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Evaluating convergence with median-unbiased estimators in panel data
(Centro de Investigación y Docencia Económicas, División de Economía, 1999)
This paper extends Andrews' (1993) median-unbiased estimation for auto- regressive/unit root time series to panel data dynamic fixed effects models. It is shown that median-unbiased estimation applies straightforwardly to ...
Modeling GARCH processes in panel data: Monte Carlo simulations and applications
(Centro de Investigación y Docencia Económicas, División de Economía, 2000)
In this paper we propose and implement a methodology of testing and estimation in a panel data context with GARCH effects. In order to determine the presence of GARCH effects and poolability of the mean and variance ...
A Monte Carlo EM algorithm for FIML estimation of multivariate endogenous switching models with censored and discrete responses
(Centro de Investigación y Docencia Económicas, División de Economía, 2008)
This article presents a Monte Carlo EM algorithm to estimate multivariate endogenous switching regression models with censored and/or discrete responses and heteroscedastic errors. Advantages of the algorithm include: (1) ...
FIML estimation of treatment effect models with endogenous selection and multiple censored responses via a Monte Carlo EM algorithm
(Centro de Investigación y Docencia Económicas, División de Economía, 2007)
We formulate a Monte Carlo EM algorithm to estimate treatment effect models involving multiple censored responses. The algorithm has at least three advantages with respect to traditional methods. First, it does not require ...
Desempeño de estimadores alternativos en modelos GARCH bivariados con muestras finitas
(Centro de Investigación y Docencia Económicas, División de Economía, 2009)
En este trabajo se investiga por simulaciones de Monte Carlo las propiedades de sesgo, error cuadrático medio, varianza y distribución de estimadores de modelos GARCH bivariados en muestras finitas. Los datos son generados ...
A Monte Carlo EM algorithm to estimate structural equation systems with unobserved information
(Centro de Investigación y Docencia Económicas, División de Economía, 2005)
A Monte Carlo Expectation-Maximization algorithm for solving structural models with latent structures is formulated. It combines a Gibbs sampler to impute the unobserved information in the E-step, a sequential maximization ...