumptions. These moment conditions grow quadratically with the …
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Some aspects of empirical likelihood
… of nuisance parameters combined with augmented moment conditions. We show that in the presence of nuisance parameters, the asymptotic efficiency of the empirical likelihood estimator of the parameter of interest will increase by adding more moment conditions, in the sense of the positive …
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Essays in econometrics
… distributions and densities subject to moment constraints. Chapter 2 proposes a weighted kernel density estimator for a time-varying probability density function and the corresponding cumulative distribution function. Time-varying quantiles are estimated by inverting an estimate of the …
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The Hausman test, and some alternatives, with heteroskedastic data
… two estimators used in the contrast, or stacking moment conditions leading to two estimators and estimating them as a system. We examine these options in a Monte Carlo experiment. We conclude that in both these cases the preferred test is based on an artificial regression, perhaps using a robust …
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Homogenization of Random Media: Random Walks, Diffusions and Stochastic Interface Models
… limit theorem is proven under ergodicity and moment conditions on the environment. Under stronger, non-optimal moment conditions, we also prove annealed local limit theorems for the static RCM with general speed measure and for the dynamic RCM. The dynamic model allows for the random weights, …
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General method of moments bias and specification tests for quantile regression
… GMM model where the weighting matrix A of the moment conditions g(z, β) is left unspecified, except for some general conditions. Our bias results are compared to those of Newey and West (2003). An important case of GMM estimation with a general weighting matrix A is when A is a function of a …
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Curvature Detection by Integral Transforms
… of edges. We introduce novel vanishing moment conditions which enable a more robust detection of the geometric edge features and examine two different constructions for Taylorlets. Lastly, we translate the results of the Taylorlet transform in R^2 into R^3 and thereby allow for the …
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High-dimensional change point detection for mean and location parameters
… under arbitrary dependence structures and mild moment conditions. Specifically, we show that with a boundary removal parameter the bootstrap CUSUM test enjoys the uniform validity in size under the null and it achieves the minimax separation rate under the sparse alternatives when $p \gg n$. …
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High-dimensional econometrics and model selection
… 1 proposes a new method to solve the many moment problem: in Generalized Method of Moments (GMM), when the number of moment conditions is comparable to or larger than the sample size, the traditional methods lead to biased estimators. We propose a LASSO based selection procedure in order to …
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Essays on finance, learning, and macroeconomics
… returns. I prove that under learning standard moment conditions need not hold in finite samples, leading to pricing errors. Simulations show that learning can generate quantitatively realistic pricing errors and a substantial equity risk premium. I find that a model with learning is not …
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Essays in Financial Economics
… expectation function deduced using model-implied moment conditions and bounds on statistical divergence. This method is illustrated with a prototypical example from macro-finance using asset market data to infer belief restrictions for macroeconomic growth rates. Chapter 3 develops diagnostic …
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Investigation and empirical evaluation of inputs to optimization-based biomechanical trunk models
… For each model, two sets of muscle geometries (moment arms, lines of action, and cross-sectional areas) were used as inputs: one was a compilation of several studies and one was reported by Han, Ahn, Goel, Takeuchi, and McGowan (1992). For each of the four model combinations, either 10 or 18 …
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Volatility Modeling Using the Student's t Distribution
… parameter restrictions, existence of moment conditions and the retention of Normality. These problems are naturally more acute in the multivariate GARCH type models, which in addition have the problem of overparameterization. This dissertation uses the Student's t distribution and …
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Optimal experimental designs for estimating the slope of a response surface
… When the variance component is considered alone, moment conditions are obtained that characterize the optimal designs. Then conjectured optimal designs are obtained for the situation in which there are two independent variables and the region of experimentation is of finite extent. This is done …
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Essays on empirical asset pricing
… from 1988 to August of 2014, I show that the moment conditions are rejected in the data. The failure of the exchange-rate-recovered SDFs to price countries' assets reflects the violation of my assumptions, and highlights the importance of the special global risk factor to price assets in …
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Essays in water resource economics
… the functional relationship between climatic conditions and irrigation water use in which farmers' behavioral aspects are embedded implicitly. Previous econometric studies have greatly simplified the relationship between irrigation water use and climate by simply linking aggregate climate …