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Robust Estimators in Generalized Pareto Models
global robustness local robustness finite sample breakdown point
2010/10/20
We study global and local robustness properties of several estimators for shape and scale in a generalized Pareto model. The estimators considered in this paper cover maximum likelihood estimators, sk...
Homogeneous Volatility Bridge Estimators
volatility variance estimators efficiency Wiener processes homoge-neous functions
2010/11/3
We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, h...
Modified Two-stage Least-squares Estimators For the Estimation of A Structural Vector...
Structural vector autoregression Unit root Cointegration Asymptotic properties Hypothesis testing
2011/4/2
We consider the estimation of a structural vector autoregressive model of nonstationary and possibly cointegrated variables without the prior knowledge of unit roots or rank of cointegration. We propo...