ASYMPTOTIC THEORY FOR EMPIRICAL SIMILARITY MODELS

DOI10.1017/S0266466609990454zbMath1294.62249MaRDI QIDQ3580633

Offer Lieberman

Publication date: 13 August 2010

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) General nonlinear regression (62J02)

Related Items (11)

Distance-based beta regression for prediction of mutual funds ⋮ A multivariate stochastic unit root model with an application to derivative pricing ⋮ A similarity-based approach to time-varying coefficient non-stationary autoregression ⋮ Spatial autoregressions with an extended parameter space and similarity-based weights ⋮ Inference in a similarity-based spatial autoregressive model ⋮ Asymmetric empirical similarity ⋮ A nonlinear panel data model of cross-sectional dependence ⋮ NORMING RATES AND LIMIT THEORY FOR SOME TIME‐VARYING COEFFICIENT AUTOREGRESSIONS ⋮ A similarity-based approach to prediction ⋮ Similarity-based model for ordered categorical data ⋮ Reference Class Forecasting: Resolving Its Challenge to Statistical Modeling

Cites Work

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• Asymptotic optimal inference for non-ergodic models
• Asymptotic theory of nonlinear least squares estimation
• Asymptotic theory for multivariate GARCH processes.
• Matrix Analysis
• Remarks on efficiency in estimation for branching processes
• Maximum likelihood estimation for continuous-time stochastic processes
• Estimation When a Parameter is on a Boundary
• Time Series Regression with a Unit Root
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• Convergence of Quadratic Forms in Independent Random Variables

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