Econometric modelling with nonnormal disturbances

DOI10.1016/0304-4076(81)90023-3MaRDI QIDQ584892zbMATH OpenOpenAlexFDO

Authors Stephen M. Goldfeld, Richard E. Quandt

Publication date 1981

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(81)90023-3

zbMATH Keywords

asymptotic resultslimited sampling experimentsnonnormal density functionsone-market disequilibrium modelSargan densities

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) General equilibrium theory (91B50)

Cites work

• scientific article; zbMATH DE number 3898196 (Why is no real title available?)
• scientific article; zbMATH DE number 3366405 (Why is no real title available?)
• A Conditional Probit Model for Qualitative Choice: Discrete Decisions Recognizing Interdependence and Heterogeneous Preferences
• Disequilibrium Econometrics in Simultaneous Equations Systems
• Maximum Likelihood Methods for Models of Markets in Disequilibrium
• Methods of Estimation for Multi-Market Disequilibrium Models
• Tables for Computing Bivariate Normal Probabilities
• The Greatest of a Finite Set of Random Variables
• The Problem of Integration in Finite Terms

Cited in

(7)

• Partially adaptive estimation via a normal mixture
• A class of partially adaptive one-step M-estimators for a nonlinear regression model with dependent observations
• On the accuracy and cost of numerical integration in several variables^∗
• Fast multivariate empirical cumulative distribution function with connection to kernel density estimation
• Nonparametric density estimation for nonnegative data, using symmetrical-based inverse and reciprocal inverse Gaussian kernels through dual transformation
• Small sample properties of ridge estimators with normal and non-normal disturbances
• A note on Sargan densities

Describes a project that uses

Uses Software

• REDUCE

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