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Showing 1 to 6 of 6 for “"Weighting matrix"”.
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General method of moments bias and specification tests for quantile regression
… the bias of a general 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 …
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Three Essays On Political Economy And The Methods
… explanatory variable, namely the spatial weighting matrix, as its instrumental variable (IV). This paper introduces the spatially local average treatment effect (SLATE) theorem, which consists of two key properties: the spatial independence assumption and the spatial exclusion restriction. …
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Model selection for correlated data and moment selection from high-dimensional moment conditions
… of the number of principal components for the weighting matrix in the GMM. Monte Carlo studies indicate that the proposed method outperforms existing methods in the sense of reducing bias and improving the efficiency of estimation. We also illustrate a real data example for moment selection …
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Empirical investigation of nonlinear asset pricing kernel with human capital and housing wealth
… Series expansion and Hansen-Jagannathan (1997) weighting matrix. The time-varying coefficients with respected sign of coefficients are estimated. Housing factor is added to extend the model, as we believe that housing plays an important role in the return on aggregate wealth. In the second part …
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Three Essays in Applied Econometrics: with Application to Natural Resource and Energy Markets
… does not perform well because the spatial weight matrix can only be used to estimate linear structures while the true data generating process is nonlinear. This also gives some support to the idea of using nonparametric methods when various misspecification may exist either in the functional form …
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Understanding and Modeling Taxi Demand Using Time Series Models
… This section additionally proposes different weighting matrices to improve the performance of the model. The results show the need to consider spatial models for e-hailing services and demonstrate significant improvement in the prediction of demand using the two proposed models.</p>