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This paper defines a new procedure to efficiently estimate nonparametric simultaneous e-quations models that have been explored by Newey et al (1999) and Su and Ullah (2008).The proposed estimation pr...
We consider improving estimating parameters of diffusion processes for interest rates by incorporating information in bond prices. This is designed to improve the estimation of the drift parameters, w...
This paper examines the finite sample properties of the quasi maximum likelihood (QML) esti-mators of the fixed effects spatial panel data (FE-SPD) models of Lee and Yu (2010). Following the general b...
Spatial econometrics relies on spatial weights matrix to specify the cross sectional depen-dence, which might not be unique. This paper proposes a model selection procedure to choose an optimal weight...
The consideration of interactions among regions or agents has become increasingly important in various fields of economics. In public economics, a state government’s cigarettes tax rate will be influe...
In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with fixed effects when n is large, and T can be large, but small relative to n. The GMM es...
This paper investigates the quasi-maximum likelihood (QML) estimation of spatial panel data models where spatial weights matrices can be time varying. We show that QML estimate is consistent and asymp...
Identi…cation of a spatial Durbin model is a concern in the spatial econometrics literature. The concern is similar to the identi…cation of the endogenous e¤ect, the contextual e¤ect and correlation e...
We consider testing regression coefficients in high dimensional generalized linear mod-els. By modifying a test statistic proposed by Goeman et al. (2011) for large but fixed dimensional settings, we ...
In this paper we propose a closed-form asymptotic expansion approach to pricing discretely monitored Asian options in general one-dimensional diffusion models. Our expansion is a small-time expansion ...
This paper considers a quasi-maximum likelihood estimation for a linear panel data model with time and individual …xed e¤ects, where the disturbances have dynamic and spatial correlations which might ...
This paper considers testing additive error structure in nonparametric structural models, against the alternative hypothesis that the random error term enters the nonparametric model non-additively.We...
We propose a novel varying coefficient model, called princi-pal varying coefficient model (PVCM), by characterizing the varying coeffi-cients through linear combinations of a few principal functions. ...
This paper study sparse classification problems. We show that under single-index models, vanilla Lasso could give good estimate of unknown parameters. With this result, we see that even if the model i...
We consider improving estimating parameters of diffusion processes for interest rates by incorporating information in bond prices. This is designed to improve the estimation of the drift parameters, w...

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